Volatility Risk Pass-Through
提出波动率传导的新度量，研究产出波动冲击如何影响宏观经济、股票和汇率，发现消费波动传导率平均50%，股票波动传导率约90%，并揭示风险分担的新渠道。
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.