Financial and nonfinancial global stock market volatility shocks

Autor:	Wensheng Kang, Ronald A. Ratti, Joaquin L. Vespignani
Rok vydání:	2021
Předmět:	Inflation Finance Economics and Econometrics 050208 finance Stock market volatility business.industry media_common.quotation_subject 05 social sciences Monetary policy 0502 economics and business Economics 050207 economics business media_common
Zdroj:	Economic Modelling. 96:128-134
ISSN:	0264-9993
Popis:	We decompose global stock market volatility shocks into financial originated shocks and nonfinancial originated shocks. Global stock market volatility shocks that arise from financial sources reduce global outputs and inflation substantially more than shocks from nonfinancial sources. Financial stock market volatility shocks forecast 16.85% and 16.88% of the variation in global growth and inflation, respectively. In contrast, nonfinancial stock market volatility shocks forecast only 8.0% and 2.19% of the variation in global growth and inflation.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a5ab6e90977598dc99543434fc609ebb https://doi.org/10.1016/j.econmod.2020.12.031 Zobrazit plný text záznamu Full Text from ScienceDirect