This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …

predictions of the theory …

-or-sow"" model of growth. High volatility of permanent shocks results in high precautionary saving in the safe asset and low … investment, or a ""volatility trap."" Namely, big savers invest relatively little. In contrast, low volatility of permanent … shocks leads to low precautionary saving and high or low investment, depending on the volatility of temporary shocks …

This paper assesses the role of trade patterns in shaping the volatility of the effective exchange rate under two …

for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility … “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the …

fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To …