Journal of Risk

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Fifty years of UK asset price volatility

Nicola Anderson, Francis Breedon

ABSTRACT

This paper analyzes the volatility of UK equity, bond, and treasury bill returns, and the dollar/sterling exchange rate since 1945. It is found that the volatility of all these assets is on a declining trend after peaking in the late 1970s. It seems that greater macro-economic stability is the most likely cause of the current declining trend. Volatility is, however, still significantly higher than in the Bretton Woods era.

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