Stock market volatility and macroeconomic uncertainty. Evidence from survey data

Ivo Arnold () and Evert B. Vrugt
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Evert B. Vrugt: Nyenrode Business Universiteit

No 06-08, Nyenrode Research Papers Series from Nyenrode Business Universiteit

Abstract: This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much stronger than that between stock market volatility and the more traditional time-series measures of macroeconomic volatility, but disappears after 1996.

Keywords: Stock market volatility; macro-economic factors; survey data (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cfn, nep-fmk and nep-mac
Date: 2006

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Persistent link: http://EconPapers.repec.org/RePEc:dgr:nijrep:2006-08

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