 | Why Does Bad News Increase Volatility and Decrease Leverage? Author/Editor: Ana Fostel, John Geanakoplos. Release Date:September, 2010 The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper more...
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| Persistent Gaps, Volatility Types, and Default Traps Author/Editor: Ana Fostel, Sandeep Kapur, Luis Catão. Release Date:June, 2007 We show that cross-country differences in the underlying volatility and persistence of macroeconomic shocks help explain two historical regularities in sovereign borrowing: the existence of vicious more...
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