Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.We discuss underlying annual data first, followed by quarterly data. Annual Data We use four aquot;rawaquot; data series per country: Real GDP, real private consumption expenditures (PCE), a broad stock market index, and the CPI. We use those seriesanbsp;...
|Title||:||Macroeconomic volatility and stock market volatility, worldwide|
|Author||:||Francis X. Diebold, Kamil Yılmaz, National Bureau of Economic Research|