This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …

-country differences in the volatility and persistence of fiscal revenue shocks combined with asymmetric information on country … persistent, low volatility countries adjust spending while others resort to borrowing. This difference signals a relative …

We construct a dynamic competitive model with futures markets where price volatility comes from information arrival and …? How do information arrival and noise trading interact to generate price volatility? What are the effects of futures … trading on volatility and welfare? Without noise trading, we show that a fully revealing equilibrium price is unlikely to …

financial system's size due to volatility and the associated high real interest rates. The paper shows empirically that export …

Confidence has a strong influence on security prices and volatility, but has received little attention in mainstream … volatility emerged. The analysis indicates that central bank communication is a promising policy tool to manage market confidence …

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …

more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to …

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …