U.K. Asset Price Volatility Over the Last 50 Years
Journal of Risk Spring 2000, 2, 63-77
Bank of England Working Paper No. 51
18 Pages Posted: 2 Jun 1998 Last revised: 16 Jul 2012
Date Written: June 1, 1996
Abstract
The paper analyzes the volatility of U.K. 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.
JEL Classification: G12, G13, G15
Suggested Citation: Suggested Citation