Political uncertainty and risk premia

• 成果类型: Article
• 署名作者: Pastor, L'ubos; Veronesi, Pietro
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.08.007
• 发表日期: 2013
• 页码: 520-545
• 关键词: Political uncertainty; Government policy; risk premia

摘要

We develop a general equilibrium model of government policy choice in which stock prices respond to political news. The model implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions. Political uncertainty reduces the value of the implicit put protection that the government provides to the market. It also makes stocks more volatile and more correlated, especially when the economy is weak. We find empirical evidence consistent with these predictions. (C) 2013 Elsevier B.V. All rights reserved.