Consumption Volatility Risk

2011 ◽  
Author(s):  
Oliver Boguth ◽  
Lars-Alexander Kuehn
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Volatility Risk Pass-Through

2021 ◽  
Author(s):  
Riccardo Colacito ◽  
Mariano M Croce ◽  
Yang Liu ◽  
Ivan Shaliastovich
Keyword(s):  
Risk Sharing ◽  
Output Volatility ◽  
Equity Prices ◽  
Volatility Risk ◽  
Consumption Volatility ◽  
Net Exports ◽  
Pass Through ◽  
Average Consumption ◽  
Macroeconomic Aggregates

Abstract 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 a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity volatility pass-through is larger and in the order of 90%. A novel channel of risk sharing of volatility risks can explain our empirical findings.

Consumption Volatility Risk

2013 ◽  
Vol 68 (6) ◽  
pp. 2589-2615 ◽  
Author(s):  
OLIVER BOGUTH ◽  
LARS-ALEXANDER KUEHN
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

2017 ◽  
Vol 30 (8) ◽  
pp. 2890-2932 ◽  
Author(s):  
Andrew Y. Chen
Keyword(s):  
Asset Prices ◽  
Production Economy ◽  
Volatility Risk ◽  
Consumption Volatility

The influence of tracking error on volatility risk premium estimation

2007 ◽  
Vol 9 (3) ◽  
pp. 1-36 ◽  
Author(s):  
James Doran
Keyword(s):  
Risk Premium ◽  
Tracking Error ◽  
Volatility Risk ◽  
Volatility Risk Premium

Consumption Volatility, Liquidity Constraints and Household Welfare

2013 ◽  
Author(s):  
Keshav Dogra ◽  
Olga Gorbachev
Keyword(s):  
Liquidity Constraints ◽  
Household Welfare ◽  
Consumption Volatility

Monetary Policy, Volatility Risk, and Return Predictability

2016 ◽  
Author(s):  
Alex C. Hsu ◽  
Francisco Palomino ◽  
Charles Qian
Keyword(s):  
Monetary Policy ◽  
Return Predictability ◽  
Risk And Return ◽  
Volatility Risk
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