| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25673 |
| 来源ID | Working Paper 25673 |
| The Time Variation in Risk Appetite and Uncertainty | |
| Geert Bekaert; Eric C. Engstrom; Nancy R. Xu | |
| 发表日期 | 2019-03-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables at high frequencies. We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds. The joint dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Model-implied risk premiums outperform standard instruments for predicting excess returns on equity and corporate bonds. A financial proxy to our economic uncertainty predicts output growth significantly negatively. |
| 主题 | Econometrics ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25673 |
| 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/583346 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric C. Engstrom,Nancy R. Xu. The Time Variation in Risk Appetite and Uncertainty. 2019. |
| 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 | ||
| w25673.pdf（1054KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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