International spillovers of U.S. financial volatility

Kimberly Berg and Nam Vu

Journal of International Money and Finance, 2019, vol. 97, issue C, 19-34

Abstract: We study the international spillover effects of U.S. bond and stock market volatility using a panel data set of seventeen developed countries. We find significant spillover impacts of U.S. financial market volatility on international output growth. Volatility of U.S bonds with longer maturities is shown to have a more significant impact on international output growth than volatility of U.S. bonds with shorter maturities. Regardless of the maturity of the bonds, U.S. financial market volatility is shown to play a larger role statistically in explaining international output growth than a country’s own financial market volatility.

Keywords: Bond volatility; Stock volatility; International output growth; Spillovers (search for similar items in EconPapers)
JEL-codes: E4 F3 F4 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:97:y:2019:i:c:p:19-34

DOI: 10.1016/j.jimonfin.2019.05.010

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