slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility … observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a "real" and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …