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

27 Pages Posted: 12 Feb 2008 Last revised: 6 Sep 2022

Multiple version iconThere are 2 versions of this paper

Date Written: November 2007

Abstract

This working paper was written by Marco Cipriani (George Washington University) and Graciela L. Kaminsky (George Washington University and NBER).

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

Institute for Monetary and Financial Research, Hong Kong, Volatility in International Financial Market Issuance: The Role of the Financial Center (November 2007). Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 21/2007, Open Economies Review, Vol. 18, No. 2, pp. 157-176, 2007, Available at SSRN: https://ssrn.com/abstract=1091829

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