### Table 8: Mean period-to-period absolute value of changes in stated beliefs Player Experiment 1 Experiment 3

2002

"... In PAGE 22: ... These calculations are presented in Table 8. [ Table8 here] From Table 8, there is no solid evidence that beliefs are more volatile when subjects are randomly matched. The mean (median) volatilities in Experiment 1, where no random matching occurred, was 0.... In PAGE 22: ... These calculations are presented in Table 8. [Table 8 here] From Table8 , there is no solid evidence that beliefs are more volatile when subjects are randomly matched. The mean (median) volatilities in Experiment 1, where no random matching occurred, was 0.... ..."

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### Table 1 Notation for the Mean and Volatility of Spot and Futures Rates

"... In PAGE 9: ...7 #1B#280;t;t#29 = #5Bvar 0 #5Bf t;t #5D=t#5D 1 2 and #16#280;T;T#29 = E 0 #5Bf T;T #5D #1B#280;T;T#29 = #5Bvar 0 #5Bf T;T #5D=T #5D 1 2 In the case of futures rates, we de#0Cne the mean and standard deviation at time-0 of the log-futures at time-t for delivery at time-T as #16#280;t;T#29 = E 0 #5Bf t;T #5D #1B#280;t;T#29 = #5Bvar 0 #5Bf t;T #5D=t#5D 1 2 Table1 summarizes the notation used in the paper. Note that the mean and variance of the spot rate are statistics of a time-t or a time-T measurable random variable.... ..."

### Table 2 Consumption growth volatility and equity market liberalization Number of

"... In PAGE 9: ...1. Equity market liberalization and growth variability In Table2 , we explore the role of control variables in the relation between consumption growth volatility and equity market liberalization. In the first panel, we run a fixed effects re- gression examining the 40 country sample.... In PAGE 10: ...Table2 considers a set of control variables that are typically used in level growth regressions: initial GDP (1980), government consumption to GDP, secondary school en- rollment, population growth, and life expectancy. We expect more developed economies to have a more diversified industrial structure and more sophisticated macroeconomic policies that help reduce the variability of growth.... In PAGE 11: ...Table2 explores the role of time effects. We consider both a time trend variable as well as 16 different year dummy variables.... In PAGE 11: ... Panel A of Table 3 focuses on the IMF measure of openness. While the regression includes the standard control variables and a time trend, we only report the coefficients on the liberaliza- tion indicators because the signs and magnitudes of the coefficients on the control variables are generally similar to Table2 . When the equity market liberalization variable is replaced with the IMF variable, the coefficient is still negative but one-third the magnitude of the equity market liberalization coefficient.... In PAGE 12: ... The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980e2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , with a time trend. Panel A includes the IMF capital account openness indicator.... In PAGE 13: ... To measure the effect of capital account liberalization and to avoid the critique that omitted variables may cause the negative coefficients, we also run regressions of consumption growth volatility on fixed effects and the capital account openness measures. These regressions are comparable to Panel A in Table2 for equity market liberaliza- tion.... In PAGE 13: ....3.2. Stabilizing influence of the government sector In Table2 , we found that the size of the government sector is positively correlated with con- sumption growth volatility. It is conceivable that this hides two results.... In PAGE 14: ...0018) The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980e2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , includ- ing a time trend. Panel A includes the official liberalization indicator and the liberalization intensity measure.... In PAGE 17: ..., 2004). As determinants, the anal- ysis includes economic development measures (the control variables of Table2 ), growth oppor- tunity measures, measures of the volatility of shocks, political risk measures, and a financial development measure. Among the economic development measures, only secondary school enrollment predicts lib- eralization significantly.... In PAGE 19: ... The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980e2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend. Table 1 provides a detailed description for each variable.... In PAGE 26: ... The dependent variable is the logged value of the ratio of the five-year standard deviation of the real consumption growth rate to the five-year standard deviation of the real GDP growth rate calculated over 1980e2000. In all cases, we include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend. Table 1 provides a detailed description for each variable.... In PAGE 31: ...0073 3.6908 This table presents evidence from a Monte Carlo procedure (with 1000 replications) that mimics the GMM estimation presented in Table2 , for our largest sample of 95 countries. The dependent variable is the five-year overlapping standard deviation of real per capita consumption.... In PAGE 31: ... The dependent variable is the five-year overlapping standard deviation of real per capita consumption. The independent variables are the ones used in Table2 (with a time trend), but the liberalization variable is randomized using the procedure documented in the text. The weighting matrix we employ in our GMM estimation provides a correction for cross-sectional heteroskedasticity.... ..."

