Macroeconomic Volatility and Stock Market Volatility, Worldwide

35 Pages Posted: 27 Aug 2008 Last revised: 29 Dec 2022

See all articles by Francis X. Diebold

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Kamil Yilmaz

Koc University

Date Written: August 2008

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.

Suggested Citation

Diebold, Francis X. and Yilmaz, Kamil, Macroeconomic Volatility and Stock Market Volatility, Worldwide (August 2008). NBER Working Paper No. w14269, Available at SSRN: https://ssrn.com/abstract=1248930

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Kamil Yilmaz

Koc University ( email )

Rumeli Feneri Yolu
Sariyer
Istanbul, 34450
Turkey
+90 212 338 1458 (Phone)
+90 212 338 1653 (Fax)

HOME PAGE: http://https://sites.google.com/view/kamilyilmaz/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
129
Abstract Views
7,277
Rank
406,786
PlumX Metrics