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

31 Pages Posted: 17 Oct 2006 Last revised: 21 Feb 2007

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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Date Written: October 2006

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.

Suggested Citation

Cipriani, Marco and Kaminsky, Graciela, Volatility in International Financial Market Issuance: The Role of the Financial Center (October 2006). NBER Working Paper No. w12587. Available at SSRN: https://ssrn.com/abstract=936588

Marco Cipriani

Federal Reserve Bank of New York ( email )

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Graciela Kaminsky (Contact Author)

National Bureau of Economic Research (NBER)

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George Washington University - Department of Economics ( email )

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HOME PAGE: http://www.gracielakaminsky.com/

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