| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25720 |
| 来源ID | Working Paper 25720 |
| Policy News and Stock Market Volatility | |
| Scott R. Baker; Nicholas Bloom; Steven J. Davis; Kyle J. Kost | |
| 发表日期 | 2019-04-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of EMV articles refer to Fiscal Policy (mostly Tax Policy), 30 percent discuss Monetary Policy, 25 percent refer to one or more forms of Regulation, and 13 percent mention National Security matters. The contribution of particular policy areas fluctuates greatly over time. Trade Policy news, for example, went from a virtual nonfactor in equity market volatility to a leading source after Donald Trump’s election and especially after the intensification of U.S-China trade tensions. The share of EMV articles with attention to government policy rises over time, reaching its peak in 2017-18. We validate our measurement approach in various ways. For example, tailoring our EMV tracker to news about petroleum markets yields a measure that rises and falls with the implied and realized volatility of oil prices. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w25720 |
| 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/583392 |
| 推荐引用方式 GB/T 7714 | Scott R. Baker,Nicholas Bloom,Steven J. Davis,et al. Policy News and Stock Market Volatility. 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 | ||
| w25720.pdf（1149KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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