Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica
30 Pages Posted: 10 Jun 2005
Date Written: May 2005
Abstract
Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has been less emphasis on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
By Clara Vega, Torben G. Andersen, ...
-
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
By Torben G. Andersen, Clara Vega, ...
-
By Torben G. Andersen and Tim Bollerslev
-
Tests of Microstructural Hypotheses in the Foreign Exchange Market
-
Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
