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

• 成果类型: Article; Proceedings Paper
• 署名作者: Brown, WO Jr; Burdekin, RCK; Weidenmier, MD
• 署名单位: Claremont Colleges; Claremont McKenna College; Claremont Graduate University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.04.002
• 发表日期: 2006
• 页码: 693-707
• 关键词: asset prices; financial market volatility; consols; Pax Britannica

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.