| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1944 |
| DP1944 Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics | |
| Robert P Flood; Andrew Rose | |
| 发表日期 | 1998-08-31 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or ?dispersion? of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962?95 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle. |
| 主题 | Financial Economics |
| 关键词 | Business cycles Dispersion Volatility |
| URL | https://cepr.org/publications/dp1944 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531079 |
| 推荐引用方式 GB/T 7714 | Robert P Flood,Andrew Rose. DP1944 Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics. 1998. |
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