TY  - JOUR
AU  - Diebold,Francis X.
AU  - Yilmaz,Kamil
TI  - Macroeconomic Volatility and Stock Market Volatility, Worldwide
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14269
PY  - 2008
Y2  - August 2008
UR  - http://www.nber.org/papers/w14269
L1  - http://www.nber.org/papers/w14269.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Kamil Yilmaz
Koc University
Rumelifeneri Yolu, Sariyer
Istanbul 34450
TURKEY
Tel: 90-212-338-1458
Fax: 90-212-338-1653
E-Mail: kyilmaz@ku.edu.tr
AB  - 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.
ER  -