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Financial and Non-Financial Global Stock Market Volatility Shocks
| Content Provider | Scilit |
|---|---|
| Author | Kang, Wensheng Ratti, Ronald A. Vespignani, Joaquin |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal We decompose global stock market volatility shocks into financial originated shocks and non-financial 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 non-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. |
| Related Links | https://eprints.utas.edu.au/28604/1/2018-07_Kang_Ratti_Vespignani.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3283417 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3283417 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-11-13 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Stock Market Volatility Shocks Monetary Policy |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |