| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16306 |
| DP16306 Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data | |
| Ian Dew-Becker; Stefano Giglio | |
| 发表日期 | 2021-06-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995, and subsequently had three distinct peaks – during the tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional un- certainty has had a mixed relationship with overall economic activity, and aggregate uncertainty is much more powerful for forecasting aggregate growth. The data and moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In international data, we find similar dynamics and a strong common factor in cross-sectional uncertainty. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp16306 |
| 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/545271 |
| 推荐引用方式 GB/T 7714 | Ian Dew-Becker,Stefano Giglio. DP16306 Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Ian Dew-Becker]的文章 |
| [Stefano Giglio]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Ian Dew-Becker]的文章 |
| [Stefano Giglio]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Ian Dew-Becker]的文章 |
| [Stefano Giglio]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
