Loading Events

« All Events

  • This event has passed.

Ric Colacito – UNC

15 November @ 3:00 pm - 4:30 pm

Volatility Risk Pass-Through

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 90%, whereas the link between volatility of currency and fundamentals is weak. A novel channel of risk sharing of volatility risks can explain our empirical findings.

Details

Date:
15 November
Time:
3:00 pm - 4:30 pm
Event Categories:
,
Website:
http://drric.web.unc.edu/

Venue

McIntire, RRH 260