Breaks and persistency: macroeconomic causes of stock market volatility

被引：68

作者：

Beltratti, A

Morana, C

机构：

[1] Univ Bocconi, Dipartimento Econ Polit, Milan, Italy

[2] Univ Piemonte Orientale, Dipartimento Sci Econ & Metodi Quantitat, Fac Econ, I-28100 Novara, Italy

[3] Int Ctr Econ Res, Turin, Italy

来源：

JOURNAL OF ECONOMETRICS | 2006年 / 131卷 / 1-2期

关键词：

stock market volatility; macroeconomic volatility; long mernory; fractional cointegration; structural change;

D O I：

10.1016/j.jeconom.2005.01.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970-2001. We find evidence of a twofold linkage between stock market and macroeconomic volatility. Firstly, the break process in the volatility of stock returns is associated with the break process in the volatility of the Federal funds rate and M I growth. Secondly, two common long memory factors, mainly associated with output and inflation volatility, drive the break-free volatility series. While stock market volatility also affects macroeconomic volatility, the causality direction is stronger from macroeconomic to stock market volatility. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：151 / 177

页数：27

共 40 条

[1] Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns [J].