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UK Asset Price Volatility Over the Last 50 Years

  • Nicola Anderson
  • Francis Breedon

The paper analyses the volatility of UK equity, bond and treasury bill returns and the sterling/dollar exchange rate since 1945. It finds that the volatility of all these assets is on a declining trend after peaking in the late '70s. It seems that greater nominal and real macroeconomic stability are the most likely causes of the current declining trend. Volatility is, however, still significantly higher than in the Bretton Woods era. The authors find no evidence that asset price volatility has any consequences for real activity.

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File URL: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1996/wp51.pdf
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Paper provided by Bank of England in its series Bank of England working papers with number 51.

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Date of creation: Jun 1996
Date of revision:
Handle: RePEc:boe:boeewp:51
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  1. Quah, Danny, 1995. "Measuring Core Inflation," CEPR Discussion Papers 1153, C.E.P.R. Discussion Papers.
  2. Francis Breedon & Ian Twinn, 1995. "Valuation of underwriting agreements for UK rights issues: evidence from the traded option market," Bank of England working papers 39, Bank of England.
  3. Danny Quah & Danny Quah & Shaun P. Vahey, 1995. "Measuring Core Inflation," CEP Discussion Papers dp0254, Centre for Economic Performance, LSE.
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