Financial and nonfinancial global stock market volatility shocks

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

Economic Modelling, 2021, vol. 96, issue C, 128-134

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.

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)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Financial and non-financial global stock market volatility shocks (2018)
Working Paper: Financial and non-financial global stock market volatility shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:96:y:2021:i:c:p:128-134

DOI: 10.1016/j.econmod.2020.12.031

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