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International spillovers of U.S. financial volatility

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  • Berg, Kimberly A.
  • Vu, Nam T.

Abstract

We study the international spillover effects of U.S. bond and stock market volatility using a panel data set of seventeen developed countries. We find significant spillover impacts of U.S. financial market volatility on international output growth. Volatility of U.S bonds with longer maturities is shown to have a more significant impact on international output growth than volatility of U.S. bonds with shorter maturities. Regardless of the maturity of the bonds, U.S. financial market volatility is shown to play a larger role statistically in explaining international output growth than a country’s own financial market volatility.

Suggested Citation

  • Berg, Kimberly A. & Vu, Nam T., 2019. "International spillovers of U.S. financial volatility," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 19-34.
    • Handle: RePEc:eee:jimfin:v:97:y:2019:i:c:p:19-34
    DOI: 10.1016/j.jimonfin.2019.05.010
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    More about this item

    Keywords

    Bond volatility; Stock volatility; International output growth; Spillovers;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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