Volatility in International Financial Market Issuance: The Role of the Financial Center

HKIMR Working Paper No. 21/2007

Open Economies Review, Vol. 18, No. 2, pp. 157-176, 2007

27 Pages Posted: 12 Feb 2008

See all articles by Marco Cipriani

Marco Cipriani

Federal Reserve Bank of New York

Graciela Kaminsky

National Bureau of Economic Research (NBER); George Washington University - Department of Economics

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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.

Keywords: Volatility, Issuance, International Financial Markets

JEL Classification: F3

Suggested Citation

Cipriani, Marco and Kaminsky, Graciela, Volatility in International Financial Market Issuance: The Role of the Financial Center. HKIMR Working Paper No. 21/2007; Open Economies Review, Vol. 18, No. 2, pp. 157-176, 2007. Available at SSRN: https://ssrn.com/abstract=1091829

Marco Cipriani

Federal Reserve Bank of New York ( email )

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New York, NY 10045
United States

Graciela Kaminsky

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

George Washington University - Department of Economics ( email )

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Washington, DC 20052
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HOME PAGE: http://www.gracielakaminsky.com/

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