| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12270 |
| 来源ID | Working Paper 12270 |
| Resolving Macroeconomic Uncertainty in Stock and Bond Markets | |
| Alessandro Beber; Michael W. Brandt | |
| 发表日期 | 2006-06-05 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied volatilities of stock and bond options when the economic data is released. We also examine the relationship between our measure of macroeconomic uncertainty and trading activity in stock and bond option markets before and after the announcements. Higher macroeconomic uncertainty is associated with greater reduction in implied volatilities. Higher macroeconomic uncertainty is also associated with increased volume in option markets after the release, consistent with market participants waiting to trade until economic uncertainty is resolved, and with decreased open interest in option markets after the release, consistent with market participants using financial options to hedge macroeconomic uncertainty. The empirical relationships are strongest for long-term bonds and weakest for non-cyclical stocks. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12270 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569924 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael W. Brandt. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12270.pdf（305KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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