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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Marco Cipriani

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October 2006Volatility in International Financial Market Issuance: The Role of the Financial Center
with Graciela L. Kaminsky: w12587
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.

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