fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To …

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

positive) correlation between exchange rate volatility and the level of investment …

This paper finds a negative relationship between the employment share of the service sector and the volatility of … aggregate output in the OECD—after controlling for the level of financial development. This result reflects volatility … sector. I examine the quantitative role of these labor shifts—termed structural transformation—on the volatility of aggregate …

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …

This paper studies the volatility of consumption relative to output in the context of a simple general equilibrium … horizons and endogenous terms of trade reduce the volatility of consumption, the model fails to generate sufficient serial …

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis … studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived … increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations …

This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility … shift trade to the competing exchange. Price volatility or returns are not systematically affected by changes in margin …