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

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Author Info
Marco Cipriani
Graciela L. Kaminsky

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Abstract

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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 12587.

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Date of creation: Oct 2006
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Handle: RePEc:nbr:nberwo:12587

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F3 - International Economics - - International Finance

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