Marcela Valenzuela´s paper was published in the Review of Financial Studies

The paper “Learning from history: volatility and financial crises“, written by Marcela Valenzuela, academic at the Industrial Engineering Department, together with Jon Danielsson and Ilknur Zer, was published in the Review of Financial Studies.

The paper studies the effects of stock market volatility on investor risk-taking and financial crises. To this end, a database with information on volatility for 60 countries is constructed, spanning more than 200 years.

“Prolonged periods of low volatility have a high predictive power over banking crises, while the level of volatility itself does not predict crises. Low volatility increases credit and leverage in the financial system, which indicates that agents take more risk in periods of low risk”, says the researcher.

The Review of Financial Studies is an academic journal that covers the field of finance. It is published by Oxford University Press on behalf of the Society of Financial Studies.