G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w18104
来源IDWorking 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
URLhttps://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
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
[Ravi Bansal]的文章
[Dana Kiku]的文章
[Ivan Shaliastovich]的文章
百度学术
百度学术中相似的文章
[Ravi Bansal]的文章
[Dana Kiku]的文章
[Ivan Shaliastovich]的文章
必应学术
必应学术中相似的文章
[Ravi Bansal]的文章
[Dana Kiku]的文章
[Ivan Shaliastovich]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w18104.pdf
格式: Adobe PDF
此文件暂不支持浏览

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。