UK Asset Price Volatility Over the Last 50 Years

Working papers set out research in progress by our staff, with the aim of encouraging comments and debate.
Published on 28 June 1996

Working Paper No. 51
By Nicola Anderson and Francis Breedon

This paper analyses the volatility of UK equity, bond, and treasury bill returns and the sterling/dollar exchange rate since 1945. It finds that the volatility of
all these assets is on a declining trend after peaking in the late seventies. It seems that greater nominal and real macroeconomic stability are the most likely
causes of the current declining trend. Volatility is, however, still significantly higher than in the Bretton Woods era. We find no evidence that asset price
volatility has any consequences for real activity.

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