Financial and non-financial global stock market volatility shocks
| dc.contributor.author | Kang, Wensheng | |
| dc.contributor.author | Ratti, Ronald A. | |
| dc.contributor.author | Vespignani, Joaquin | |
| dc.date.accessioned | 2025-04-02T04:12:10Z | |
| dc.date.available | 2025-04-02T04:12:10Z | |
| dc.date.issued | 2018-04 | |
| dc.description.abstract | We decompose global stock market volatility shocks into financial originated shocks and non-financial 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 non-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. | |
| dc.identifier.issn | 2206-0332 | |
| dc.identifier.uri | https://hdl.handle.net/1885/733746050 | |
| dc.language.iso | en_AU | |
| dc.provenance | The publisher permission to make it open access was granted in November 2024 | |
| dc.publisher | Crawford School of Public Policy, The Australian National University | |
| dc.relation.ispartofseries | CAMA Working Paper 58/2018 | |
| dc.rights | Author(s) retain copyright | |
| dc.source | Centre for Applied Macroeconomic Analysis Working Papers | |
| dc.source.uri | https://crawford.anu.edu.au | |
| dc.title | Financial and non-financial global stock market volatility shocks | |
| dc.type | Working/Technical Paper | |
| dcterms.accessRights | Open Access | |
| dspace.entity.type | Publication | |
| local.bibliographicCitation.issue | 58/2018 | |
| local.type.status | Published Version |