### Table 2 Consumption Growth Volatility and Equity Market Liberalization

"... In PAGE 8: ...Consumption Growth Volatility and Financial Liberalization 3.1 Equity market liberalization and growth variability In Table2 , we explore the role of control variables in the relation between consumption growth volatility and equity market liberalization. In the first panel, we run a fixed effects regression examining the 40 country sample.... In PAGE 8: ... The coefficient is highly significantly negative in the larger sample and not different from zero in the smaller sample. The final panel in Table2 explores the role of time effects. We consider both a time trend... In PAGE 9: ... Panel A of Table 3 focuses on the IMF measure of openness. While the regression includes the standard control variables and a time trend, we only report the coefficients on the liberalization indicators because the signs and magnitudes of the coefficients on the control variable are generally similar to Table2 . When the equity market liberalization variable is replaced with the IMF variable, the coefficient is still negative but one third the magnitude of the equity market liberalization coefficient.... In PAGE 11: ...3.2 Stabilizing influence of the government sector In Table2 , we found that the size of the government sector increases consumption growth volatility. It is conceivable that this hides two results.... In PAGE 17: ... All independent variables are five-year averages before the liberalization decision with segmented countries matched with liberalizers according to geographic proximity. The independent variables include the standard control variables of Table2 and two measures of growth opportunities: the measure created in BHLS (2004) and past real GDP growth (the average of five years of GDP growth). Importantly, we examine the effect of volatility differences across countries on the liberal- ization decision.... In PAGE 22: ... Table 7 explores the relation between GDP (or shock) volatility and financial liberaliza- tions. The format is similar to Table2 and so are the results. We consider a fixed effects regression with the liberalizer countries and regressions with control variables and a time trend for our two samples.... In PAGE 40: ...0018 The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980-2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend. In Panel A, the Official Liberalization Indicator takes a value of one when the equity market is liberalized; otherwise, it takes on a value of zero.... In PAGE 41: ... The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980- 2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , with a time trend. In Panel A, the IMF Capital Account Openness Indicator takes on a value of zero if the country has at least one reported capital account restriction.... In PAGE 43: ... The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980-2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend. The Official Liberalization Indicator takes a value of one when the equity market is liberalized; otherwise, it takes on a value of zero.... In PAGE 44: ...0045 The dependent variable is the five-year standard deviation of the real GDP growth rate calculated over 1980-2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend, with the exception of the fixed effects estimate in the first line where no controls are included. The Official Liberalization Indicator takes a value of one when the equity market is liberalized; otherwise, it takes on a value of zero.... In PAGE 45: ... The dependent variable is the logged value of the ratio of the five-year standard deviation of the real consumption growth rate to the five-year standard deviation of the real GDP growth rate calculated over 1980-2000. In all cases, we include in the regressions, but do not report, the same control variables as presented in Table2 , including a time trend. The Liberalization Intensity measure is the ratio of IFC Investables to IFC Global market capitalization.... In PAGE 46: ...0567 *** 75 Yes The dependent variable is the five-year standard deviation of the real consumption growth rate calculated over 1980-2000. We include in the regressions, but do not report, the same control variables as presented in Table2 , with a time trend. For each regression, we separate the liberalization effect for fully liberalized and liberalizing countries.... In PAGE 47: ... Variable Description Dating equity market liberalization Official equity market liberalization indicator Corresponding to a date of formal regulatory change after which foreign investors officially have the opportunity to invest in domestic equity securities. Official Liberalization dates, presented in Table2 , are based on Bekaert and Harvey (2002) A Chronology of Important Financial, Economic and Political Events in Emerging Markets, http://www.... In PAGE 52: ...0073 3.6908 This Table presents evidence from a Monte Carlo procedure (with 1000 replications) that mimics the GMM estimation presented in Table2 , for our largest sample of 95 countries. The dependent variable is the 5-year overlapping standard deviation of real per capita consumption.... In PAGE 52: ... The dependent variable is the 5-year overlapping standard deviation of real per capita consumption. The independent variables are the ones used in Table2 (with a time trend), but the liberalization variable is randomized using the procedure documented in the text. The weighting matrix we employ in our GMM estimation provides a correction for cross- sectional heteroskedasticity.... ..."

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### Table 1: Stochastic Frontier and Random E ects Estimates of E ciency Frontier for Economic Growth for European Regions: All Countries, NUTS 2 Level of Disaggregation, n = 266.?y

### Table 2: Stochastic Frontier and Random E ects Estimates of E ciency Frontier for Economic Growth for European Regions: All Countries, NUTS 3 Level of Disaggregation, n = 930.?y

### Table 3 Implied Volatility as Proxy for the Instantaneous Volatility

"... In PAGE 23: ...2.2 Exchange Rate Table3 veri#0Ces that the one-week implied volatility is a reasonable proxy for the instantaneous volatility of the exchange rate. It tests whether the true volatility of the exchange rate, denoted by h t , is constant #28h t = h 0 , model B#29, proportional to the implied volatility#28h t = h 1 v t , model C#29, or linear in the implied volatility#28h t = h 0 + h 1 v t , model D#29.... In PAGE 24: ... These apparent inconsistencies between the data and the theory could be due to noise in the volatility proxy or estimation error in the bound. Overall though, the results in Table3 and Figure 3 support our use of the one-week implied volatilityasaproxy for the instantaneous volatility of the exchange rate. The drift of the log exchange rate depends on the market price of pure currency risk #20, whichwe estimate to be 0.... ..."

### Table 8: Stochastic volatility - volatility of variance.

2002

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### Table 2: Historical Volatility vs Implied Volatility

### Table 2: Estimated Long-range Dependence Parameter for Daily Volatilities of 100 Ran- domly Selected S amp;P 500 Companies

2000

"... In PAGE 4: ... Any company having fewer than 3000 daily returns was replaced by another random draw within the same decile. The selected companies are given in Table2 , identified by their tick symbols. We test for long-range dependence in daily stock volatilities by estimating the fractional integrating parameter d for the logarithm of squared returns of selected companies.... In PAGE 6: ...he standard deviation of the GPH estimates, 0.0538 compared to 0.0913. We use these two methods to estimate d for the volatilities of S amp;P 500 companies. The second column of Table2 shows the estimates of d for the 100 selected companies using the spectral regression method. The mean and median of dGPH are 0.... In PAGE 7: ...Table2 shows the estimates of d for the 100 selected companies using QMLE. The QMLE estimates are consistent with those obtained using GPH, again in- dicating strong evidence of significant long-range dependence in the majority of sampled companies.... ..."

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