Abstract
In this document I study the effects of the macro volatility on the stock market volatility, relying on the assumptions of Lechner (2010) for potential-outcomes causality. This is done at the Colombian level with a VAR model and at the international level using a dynamic panel data model with unobserved heterogeneity. As in Diebold and Yilmaz (2008), the results show that fundamental risk or volatility Granger-causes movements in the systematic risk of asset markets. Also, I argue that assumptions for Granger causality to imply Potential Outcomes causality hold.
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