inflation has always been an economic problem and different solutions have been proposed to control it. although it is said that “higher output lowers inflation rate” but it is true when other factors are constant. this study searches the answer to the following question: “what is the effect of inflation rate and output in a case that inflation rate and output growth has a volatility trend?” to...

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect bymodeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model pre...

Can food prices cause social unrest? Throughout history, riots have frequently broken out, ostensibly as a consequence of high food prices. Using monthly data at the international level, this paper studies the impact of food prices – both food price levels volatility – on social unrest. Because food prices and social unrest are jointly determined, data on natural disasters are used to identify ...

Since 2020, the scale of ESG responsible investment in China has developed rapidly, and during epidemic, city was affected by closure roads. Although it is difficult to influence consumers' choice product market short term, investors stock can "vote with their feet" a timely manner, so how do perceive rating company? What perception company's rating? This paper examines role ratings China's A-s...

We study the parametric problem of estimating the drift coefficient in a stochastic volatility model Yt = ∫ t 0 √ Vs dWs , where Y is a log price process and V the volatility process. Assuming that one can recover the volatility, precisely enough, from the observation of the price process, we construct an efficient estimator for the drift parameter of the diffusion V . As an application we pres...

Recent price spikes(1,2) have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades(3,4). However, commodity price volatility is also influenced by other factors(5,6), which may either exacerbate or buffer the effects of climate change. Here we show that US corn price volatility exhibits higher sensitivity to near-term climate change th...

How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity, real stock returns, real oil prices and oil price volatility. Results indicate the dominance of oil p...

This paper investigates the common volatility structure of Taiwan’s stock and exchange rate markets. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading vo...