Financial and non-financial global stock market volatility shocks

Wensheng Kang (), Ronald Ratti and Joaquin Vespignani
Additional contact information
Wensheng Kang: Kent State University, https://www.kent.edu/business/wensheng-kang-phd

No 2018-07, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

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: D80 E44 E66 F62 G10 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2018
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Published by the University of Tasmania. Discussion paper 2018-07

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Related works:
Journal Article: Financial and nonfinancial global stock market volatility shocks (2021)
Working Paper: Financial and non-financial global stock market volatility shocks (2018)
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