Showing 1 - 10 of 218
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …
Persistent link: https://www.econbiz.de/10013100357
setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …
Persistent link: https://www.econbiz.de/10013002240
I extend the classical general equilibrium treatment of uncertainty about exogenous states of nature to uncertainty … trade price-contingent securities (derivatives) to insure against the risks arising from this uncertainty. I establish four …
Persistent link: https://www.econbiz.de/10012949397
Despite widespread application of real options theory in the literature, the extent to which firms actually delay … irreversible investments following an increase in the uncertainty of their environment is not empirically well-known. This paper … estimates firms' responsiveness to changes in uncertainty using detailed data on oil well drilling in Texas and expectations of …
Persistent link: https://www.econbiz.de/10013135876
hiring. In a simulation model we investigate the channels underlying this pecking-order response to long-run uncertainty, and …Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied … volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time …
Persistent link: https://www.econbiz.de/10012948927
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …, as the disaster risk increases, customers demand more puts as insurance while market makers become more credit …
Persistent link: https://www.econbiz.de/10013022917
We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables … are highly correlated with economic uncertainty. Model-implied risk premiums outperform standard instruments for … dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non …
Persistent link: https://www.econbiz.de/10012889979
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 … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …
Persistent link: https://www.econbiz.de/10013224964
("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013137030
In this research, we provide new empirical evidence on the importance of time-varying uncertainty for the exchange rate … and the excess return in currency markets. Following an increase in monetary policy uncertainty, the dollar exchange rate … general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time …
Persistent link: https://www.econbiz.de/10013123697