A tale of two volatilities: Sectoral uncertainty, growth, and asset prices

• 成果类型: Article
• 署名作者: Segal, Gill
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.03.002
• 发表日期: 2019
• 页码: 110-140
• 关键词: volatility; Investment shocks; asset pricing; Economic growth

摘要

What is the impact of higher technological volatility on asset prices and macroeconomic aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the consumption (investment) sector drops (raises) macroeconomic growth rates and stock prices. Moreover, consumption (investment) sector's technological volatility has a positive (negative) market price of risk. I show that a quantitative two-sector DSGE model that features monopolistic power for firms and sticky prices, as well as early resolution of uncertainty, can explain the differential impact of sectoral volatilities on real and financial variables. In all, the sectoral decomposition of volatility can overturn the typical negative relation between aggregate volatility and economic activity. (C) 2019 Elsevier B.V. All rights reserved.