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Revising the Impact of Financial and Non-Financial Global Stock Market Volatility Shocks

Wensheng Kang, Ronald Ratti and Joaquin Vespignani ()

MPRA Paper from University Library of Munich, Germany

Abstract: We decompose global stock market volatility shocks into financial originated shocks and nonfinancial 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 on-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: E00 E02 E3 E40 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-fdg, nep-fmk, nep-mac and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:103019

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