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Volatility in International Financial Market Issuance: The Role of the Financial CenterMarco CiprianiFederal Reserve Bank of New York Graciela KaminskyGeorge Washington University - Department of Economics; National Bureau of Economic Research (NBER) HKIMR Working Paper No. 21/2007 Open Economies Review, Vol. 18, No. 2, pp. 157-176, 2007 Abstract: 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.
Number of Pages in PDF File: 27 Keywords: Volatility, Issuance, International Financial Markets JEL Classification: F3 Accepted Paper SeriesDate posted: February 12, 2008Suggested CitationContact Information
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