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来源类型Working Paper
规范类型报告
DOI10.3386/w25276
来源IDWorking 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
URLhttps://www.nber.org/papers/w25276
来源智库National Bureau of Economic Research (United States)
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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.
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