Financial and non-financial global stock market volatility shocks

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in global growth and inflation, respectively. In contrast, the non-financial stock market volatility shocks forecasts only 8.0% and 2.19% of the variation in global growth and inflation. Beside this markable difference global interest/policy rate responds similarly to both shocks.

Keywords: Global; Stock market volatility Shocks; Monetary Policy; FAVAR (search for similar items in EconPapers)
JEL-codes: D80 E44 E66 F62 G10 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2018-11
New Economics Papers: this item is included in nep-fdg, nep-fmk, nep-mac and nep-rmg
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Related works:
Journal Article: Financial and nonfinancial global stock market volatility shocks (2021)
Working Paper: Financial and non-financial global stock market volatility shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2018-58

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