Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

• 成果类型: Article
• 署名作者: Dew-Becker, Ian; Giglio, Stefano
• 署名单位: Northwestern University; National Bureau of Economic Research; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210136
• 发表日期: 2023
• 页码: 65-96
• 关键词: aggregate; GROWTH; volatility; origins; demand; RISK

摘要

This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995 and subsequently had three distinct peaks-during the tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional uncer-tainty has had a mixed relationship with overall economic activity, and aggregate uncertainty is much more powerful for forecasting aggregate growth. The data and moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In interna-tional data, we find similar dynamics and a strong common factor in cross-sectional uncertainty. (JEL D21, D81, E23, E24, E32, G13, O34)