| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17101 |
| DP17101 Volatility (Dis)Connect in International Markets | |
| Ric Colacito; Mariano Massimiliano Croce; Yang Liu; Ivan Shaliastovich | |
| 发表日期 | 2022-03-10 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Lack of co-movement between consumption differentials and real exchange rates is a traditional indicator of a disconnect of foreign exchange markets from economic fundamentals. We present novel evidence for the (dis)connect between the volatilities, as opposed to the levels, of these variables. The volatility correlations are below one, but they are larger than the level correlations. In the cross-section of countries, the volatility disconnect weakens for countries with low amount of expected growth risk and high amount of volatility risk. We provide an explanation of our empirical findings based on international risk-sharing of both expected growth and volatility news shocks. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Volatility risk Foreign exchange disconnect Risk sharing |
| URL | https://cepr.org/publications/dp17101 |
| 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/546073 |
| 推荐引用方式 GB/T 7714 | Ric Colacito,Mariano Massimiliano Croce,Yang Liu,et al. DP17101 Volatility (Dis)Connect in International Markets. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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