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Macroeconomic Volatility and Stock Market Volatility, World-Wide

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Author Info
Francis X. Diebold () (Department of Economics, University of Pennsylvania and NBER)
Kamil Yilmaz () (Department of Economics, Koc University)

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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.

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Publisher Info
Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 08-031.

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Length: 35 pages
Date of creation: 06 Aug 2008
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Handle: RePEc:pen:papers:08-031

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Related research
Keywords: Financial market equity market asset return risk variance asset pricing

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Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
E0 - Macroeconomics and Monetary Economics - - General

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