| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23796 |
| 来源ID | Working Paper 23796 |
| Uncertainty Shocks as Second-Moment News Shocks | |
| David Berger; Ian Dew-Becker; Stefano Giglio | |
| 发表日期 | 2017-09-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to forward-looking uncertainty have no significant effect on the economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the realization of volatility, rather than uncertainty about the future, that has been associated with declines. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23796 |
| 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/581470 |
| 推荐引用方式 GB/T 7714 | David Berger,Ian Dew-Becker,Stefano Giglio. Uncertainty Shocks as Second-Moment News Shocks. 2017. |
| 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 | ||
| w23796.pdf（750KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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