Macroeconomic Volatility and Stock Market Volatility, Worldwide
Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.
-
-
Copy CitationFrancis X. Diebold and Kamil Yilmaz, "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Paper 14269 (2008), https://doi.org/10.3386/w14269.
More from the NBER
In addition to working papers, the NBER disseminates affiliates’ latest findings through a range of free periodicals — the NBER Reporter, the NBER Digest, the Bulletin on Health, and the Bulletin on Entrepreneurship — as well as online conference reports, video lectures, and interviews.
