Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility
نویسنده
چکیده
In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970-2001. We find weak evidence of long memory in volatility once structural change is accounted for and a twofold linkage between stock market and macroeconomic volatility: macroeconomic volatility explains the persitent dynamics in stock market volatility, while stock market volatility has significant but short lived effects on output and inflation volatility. .
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