Macroeconomic Volatility and Stock Market Volatility, Worldwide [report]

Francis Diebold, Kamil Yilmaz
2008 unpublished
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. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets. JEL classification: G1, E0
doi:10.3386/w14269 fatcat:7pgmji6bcva77icyukqigjempu