Seminario académico: "Learning from history: volatility and financial crises"

16 de Junio, 13:00 horas. Sala P307.

Autor: Marcela Valenzuela, CEA U. de Chile.

Abstract:
“We study the effects of volatility on financial crises by constructing a cross-country database spanning over 200 years. Volatility is not a significant predictor of crises whereas unusually low volatility is. Low volatility is followed by credit and leverage build-ups, indicating that agents take more risk in periods of low risk consistent with Minsky instability hypothesis, and increasing the likelihood of a banking crisis. The impact is weaker in times of relatively strong financial regulations. Finally, both high and low volatilities make stock market crises more likely, while volatility in any form has no impact on currency crises”.