Contractionary Volatility or Volatile Contractions?

Stefano Giglio, Ian Dew-Becker and David Berger

No 673, 2016 Meeting Papers from Society for Economic Dynamics

Abstract: Innovations in realized volatility are associated with recessions, while shocks to volatility expectations are not.

Date: 2016
New Economics Papers: this item is included in nep-rmg
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