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Financial and nonfinancial global stock market volatility shocks

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Date

2021

Authors

Kang, Wensheng
Ratti, Ronald
Vespignani, Joaquin

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

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.

Description

Keywords

Global, Stock market volatility shocks, Monetary policy, FAVAR

Citation

URI

http://hdl.handle.net/1885/298850

Collections

ANU Research Publications

Source

Economic Modelling

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.econmod.2020.12.031

Restricted until

2099-12-31

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1-s2.0-S0264999320312967-main.pdf (837.82 KB)

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