, fragmentation, and volatility as key measures of aid quality and discusses their implication for the coordination and effectiveness …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we … develop the analytical framework motivating the firm-market volatility relationship. We unravel three new findings on … volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a …

heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) do calendar anomalies … affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that … calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size. …

volatility raises inflation; (2) the Friedman hypothesis that inflation raises inflation volatility; and (3) the Black hypothesis … that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any …

This paper sets up a theoretical model linking the growth rate of the economy to the growth rate and volatility of … different government expenditures. On a theoretical basis, it is found that volatility in government spending can be positively … seems to have a negative effect on output growth. It is also very interesting to find that the rises in the volatility in …

Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of … periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design …/methodology/approach – Volatility estimates are incorporated into standard volatility models to assess the impact of structural breaks on volatility …

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel …