The Recent Behaviour of Financial Markets Volatility

４８页 3.56M August 2006

美意多位专家联袂力作

Contents
Study group on financial markets volatility............................................................................... iii
1. Introduction and executive summary...............................................................................1
Recent patterns in volatility .............................................................................................1
Why did volatility decrease?............................................................................................1
Is the reduction in volatility temporary or permanent?.....................................................2
Implications for financial stability .....................................................................................3
2. Recent patterns in volatility .............................................................................................3
2.1 Methodology in brief...............................................................................................3
2.2 The current low level of volatility on a global scale: some empirical evidence.......4
Individual markets ..................................................................................................4
A global perspective...............................................................................................5
2.3 Volatility from a longer-term perspective................................................................9
3. Determinants of volatility ...............................................................................................12
4. Impact of real factors on volatility: empirical evidence ..................................................13
4.1 Is the recent reduction in volatility due to the “Great Moderation”?......................13
4.2 Business cycle .....................................................................................................15
Changes in volatility over the business cycle.......................................................15
4.3 Volatility and firm-level characteristics .................................................................16
Leverage ..............................................................................................................16
Profitability............................................................................................................17
5. Financial factors ............................................................................................................18
5.1 Increased risk-taking ............................................................................................19
5.2 Improved market liquidity and financial innovation...............................................20
Financial innovation and new financial products..................................................21
The evolving role of institutional investors ...........................................................21
5.3 Developments in the US residential mortgage market.........................................22
Diminished refinancing activity.............................................................................23
Increased origination of adjustable rate mortgages .............................................23
Increased prominence of static hedging strategies..............................................24
Shift in the buyers of MBSs..................................................................................24
6. Real and financial shocks: the “good luck” hypothesis..................................................24
7. The role of monetary policy ...........................................................................................25
7.1 The indirect effect of monetary policy on financial volatility .................................26
7.2 The direct effect of monetary policy on financial volatility ....................................26
Recent changes ...................................................................................................26
Empirical evidence ...............................................................................................27

Appendix 1: Methodology in detail ......................................................................................... 30
Appendix 2: Trends in daily volatility across markets and countries...................................... 32
References............................................................................................................................ 39