In this paper, we investigate the spillover of the financial-market volatility arising from the East-asian crisis on financial markets in Australia and New Zealand. We do this by examining the impact of the major ‘news’ from Asia on the stock, bond and foreign exchange markets of the two...

The decline in output volatility in a number of countries over the past few decades has been well-documented, though less agreement has been reached about the causes of this decline. In this paper, we use a panel of data from 20 OECD countries to see if there is a role for various indicators of...

We examine the relationship between the short-term volatility of the <em>effective</em> Real Exchange Rate (RER) and the degree of flexibility of the nominal exchange rate. Existing evidence demonstrates that the short-term variance of bilateral RERs is on average about 12 times higher under floating...

There has been a large decline in the volatility of Australian output over the past 40 years. This paper looks at the causes of this decline. Accounting for part of the change have been substantial changes in the inventories cycle. Abstracting from changes in the inventories cycle there have...

Over the past decade value at risk (VaR) has become the most widely used technique for the quantification of market-risk exposure. VaR is a measure of the potential loss that may occur from adverse moves in market prices (interest rates, exchange rates, equity prices and so forth). The capacity...