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Financial and nonfinancial global stock market volatility shocks


  • Kang, Wensheng
  • Ratti, Ronald A.
  • Vespignani, Joaquin


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.

Suggested Citation

  • Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2021. "Financial and nonfinancial global stock market volatility shocks," Economic Modelling, Elsevier, vol. 96(C), pages 128-134.
  • Handle: RePEc:eee:ecmode:v:96:y:2021:i:c:p:128-134
    DOI: 10.1016/j.econmod.2020.12.031

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    References listed on IDEAS

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    2. Yang, Tianle & Zhou, Fangxing & Du, Min & Du, Qunyang & Zhou, Shirong, 2023. "Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 377-387.
    3. Chen, Jilong & Xu, Liao, 2023. "Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks," Economic Modelling, Elsevier, vol. 127(C).

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    More about this item


    Global; Stock market volatility shocks; Monetary policy; FAVAR;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)


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