We show novel empirical evidence on the significance of output volatility (vol) shocks for both currency and …

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 … output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller …

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 … volatility increases consumptionvolatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The …

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 … output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller …