Ramsey models of fiscal and monetary policy featuring time-separable preferences and a fixed supply of capital predict highly volatile inflation with no serial correlation. In this paper, we show that an otherwise-standard Ramsey model that incorporates capital accumulation and habit persistence predicts highly persistent inflation. The result depends on increases in either the ability to smoot...

In this paper we re-examine the question of the excessive implied persistence of volatility estimates when GARCH-type models are used. We consider ten actively traded US stocks and we con rm the already established result in the literature that, when volume traded is inserted in the GARCH(1,1) or EGARCH(1,1) models for returns, the estimated persistence decreases. Since we feel that volume is a...

A number of explanations for the observed decline in GDP volatility since the mid‐1980s have been offered. Valerie Ramey and Daniel Vine (2003a, 2003b) in a couple of recent papers offer the hypothesis that a decline in the persistence of sales is an explanation for the decline in GDP volatility. Their models show that a decrease in sales persistence leads to a decline in the variance of prod...

Recent evidence has shown possible scaling and self-similarity in high frequency financial time series. This paper demonstrates that many of these graphical scaling results could have been generated by a simple stochastic volatility model. This casts doubt on the power of these tests to discern between true scaling and simple highly dependent stochastic processes. JEL Classification: C32, G12 ∗...

The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...

a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogenous preferences and equal access to information, but disagree about the length of the business cycle. We show that while the absolute level of volatility is driven primarily by long-run risk, the variation and persiste...

The empirical evidence suggests that stock returns in the emerging technology environment exhibit high return volatility. fundamental aim of article is to investigate dynamic, time series properties correlations between daily log and magnitude volatility transmissions from technologies Spanish banking sector, market portfolio finance industry EU area. Using for performance variables an equally ...