Volatility in an era of reduced uncertainty: Lessons from Pax Britannica

被引：21

作者：

Brown, WO

Burdekin, RCK ^{[1
]}

Weidenmier, MD

机构：

[1] Claremont Mckenna Coll, Claremont, CA 91711 USA

[2] Natl Bur Econ Res, Cambridge, MA USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2006年 / 79卷 / 03期

关键词：

asset prices; financial market volatility; consols; Pax Britannica;

D O I：

10.1016/j.jfineco.2005.04.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Although it has been well established that financial volatility is related to news and macroeconomic shocks, less emphasis has been placed on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic Wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：693 / 707

页数：15

共 47 条

[41] THE DISTRIBUTION OF EARNINGS NEWS OVER TIME AND SEASONALITIES IN AGGREGATE STOCK RETURNS [J].