activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …

firms can observe each other's decisions, they are able to increase the accuracy of their actions. While reducing volatility … at the individual level, social learning may lead to an increase in volatility at the aggregate level depending on the … network topology. Moreover, if the network is very asymmetric, aggregate volatility does not decay as predicted by the law of …

equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …