Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - CESifo - 2014
slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …