great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …

This paper studies equity price volatility in general equilibrium with news shocks about future productivity and … reduces asset price volatility. This paper shows that introducing news shocks in canonical dynamic stochastic general … equilibrium model may not reduce asset price volatility under plausible parameter assumptions. This is because, in general …

This paper investigates the time-varying dynamics of global stock volatility, commodity prices, and domestic output and … consumer prices. The main empirical findings of this papers are: (i) stock volatility and commodity price shocks impact each … other and the economy in a gradual and endogenous adjustment process; (ii) the impact of a commodity price shock on global …

This paper investigates the time-varying dynamics of global stock volatility, commodity prices, and domestic output and … consumer prices. The main empirical findings of this paper are: (i) stock volatility and commodity price shocks impact each … other and the economy in a gradual and endogenous adjustment process; (ii) the impact of a commodity price shock on global …

We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks …. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation … than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in …