Financial and nonfinancial global stock market volatility shocks

被引：6
|
作者：
Kang, Wensheng [1 ]
Ratti, Ronald A. [2 ,4 ]
Vespignani, Joaquin [3 ,4 ]
机构：
[1] Kent State Univ, Dept Econ, Kent, OH 44242 USA
[2] Univ Missouri, Dept Econ, Columbia, MO 65211 USA
[3] Univ Tasmania, Tasmanian Sch Business & Econ, Hobart, Tas, Australia
[4] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT, Australia
来源：
ECONOMIC MODELLING | 2021年 / 96卷
关键词：
Global; Stock market volatility shocks; Monetary policy; FAVAR;
D O I：
10.1016/j.econmod.2020.12.031
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：128 / 134
页数：7
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