credit spreads and equity volatility. I build a dynamic model and estimate a wide array of fundamental shocks using a large … to 2014. A structural decomposition reveals that the joint dynamics of credit spreads and equity volatility is driven by … fluctuations in firms' asset values and aggregate asset volatility. I find that aggregate asset volatility captures the …

Using structural vector autoregression augmented with stochastic volatility (SVAR-SV), we document that in late 2000s … there were large spikes in volatility of spreads on peripheral eurozone government bonds. This increased volatility entailed … rise in spread volatility erodes banks' net worth and constrains their balance sheets. The banks respond by slashing their …

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India …, Japan, and Singapore) stock markets. During the sample period, these emerging markets have experienced both rapid growth and … volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of …

nonlinear external habits can rationalize the evidence, and it implies that the competitive volatility of consumption is … volatility (a targeting of risk premia) rather than on filling the gap between consumption and its flexible-price counterpart …

This paper presents a new volatility model with time-varying volatility persistence (TVP) that is governed by the … application to the U.S. stock market, we show that volatility persistence is positively related to realized volatility and that it …

used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the … to house price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility …-average forecast rules for a subset of agents can significantly magnify the volatility and persistence of house prices and household …

We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider … monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract … the common long-run component of volatility that is likely to be linked to economic fundamentals. Based on powerful in …

of housing adjustment. In the time-series dimension, the model accounts for the pro-cyclicality and volatility of housing … following question: what are the consequences for aggregate volatility of an increase in household income and a decrease in down … can explain: (1) 45 percent of the reduction in the volatility of household investment; (2) the decline in the correlation …