Volatility, the Macroeconomy, and Asset Prices

• 成果类型: Article
• 署名作者: Bansal, Ravi; Kiku, Dana; Shaliastovich, Ivan; Yaron, Amir
• 署名单位: Duke University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12110
• 发表日期: 2014
• 页码: 2471-2511
• 关键词: expected stock returns; long-run; temporal behavior; cross-section; risk-aversion; consumption; uncertainty; substitution; explanation; INVESTMENT

摘要

How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and helps account for the cross section of expected returns. Our evidence demonstrates that volatility is important for understanding expected returns and macroeconomic fluctuations.