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Financial and nonfinancial global stock market volatility shocks

Citation

Kang, W and Ratti, RA and Vespignani, J, Financial and nonfinancial global stock market volatility shocks, Economic Modelling, 96 pp. 128-134. ISSN 0264-9993 (2021) [Refereed Article]


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DOI: doi:10.1016/j.econmod.2020.12.031

Abstract

We decompose global stock market volatility shocks into financial originated shocks and nonfinancial originated shocks. Global stock market volatility shocks that arise from financial sources reduce global outputs and inflation substantially more than shocks from nonfinancial sources. Financial stock market volatility shocks forecast 16.85% and 16.88% of the variation in global growth and inflation, respectively. In contrast, nonfinancial stock market volatility shocks forecast only 8.0% and 2.19% of the variation in global growth and inflation.

Item Details

Item Type:Refereed Article
Keywords:global stock market volatility shocks, monetary policy, FAVAR
Research Division:Economics
Research Group:Applied economics
Research Field:Agricultural economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Balance of payments
UTAS Author:Vespignani, J (Associate Professor Joaquin Vespignani)
ID Code:142621
Year Published:2021
Deposited By:Economics and Finance
Deposited On:2021-02-01
Last Modified:2021-02-03
Downloads:0

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