We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider … monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract … the common long-run component of volatility that is likely to be linked to economic fundamentals. Based on powerful in …

This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic … activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from … daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a …

creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. Exogenous … is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in which … volatility of aggregate shocks. In low volatility periods, financial intermediaries lever up, which makes their balance sheets …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …