volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a "real" and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

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 …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a 'real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

volatility series are much higher than cross-country correlations of GDP growth series, we set up a multi-country version of the … Lucas tree model with time-varying volatility consistent with this stylized fact and use it to identify two common factors … country-specific volatility and GDP growth shocks. The paper highlights three main empirical findings. First, it is shown that …

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility …

volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post …