using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …

the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern … significant role in dampening volatility spikes in the financial markets of the countries at stake. This probably reflects how … extensive series of tests, and to changes made in the estimation methodology …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …