Good and bad uncertainty: Macroeconomic and financial market implications

• 成果类型: Article
• 署名作者: Segal, Gill; Shaliastovich, Ivan; Yaron, Amir
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.05.004
• 发表日期: 2015
• 页码: 369-397
• 关键词: uncertainty; Economic growth; asset prices; recursive utility

摘要

Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into 'good' and 'bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such as consumption, output, and investment, and is positively related to valuation ratios, while bad uncertainty forecasts a decline in economic growth and depresses asset prices. Further, the market price of risk and equity beta of good uncertainty are positive, while negative for bad uncertainty. Hence, both uncertainty risks contribute positively to risk premia, and help explain the cross-section of expected returns beyond cash flow risk. (C) 2015 Elsevier B.V. All rights reserved.