Macroeconomic determinants of stock volatility and volatility premiums
成果类型：
Article
署名作者：
Corradi, Valentina; Distaso, Walter; Mele, Antonio
署名单位：
University of Warwick; Imperial College London; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.10.019
发表日期：
2013
页码：
203-220
关键词：
摘要：
How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model, and find that (i) the level and fluctuations of stock volatility are largely explained by business cycle factors and (ii) some unobserved factor contributes to nearly 20% to the overall variation in volatility, although not to its ups and downs. Instead, this volatility of volatility relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even more than stock volatility, and partially explain the large swings of the VIX index during the 2007-2009 subprime crisis, which our model captures in out-of-sample experiments. (c) 2012 Elsevier B.V. All rights reserved.
来源URL：