The Time Variation in Risk Appetite and Uncertainty

• 成果类型: Article
• 署名作者: Bekaert, Geert; Engstrom, Eric C.; Xu, Nancy R.
• 署名单位: Columbia University; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors; Boston College
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4068
• 发表日期: 2022
• 页码: 3975-4004
• 关键词: Risk aversion; Economic uncertainty; dynamic asset pricing model; VIX; Variance risk premium; Sentiment; COVID crisis

摘要

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds, featuring time variation in both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals, and risk aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty at the daily frequency. We verify that equity variance risk premiums are very informative about risk aversion, whereas credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums outperform standard instruments for predicting asset excess returns. Risk aversion is substantially correlated with consumer confidence measures and in early 2020 reacted more strongly to new COVID cases than did an uncertainty proxy.