Volatility in International Financial Market Issuance: The Role of the Financial Center
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.
This paper was in part written while Cipriani was visiting the European Institute in Florence and Kaminsky was a visiting scholar at the Hong Kong Monetary Authority. We thank both institutions for their hospitality. We thank the Center for the Study of Globalization at George Washington University for financial support. We also thank Pablo Vega-Garcia for excellent research assistance. The views expressed here are those of the authors and not necessarily those of the Hong Kong Monetary Authority or the National Bureau of Economic Research.
Marco Cipriani & Graciela Kaminsky, 2007. "Volatility in International Financial Market Issuance: The Role of the Financial Center," Open Economies Review, Springer, vol. 18(2), pages 157-176, April. citation courtesy of