FINANCIAL MARKET RISK PERCEPTIONS AND THE MACROECONOMY

• 成果类型: Article
• 署名作者: Pflueger, Carolin; Siriwardane, Emil; Sunderam, Adi
• 署名单位: University of Chicago; National Bureau of Economic Research; Harvard University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjaa009
• 发表日期: 2020
• 页码: 1443-1491
• 关键词: expected stock returns; cross-section; uncertainty shocks; economic-activity; monetary-policy; long-run; volatility; INVESTMENT; expectations; consumption

摘要

We provide evidence that financial market risk perceptions are important drivers of economic fluctuations. We introduce a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk directly measured from surveys and option prices is low. Using our measure, we show that high perceived risk is associated with low risk-free interest rates, a high cost of capital for risky firms, and future declines in output and real investment. Perceived risk as measured by PVSt falls after positive macroeconomic news. These declines are predictably followed by upward revisions in perceived risk, indicating that fluctuations in investor risk perceptions are not fully rational.