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Financial and nonfinancial global stock market volatility shocks
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Kang, W, Ratti, RA and Vespignani, J
ORCID: 0000-0003-0265-4377 2021
, 'Financial and nonfinancial global stock market volatility shocks'
, Economic Modelling, vol. 96
, pp. 128-134
, doi: 10.1016/j.econmod.2020.12.031.

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Abstract
We decompose global stock market volatility shocks into financial originated shocks and nonfinancial originatedshocks. Global stock market volatility shocks that arise from financial sources reduce global outputs and inflationsubstantially more than shocks from nonfinancial sources. Financial stock market volatility shocks forecast16.85% and 16.88% of the variation in global growth and inflation, respectively. In contrast, nonfinancial stockmarket volatility shocks forecast only 8.0% and 2.19% of the variation in global growth and inflation.
Item Type: | Article |
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Authors/Creators: | Kang, W and Ratti, RA and Vespignani, J |
Keywords: | global stock market volatility shocks, monetary policy, FAVAR |
Journal or Publication Title: | Economic Modelling |
Publisher: | Elsevier Science Bv |
ISSN: | 0264-9993 |
DOI / ID Number: | 10.1016/j.econmod.2020.12.031 |
Copyright Information: | © 2020 Published by Elsevier B.V. |
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