Volatility Risk Pass-Through

• 成果类型: Article
• 署名作者: Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; Shaliastovich, Ivan
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Bocconi University; University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab096
• 发表日期: 2022
• 页码: 2345
• 关键词: Long-run risks; asset prices; Currency risk; exchange-rates; cross-section; consumption; MARKETS; premia; TRADE; explanation

摘要

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.