| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22364 |
| 来源ID | Working Paper 22364 |
| Term Structure of Uncertainty in the Macroeconomy | |
| Jaroslav Borovička; Lars Peter Hansen | |
| 发表日期 | 2016-06-27 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to macroeconomic shocks. Financial markets provide compensations to investors who are exposed to these shocks. Adopting an asset pricing vantage point, we describe and apply methods for computing exposures to macroeconomic shocks and the implied compensations represented as elasticities over alternative payoff horizons. The outcome is a term structure of macroeconomic uncertainty. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w22364 |
| 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/580038 |
| 推荐引用方式 GB/T 7714 | Jaroslav Borovička,Lars Peter Hansen. Term Structure of Uncertainty in the Macroeconomy. 2016. |
| 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 | ||
| w22364.pdf（467KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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