International spillovers of U.S. financial volatility

•Significant spillovers of U.S. financial volatility on international output growth.•High U.S. bond volatility is associated with low international output growth.•U.S. bond volatility spillovers are stronger statistically with longer maturity bonds. We study the international spillover effects of U....

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Bibliographic Details
Published in:Journal of international money and finance 2019-10, Vol.97, p.19-34
Main Authors: Berg, Kimberly A., Vu, Nam T.
Format: Article
Language:English
Subjects:
Bond volatility
International output growth
Spillovers
Stock volatility
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Summary:•Significant spillovers of U.S. financial volatility on international output growth.•High U.S. bond volatility is associated with low international output growth.•U.S. bond volatility spillovers are stronger statistically with longer maturity bonds. We study the international spillover effects of U.S. bond and stock market volatility using a panel data set of seventeen developed countries. We find significant spillover impacts of U.S. financial market volatility on international output growth. Volatility of U.S bonds with longer maturities is shown to have a more significant impact on international output growth than volatility of U.S. bonds with shorter maturities. Regardless of the maturity of the bonds, U.S. financial market volatility is shown to play a larger role statistically in explaining international output growth than a country’s own financial market volatility.
ISSN:0261-5606
1873-0639
DOI:10.1016/j.jimonfin.2019.05.010