| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9822 |
| DP9822 The Price of Political Uncertainty: Theory and Evidence from the Option Market | |
| Pietro Veronesi; Luboš Pástor; Bryan Kelly | |
| 发表日期 | 2014-02-09 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. After deriving the model's predictions for option prices, we test those predictions in an international sample of national elections and global summits. We find that political uncertainty is priced in the option market in ways predicted by the theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the risk associated with political events, including not only price risk but also variance and tail risks. This protection is more valuable in a weaker economy as well as amid higher political uncertainty. |
| 主题 | Financial Economics ; Public Economics |
| 关键词 | Options Political uncertainty |
| URL | https://cepr.org/publications/dp9822 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538658 |
| 推荐引用方式 GB/T 7714 | Pietro Veronesi,Luboš Pástor,Bryan Kelly. DP9822 The Price of Political Uncertainty: Theory and Evidence from the Option Market. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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