UK Asset Price Volatility Over the Last 50 Years

Nicola Anderson and Francis Breedon

Bank of England working papers from Bank of England

Abstract: The paper analyses the volatility of UK equity, bond and treasury bill returns and the sterling/dollar exchange rate since 1945. It finds that the volatility of all these assets is on a declining trend after peaking in the late '70s. It seems that greater nominal and real macroeconomic stability are the most likely causes of the current declining trend. Volatility is, however, still significantly higher than in the Bretton Woods era. The authors find no evidence that asset price volatility has any consequences for real activity.

Date: 1996-06
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:51

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