This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small … interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on …. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

We examine the state-dependent volatility reaction to macroeconomic news in the euro-dollar, pound-dollar and yen …, the volatility reaction to macroeconomic news is larger in expansions compared to the recession period in the three … consistently associated with larger volatility response in expansions. New home sales and the Fed funds rate announcements, on the …

volatility of real and financial variables. Rather than attempting to characterize every possible shock and amplification … mechanism, this paper offers a parsimonious account of volatility in countries that have already tamed most of the traditional … only explain the observed volatility but they also generate clear externalities that require policy intervention. This …