横截面不确定性与商业周期:来自40年期权数据的证据

IF 6.3 1区经济学 Q1 ECONOMICS

American Economic Journal-Macroeconomics Pub Date : 2023-04-01 DOI:10.1257/mac.20210136

Ian Dew-Becker, Stefano W Giglio

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引用次数: 1

摘要

本文提出了一种基于个体企业股票期权的截面不确定性测度方法。1980年至1995年间，横截面不确定性变化不大，随后出现了三个明显的峰值——科技繁荣时期、金融危机时期和冠状病毒疫情时期。横截面不确定性与总体经济活动的关系是混合的，而总体不确定性在预测总体增长方面要强大得多。这些数据和力矩可以用来校准和测试不确定性冲击影响的结构模型。在国际数据中，我们发现了类似的动态和截面不确定性的强烈共同因素。(jel d21, d81, e23, e24, e32, g13, o34)

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Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995 and subsequently had three distinct peaks—during the tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional uncertainty has had a mixed relationship with overall economic activity, and aggregate uncertainty is much more powerful for forecasting aggregate growth. The data and moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In international data, we find similar dynamics and a strong common factor in cross-sectional uncertainty. (JEL D21, D81, E23, E24, E32, G13, O34)

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来源期刊

American Economic Journal-Macroeconomics ECONOMICS-

CiteScore

8.20

自引率

1.70%

发文量

期刊介绍： American Economic Journal: Macroeconomics focuses on studies of aggregate fluctuations and growth, and the role of policy in that context. Such studies often borrow from and interact with research in other fields, such as monetary theory, industrial organization, finance, labor economics, political economy, public finance, international economics, and development economics. To the extent that they make a contribution to macroeconomics, papers in these fields are also welcome.