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Financial and non-financial global stock market volatility shocks

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Kang, W, Ratti, RA and Vespignani, JL ORCID: 0000-0003-0265-4377 2018 , Financial and non-financial global stock market volatility shocks.

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Abstract

We decompose global stock market volatility shocks into financial originated shocks and nonfinancial originated shocks. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in global growth and inflation, respectively. In contrast, the on-financial stock market
volatility shocks forecasts only 8.0% and 2.19% of the variation in global growth and inflation.
Beside this markable difference global interest/policy rate responds similarly to both shocks.

Item Type: Report (Discussion Paper)
Authors/Creators:Kang, W and Ratti, RA and Vespignani, JL
Keywords: global, stock market volatility shocks, monetary policy, FAVAR
Publisher: University of Tasmania
Copyright Information:

Copyright 2018 University of Tasmania

Additional Information:

JEL Classification numbers: D80, E44, E66, F62, G10

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