Macroeconomic Volatility and Stock Market Volatility, Worldwide / Francis X. Diebold, Kamil Yilmaz.

Format:

Book

Author/Creator:

Diebold, Francis X.

Contributor:

National Bureau of Economic Research.

Yilmaz, Kamil.

Series:

Working Paper Series (National Bureau of Economic Research) no. w14269.

NBER working paper series no. w14269

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2008.

Summary:

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

Notes:

Print version record

August 2008.