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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Please be patient as the files may be large. AP EFG IFM Contact details of provider: National Bureau of Economic Research, Massachusetts Avenue Cambridge, MA , U. Related research [Other version s available] Keywords: Other versions of this item: Find related papers by JEL classification: E0 - Macroeconomics and Monetary Economics - - General G1 - Financial Economics - - General Financial Markets This paper has been announced in the following NEP Reports: NEP-ALL All new papers NEP-MAC Macroeconomics References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Views and Agenda ," Journal of Economic Literature , American Economic Association, vol.

NBER Macroeconomics Annual , Volume 17, pages National Bureau of Economic Research, Inc. The Risks of Financial Institutions, pages National Bureau of Economic Research, Inc. What Has Changed since the Early 's?

Macroeconomic Volatility and Stock Market Volatility, Worldwide by Francis X. Diebold, Kamil Yilmaz :: SSRN

Shiller, Robert J, Schwert, G William, Real-Time Price Discovery in Foreign Exchange ," American Economic Review , American Economic Association, vol. Real-Time Price Discovery in Foreign Exchange ," NBER Working Papers , National Bureau of Economic Research, Inc.

Real-Time Price Discovery in Foreign Exchange ," Working Papers , Duke University, Department of Economics. Real-Time Price Discovery in Foreign Exchange ," Working Papers , University of Pennsylvania, Wharton School, Weiss Center.

Real-Time Price Discovery in Foreign Exchange? Getting the Most out of Return Data Sampled at Different Frequencies ," CIRANO Working Papers s, CIRANO.

Macroeconomic Volatility and Stock Market Volatility, Worldwide by Francis X. Diebold, Kamil Yilmaz :: SSRN

Getting the Most out of Return Data Sampled at Different Frequencies ," NBER Working Papers , National Bureau of Economic Research, Inc. How Much Is Enough? Clark, Peter K, A Dynamic Latent Factor Approach ," NBER Working Papers , National Bureau of Economic Research, Inc. Engle, Robert F, Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item.

Macroeconomic Volatility and Stock Market Volatility, World-Wide by Francis X. Diebold, Kamil Yilmaz :: SSRN

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Volatility and Time Series Econometrics: Essays in Honor of Robert Engle - Google Livres

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