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

Author

Listed:
  • Marco Cipriani

    (George Washington University)

  • Graciela L. Kaminsky

    (George Washington University and NBER, Hong Kong Institute for Monetary Research)

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.

Suggested Citation

  • Marco Cipriani & Graciela L. Kaminsky, 2007. "Volatility in International Financial Market Issuance: The Role of the Financial Center," Working Papers 212007, Hong Kong Institute for Monetary Research.
  • Handle: RePEc:hkm:wpaper:212007
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    References listed on IDEAS

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    Cited by:

    1. Sergey Narkevich & Pavel Trunin, 2012. "Reserve Currencies: Factors of Evolution and their Role in the World Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 162P.

    More about this item

    Keywords

    Volatility; Issuance; International Financial Markets;

    JEL classification:

    • F3 - International Economics - - International Finance

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