Volatility in International Financial Market Issuance: The Role of the Financial Center
Marco Cipriani () and
Graciela Kaminsky ()
Open Economies Review, 2007, vol. 18, issue 2, 157-176
We study the pattern of volatility of gross issuance in international capital markets since 1980. We find several short-lived episodes of high volatility. Over the long run, however, volatility has declined, suggesting that international financial integration has not made financial markets more erratic. We use VAR analysis to examine the determinants of the time-varying pattern of volatility, focusing in particular on the role of financial centers. Our results suggest that a significant portion of the decline in volatility of issuance in international capital markets can be explained by the reduction in the volatility of US interest rates. Copyright Springer Science+Business Media, LLC 2007
Keywords: Volatility; Issuance; International financial markets; F3 (search for similar items in EconPapers)
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Working Paper: Volatility in International Financial Market Issuance: The Role of the Financial Center (2007)
Working Paper: Volatility in International Financial Market Issuance: The Role of the Financial Center (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:18:y:2007:i:2:p:157-176
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