Output, stock volatility, and political uncertainty in a natural experiment: Germany, 1880-1940

• 成果类型: Article
• 署名作者: Bittlingmayer, G
• 署名单位: University of California System; University of California Davis
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00090
• 发表日期: 1998
• 页码: 2243-2257
• 关键词: REAL ACTIVITY; MARKET; INVESTMENT; returns; irreversibility; INFORMATION; crash

摘要

Why does volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. However, political events are more clearly the source of volatility, and the results support the view that the relationship between volatility and output reflects the joint effects of political factors.