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Financial and nonfinancial global stock market volatility shocks
journal contribution
posted on 2023-05-20, 20:35 authored by Kang, W, Ratti, RA, Joaquin VespignaniJoaquin VespignaniWe 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.
History
Publication title
Economic ModellingVolume
96Pagination
128-134ISSN
0264-9993Department/School
TSBEPublisher
Elsevier Science BvPlace of publication
Po Box 211, Amsterdam, Netherlands, 1000 AeRights statement
© 2020 Published by Elsevier B.V.Repository Status
- Restricted