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Volatility in International Financial Market Issuance: The Role of the Financial Center / Marco Cipriani, Graciela L. Kaminsky.
- Format:
- Book
- Author/Creator:
- Cipriani, Marco.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12587.
- NBER working paper series no. w12587
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Volatility in International Financial Market Issuance
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- 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 U.S. interest rates.
- Notes:
- Print version record
- October 2006.
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