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

See all articles by Nicola Anderson

Nicola Anderson

Bank of England

Francis Breedon

University of London, Queen Mary - School of Economics and Finance

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

Anderson, Nicola and Breedon, Francis, U.K. Asset Price Volatility Over the Last 50 Years (June 1, 1996). Journal of Risk Spring 2000, 2, 63-77, Bank of England Working Paper No. 51, Available at SSRN: https://ssrn.com/abstract=93650 or http://dx.doi.org/10.2139/ssrn.93650

Nicola Anderson (Contact Author)

Bank of England

Threadneedle Street
London, EC2R 8AH
United Kingdom

Francis Breedon

University of London, Queen Mary - School of Economics and Finance ( email )

Mile End Road
London, E1 4NS
United Kingdom

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