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The recent behaviour of financial market volatility

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  • Bank for International Settlements

Abstract

This BIS Paper studies the behaviour of financial market volatility since 1970, with special emphasis on the evolution in recent years. Financial market volatility plays an important role in corporate investment decisions and in the willingness and ability of banks to extend credit. This Report emphasises that the reduction in volatility seen in recent years largely represents: the consequence of improvements in the functioning and structure of global financial markets; increased market liquidity; the greater role of institutional investors; better communication between central banks and financial markets; and stronger company balance sheets. The study was prepared by a study group under the Chairmanship of Mr Fabio Panetta of the Bank of Italy.

Suggested Citation

  • Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
  • Handle: RePEc:bis:bisbps:29
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    References listed on IDEAS

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    Cited by:

    1. Stefan Gerlach & Mathias Hoffmann, 2008. "The Impact of the Euro on International Stability and Volatility," European Economy - Economic Papers 2008 - 2015 309, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

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