| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26323 |
| 来源ID | Working Paper 26323 |
| Hedging Macroeconomic and Financial Uncertainty and Volatility | |
| Ian Dew-Becker; Stefano Giglio; Bryan T. Kelly | |
| 发表日期 | 2019-09-30 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned negative premia. The results are consistent with an important role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with a simple extension of the long-run risk model. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26323 |
| 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/583995 |
| 推荐引用方式 GB/T 7714 | Ian Dew-Becker,Stefano Giglio,Bryan T. Kelly. Hedging Macroeconomic and Financial Uncertainty and 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 | ||
| w26323.pdf（3574KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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