Financial and nonfinancial global stock market volatility shocks

Wensheng Kang, Ronald A. Ratti, Joaquin Vespignani

    Research output: Contribution to journalArticle

    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.
    Original languageEnglish
    Pages (from-to)128-134
    JournalEconomic Modelling
    Volume96
    DOIs
    Publication statusPublished - 2021

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