Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica

William O. Brown, Richard Burdekin and Marc Weidenmier ()

No 11319, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has been less emphasis on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however.

JEL-codes: E6 H3 N2 (search for similar items in EconPapers)
Date: 2005-05
Note: AP DAE
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as Brown, William O., Jr., Richard C. K. Burdekin and Marc D. Weidenmier. "Volatility In An Era Of Reduced Uncertainty: Lessons From Pax Britannica," Journal of Financial Economics, 2006, v79(3,Mar), 693-707.

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Journal Article: Volatility in an era of reduced uncertainty: Lessons from Pax Britannica (2006)
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