Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …-GARCH modeling ; Volatility …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …