The Real Response to Uncertainty Shocks: The Risk Premium Channel

• 成果类型: Article
• 署名作者: Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
• 署名单位: Swiss Finance Institute (SFI); University of Lausanne; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4335
• 发表日期: 2023
• 页码: 119-140
• 关键词: Risk aversion; uncertainty; conditional IRF; DYNAMIC ECONOMIES

摘要

Uncertainty shocks are also risk premium shocks. With countercyclical risk aversion (RA), a positive shock to uncertainty increases risk and elevates RA as consumption growth falls. The combination of high RA and high uncertainty produces significant equity risk premia in bad times, which in turn, exacerbate the decline of macroeconomic aggregates and equity prices. Moreover, in the cross-section of equity returns, investors demand a risk premium for stocks that perform poorly in times of high uncertainty and elevated risk aversion. In a model with endogenously time-varying RA, uncertainty shocks lead to large falls in investment and equity prices that closely match state-dependent data responses.