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

Author

Listed:
  • Kang, Wensheng
  • Ratti, Ronald A.
  • Vespignani, Joaquin L.

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.

Suggested Citation

  • Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2020. "Revising the Impact of Financial and Non-Financial Global Stock Market Volatility Shocks," MPRA Paper 103019, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:103019
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Global; Stock market volatility Shocks; Monetary Policy; FAVAR;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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