Macroeconomic Volatility and Stock Market Volatility, Worldwide

Francis Diebold and Kamil Yilmaz ()

No 14269, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

JEL-codes: E0 G1 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-mac
Note: AP EFG IFM
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Citations: View citations in EconPapers (52)

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Related works:
Working Paper: Macroeconomic Volatility and Stock Market Volatility, World-Wide (2008)
Working Paper: Macroeconomic Volatility and Stock Market Volatility,World-Wide (2007)
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