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Financial and nonfinancial global stock market volatility shocks

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
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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