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@techreport{NBERw25276,
 title = "Volatility Risk Pass-through",
 author = "Colacito, Riccardo and Croce, Mariano Max and Liu, Yang and Shaliastovich, Ivan",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "25276",
 year = "2018",
 month = "November",
 doi = {10.3386/w25276},
 URL = "http://www.nber.org/papers/w25276",
 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 90%, whereas the link between volatility of currency and fundamentals is weak. A novel channel of risk sharing of  volatility risks can explain our empirical findings.},
}