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Macroeconomic Volatility and Stock Market Volatility,World-Wide

Author

Listed:
  • Francis X. Diebold

    (University of Pennsylvania and NBER)

  • Kamil Yılmaz

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. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

Suggested Citation

  • Francis X. Diebold & Kamil Yılmaz, 2007. "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers 0711, Koc University-TUSIAD Economic Research Forum.
    • Handle: RePEc:koc:wpaper:0711
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial market; equity market; asset return; risk; variance; asset pricing;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E0 - Macroeconomics and Monetary Economics - - General

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    This paper has been announced in the following NEP Reports:

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