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- Publisher Website: 10.1093/rfs/hhab096
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Article: Volatility Risk Pass-Through
Title | Volatility Risk Pass-Through |
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Authors | |
Issue Date | 2021 |
Citation | The Review of Financial Studies, 2021, Forthcoming How to Cite? |
Abstract | 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 larger and in the order of 90%. A novel channel of risk sharing of volatility risks can explain our empirical findings. |
Persistent Identifier | http://hdl.handle.net/10722/302334 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Colacito, R | - |
dc.contributor.author | Croce, MM | - |
dc.contributor.author | Liu, Y | - |
dc.contributor.author | Shaliastovich, I | - |
dc.date.accessioned | 2021-09-06T03:30:48Z | - |
dc.date.available | 2021-09-06T03:30:48Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | The Review of Financial Studies, 2021, Forthcoming | - |
dc.identifier.uri | http://hdl.handle.net/10722/302334 | - |
dc.description.abstract | 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 larger and in the order of 90%. A novel channel of risk sharing of volatility risks can explain our empirical findings. | - |
dc.language | eng | - |
dc.relation.ispartof | The Review of Financial Studies | - |
dc.title | Volatility Risk Pass-Through | - |
dc.type | Article | - |
dc.identifier.email | Liu, Y: yangliu5@hku.hk | - |
dc.identifier.authority | Liu, Y=rp02326 | - |
dc.identifier.doi | 10.1093/rfs/hhab096 | - |
dc.identifier.hkuros | 324851 | - |
dc.identifier.volume | Forthcoming | - |
dc.identifier.isi | WOS:000783641600006 | - |