generates two main predictions: long-run unemployment increases with (i) a fall in long-run productivity growth and (ii) a rise … in the variance of productivity growth. Evidence based on U.S. time series and on an international panel strongly … supports these predictions. The empirical specifications featuring the variance of productivity growth can account for two U …

This paper documents a decreasing trend in the geographical concentration of EU agro-food imports. Decomposing the … their agri-food products from a wider range of suppliers), while geographical concentration increases at the intensive … food alerts at the EU border that had never been exploited before. After coding it into HS8 categories, we regress the …

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …

inflation volatility, we unwind one of Sargent's simplifications and allow the monetary authority to react to some of the shocks … were also persuaded to stop using changes in inflation to offset shocks. Inflation and inflation volatility therefore …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …