Fabio, Fornari; Antonio, Mele - In: Journal of Financial Management, Markets and Institutions (2013) 2, pp. 155-198
Does uncertainty in capital markets affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United States, and that during the Great Moderation, aggregate stock market volatility explains, alone, up to 55% of real growth. In out-of-sample...