| 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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