| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25276 |
| 来源ID | Working Paper 25276 |
| Volatility Risk Pass-through | |
| Riccardo Colacito; Mariano Max Croce; Yang Liu; Ivan Shaliastovich | |
| 发表日期 | 2018-11-19 |
| 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 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25276 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582950 |
| 推荐引用方式 GB/T 7714 | Riccardo Colacito,Mariano Max Croce,Yang Liu,et al. Volatility Risk Pass-through. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25276.pdf（660KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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