Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities

Paul Kupiec

No 94, OECD Economics Department Working Papers from OECD Publishing

Abstract: This paper is one of four in this Working Paper series, focusing on financial liberalisation, along with those by Miller and Weller, Driscoll, and Blundell-Wignall and Browne. It examines the historical volatilities of stock, bond and foreign currency markets over alternative periods differing roughly by the degree of financial innovation and globalisation. It characterises trends in gross volatility, and the degree and manner in which volatility in financial markets has changed, the real economic consequences of transitory periods of excess volatility, and discusses some of the financial policies proposed to limit volatility. The results suggest that the past two decades have coincided with a world-wide increase in the average levels of volatility in stock returns, corporate bond yields and exchange rates, accompanied by a general increase in the strength of the positive correlations among national stock returns and the conditional volatilities of these returns. Evidence suggests ... Le présent document constitue l'une des quatre études de cette Série consacrée à la libéralisation financière avec celles de Miller et Weller, de Driscoll, et de Blundell-Wignall et Browne. Il examine le concept de volatilité historique observée sur les marchés d'actions, d'obligations et de change au cours de plusieurs périodes caractérisées par un état d'avancement différent du processus d'innovation et de globalisation financière. Il cherche à caractériser les tendances de la volatilité brute, l'ampleur et la forme des changements survenus dans la volatilité sur les marchés financiers, les conséquences sur l'économie réelle des périodes temporaires de volatilité excessives. Il traite également de quelques unes des politiques financières proposées pour restreindre la volatilité. Les résultats suggèrent que les deux dernières décennies ont coincidé avec une augmentation mondiale du niveau moyen de la volatilité de la rentabilité des actions, du rendement des obligations ...

Date: 1991-02-01
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Working Paper: Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities (1990)
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