TY  - JOUR
AU  - Cipriani,Marco
AU  - Kaminsky,Graciela L.
TI  - Volatility in International Financial Market Issuance: The Role of the Financial Center
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12587
PY  - 2006
Y2  - October 2006
UR  - http://www.nber.org/papers/w12587
L1  - http://www.nber.org/papers/w12587.pdf
N1  - Author contact info:
Marco Cipriani
Department of Economics
George Washington University
Washington, DC 20052
E-Mail: marco.cipriani@gwu.edu

Graciela L. Kaminsky
Department of Economics
George Washington University
Washington, DC  20052
Tel: 202/994-6686
Fax: 202/994-6147
E-Mail: graciela@gwu.edu
AB  - 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.
ER  -