Financial and nonfinancial global stock market volatility shocks

Wensheng Kang; Ronald A. Ratti; Joaquin Vespignani

doi:10.1016/j.econmod.2020.12.031

Financial and nonfinancial global stock market volatility shocks

Wensheng Kang, Ronald A. Ratti, Joaquin Vespignani

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	128-134
Journal	Economic Modelling
Volume	96
DOIs	https://doi.org/10.1016/j.econmod.2020.12.031
Publication status	Published - 2021

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10.1016/j.econmod.2020.12.031

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@article{4bfbe0faf28247e8adbb83747801d08c,

title = "Financial and nonfinancial global stock market volatility shocks",

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.",

author = "Wensheng Kang and Ratti, {Ronald A.} and Joaquin Vespignani",

year = "2021",

doi = "10.1016/j.econmod.2020.12.031",

language = "English",

volume = "96",

pages = "128--134",

journal = "Economic Modelling",

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AU - Kang, Wensheng

AU - Ratti, Ronald A.

AU - Vespignani, Joaquin

PY - 2021

Y1 - 2021

N2 - 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.

AB - 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.

U2 - 10.1016/j.econmod.2020.12.031

DO - 10.1016/j.econmod.2020.12.031

M3 - Article

VL - 96

SP - 128

EP - 134

JO - Economic Modelling

JF - Economic Modelling

SN - 0264-9993

ER -

Financial and nonfinancial global stock market volatility shocks

Abstract

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