| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18104 |
| 来源ID | Working Paper 18104 |
| Volatility, the Macroeconomy and Asset Prices | |
| Ravi Bansal; Dana Kiku; Ivan Shaliastovich; Amir Yaron | |
| 发表日期 | 2012-05-25 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are persistent and are strongly correlated with discount-rate news. This evidence has important implications for the return on aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an economically plausible positive correlation between the return to human capital and equity, while this correlation is implausibly negative when volatility risk is ignored. Our model setup implies a dynamics capital asset pricing model (DCAPM) which underscores the importance of volatility risk in addition to cash-flow and discount-rate risks. We show that our DCAPM accounts for the level and dispersion of risk premia across book-to-market and size sorted portfolios, and that equity portfolios carry positive volatility-risk premia. |
| 主题 | Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18104 |
| 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/575779 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Dana Kiku,Ivan Shaliastovich,et al. Volatility, the Macroeconomy and Asset Prices. 2012. |
| 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 | ||
| w18104.pdf（272KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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