Publications [#294354] of Lori Leachman

Journal Articles

1. Francis, BB; Leachman, LL, The volatility and transmission of equity returns among the G-7 countries: The post-Bretton Woods experience, International Review of Applied Economics, vol. 10 no. 2 (January, 1996), pp. 289-303, Informa UK Limited [doi]
   (last updated on 2026/01/17)

   Abstract:
   This paper models the volatility of national stock market returns of the G-7 countries using ARCH and GARCH modeling techniques. Then, via the use of vector autoregression analysis, the international transmission of volatility among the countries is explored for the period between April 1973 and July 1990. Variance decompositions are calculated in order to quantify the impacts of volatility shocks in one market on the others. Impulse response functions are used to inspect the dynamic responses of domestic and foreign volatility shocks. Results indicate that volatility transmission among the G-7 countries is the norm in the post-Bretton Woods era. Further, we find that volatility shocks are generally absorbed within six to nine months.