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^*

^*Corresponding author for this work

Indonesia Project

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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
Number of pages	7
Journal	Economic Modelling
Volume	96
DOIs	https://doi.org/10.1016/j.econmod.2020.12.031
Publication status	Published - Mar 2021

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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.",

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

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

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AU - Ratti, Ronald A.

AU - Vespignani, Joaquin

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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.

KW - FAVAR

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KW - Monetary policy

KW - Stock market volatility shocks

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JO - Economic Modelling

JF - Economic Modelling

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Financial and nonfinancial global stock market volatility shocks

Abstract

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