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Financial and nonfinancial global stock market volatility shocks

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dc.contributor.authorKang, Wensheng
dc.contributor.authorRatti, Ronald
dc.contributor.authorVespignani, Joaquin
dc.date.accessioned2023-09-08T01:55:34Z
dc.date.issued2021
dc.date.updated2022-07-31T08:17:18Z
dc.description.abstractWe 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.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0264-9993en_AU
dc.identifier.urihttp://hdl.handle.net/1885/298850
dc.language.isoen_AUen_AU
dc.publisherElsevieren_AU
dc.rights© 2020 Published by Elsevier B.V.en_AU
dc.sourceEconomic Modellingen_AU
dc.subjectGlobalen_AU
dc.subjectStock market volatility shocksen_AU
dc.subjectMonetary policyen_AU
dc.subjectFAVARen_AU
dc.titleFinancial and nonfinancial global stock market volatility shocksen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.lastpage134en_AU
local.bibliographicCitation.startpage128en_AU
local.contributor.affiliationKang, Wensheng, Kent State Universityen_AU
local.contributor.affiliationRatti, Ronald A., College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationVespignani, Joaquin, College of Asia and the Pacific, ANUen_AU
local.contributor.authoruidRatti, Ronald A., t2006en_AU
local.contributor.authoruidVespignani, Joaquin, t1790en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350200 - Banking, finance and investmenten_AU
local.identifier.ariespublicationa383154xPUB17443en_AU
local.identifier.citationvolume96en_AU
local.identifier.doi10.1016/j.econmod.2020.12.031en_AU
local.identifier.scopusID2-s2.0-85099400232
local.identifier.thomsonIDWOS:000617208700010
local.publisher.urlhttps://www.elsevier.com/en-auen_AU
local.type.statusPublished Versionen_AU

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