Uncertainty Shocks as Second-Moment News Shocks

• 成果类型: Article
• 署名作者: Berger, David; Dew-Becker, Ian; Giglio, Stefano
• 署名单位: Northwestern University; National Bureau of Economic Research; Yale University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdz010
• 发表日期: 2020
• 页码: 40-76
• 关键词: business cycles; monetary-policy; stock returns; RISK; volatility; variance; price; components; DYNAMICS; IMPACT

摘要

We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to forward-looking uncertainty have no significant effect on the economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the realization of volatility, rather than uncertainty about the future, that has been associated with declines.