G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13325
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ric Colacito]的文章
[Mariano Massimiliano Croce]的文章
[Yang Liu]的文章
百度学术
百度学术中相似的文章
[Ric Colacito]的文章
[Mariano Massimiliano Croce]的文章
[Yang Liu]的文章
必应学术
必应学术中相似的文章
[Ric Colacito]的文章
[Mariano Massimiliano Croce]的文章
[Yang Liu]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。