of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant … assumptions, recent experience of highly turbulent markets has renewed interest in quantitative assessment of price volatility by … implemented. As an application, the impact of crop yield shocks on price volatility is studied. Since the concurrent reduction in …

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that … state pairs and document that house price growth correlation is strongly related to this measure of financial integration …. Our IV estimates suggest that banking integration can explain up to one fourth of the rise in house price correlation over …