This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector. The financial sector can amplify or...

This study employs the vector autoregression (VAR) analysis to empirically report the impulse response functions of economic policy certainty and financial stress. A causality test of these two variables is also performed. The analysis of the monthly changes in the economic policy uncertainty...

The recent recovery in Latin America has been impressive but also raises the question whether this represents a fundamental break with the region's history of boom-bust cycles. The paper traces how this history of macroeconomic volatility and financial crisis over the past century has adversely...

This paper proposes a measure of the welfare cost of volatility derived from an endogenous growth model (AK) under uncertainty extended to the case of a recursive utility function which disentangles risk aversion from intertemporal elasticity of substitution. It encompasses a direct welfare cost...

This paper analyzes the effects of business cycle volatility on measures of subjective well-being, including self-reported happiness and life satisfaction. I find robust evidence that high inflation and, to a greater extent, unemployment lower perceived well-being. Greater macroeconomic...

Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semi-deviation of growth rates. Financial sophistication variables are found to have qualitatively different effects on volatility. The ratio of government...

Using monthly data from seven mature and emerging markets and GARCH and EGARCH models, the study of Davis and Kutan (Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three...

From a theoretical point of view, greater trade openness affects firm-level volatility by changing the exposure and the reaction of firms to macroeconomic shocks. The net effect is ambiguous, though. This paper provides firm-level evidence on the link between openness and volatility. Using two...

This paper provides evidence for a significant relation between international financial markets' integration and output volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country's financial risk. Financial risk indicates a country's ability...

Openness for trade can have positive welfare effects in terms of higher growth. But increased openness may also increase uncertainty through a higher volatility of employment. We use regional data from Germany to test whether openness for trade has an impact on volatility. We find a downward...