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Financial Volatility and Real Economic Activity (Paperback)
Loot Price: R1,061
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Financial Volatility and Real Economic Activity (Paperback)
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Published in 1999. The issue of financial volatility, especially
since financial deregulation, has given rise to concerns regarding
the effects of increased financial volatility on real economic
activity. Two issues represent a substantial challenge to financial
economists with respect to these concerns. The first relates to the
identification of the causes of increased volatility in financial
markets. Identification is a first step towards increasing both
financial economists' and policy-makers' understanding of the
interrelated causes of financial volatility. The second requires
linking the effects of increased financial volatility to the real
sector of the economy by examining the channels through which
financial volatility influences fundamental economic variables. In
order to address these two issues, the analysis initially develops
and estimates a model which is capable of explaining the financial
and business cycle determinates of movements in the conditional
volatility of the Australian All Industrials stock market index.
Evidence suggests that a significant linkage exists between the
conditional volatility of the money supply. Models are then
developed to examine how monetary volatility is transmitted to the
volatility of financial asset prices, inflation and real output in
an open economy. The results indicate that while financial
volatility has increased to some extent since the late 1980s, this
has been transferred non-uniformly towards increasing volatility of
both real and financial activity.
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