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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP13325 |
DP13325 Volatility Risk Pass-Through | |
Ric Colacito; Mariano Massimiliano Croce; Yang Liu; Ivan Shaliastovich | |
发表日期 | 2018-11-17 |
出版年 | 2018 |
语种 | 英语 |
摘要 | We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country’s output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity volatility pass-through is 90%, whereas the link between volatility of currency and fundamentals is weak. A novel channel of risk sharing of volatility risks can explain our empirical findings. |
主题 | Financial Economics ; International Macroeconomics and Finance |
关键词 | Volatility pass-through Foreign exchange disconnect Risk sharing |
URL | https://cepr.org/publications/dp13325 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542138 |
推荐引用方式 GB/T 7714 | Ric Colacito,Mariano Massimiliano Croce,Yang Liu,et al. DP13325 Volatility Risk Pass-Through. 2018. |
条目包含的文件 | 条目无相关文件。 |
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