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Macroeconomic Volatility and Stock Market Volatility, Worldwide

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Author Info
Francis X. Diebold
Kamil Yilmaz

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Abstract

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.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 14269.

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Date of creation: Aug 2008
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Handle: RePEc:nbr:nberwo:14269

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E0 - Macroeconomics and Monetary Economics - - General
G1 - Financial Economics - - General Financial Markets

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