Macroeconomic Determinants of European Stock Market Volatility
研究宏观经济波动能否解释欧洲股市波动的时间变化，发现与美国的结论不同，欧洲股市波动显著受过去货币或实际宏观经济因素波动的影响，对资本配置和投资组合有重要启示。
In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We find that unlike the documented case of the USA, in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. Our findings have important implications for capital and portfolio allocations.