商业周期中的实时前瞻性偏斜度

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2024-06-17 DOI:10.1016/j.red.2024.101233

Ian Dew-Becker

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引用次数: 0

摘要

本文测量了 1980 年至 2021 年间单个公司和 S&P 500 指数的期权隐含偏度，给出了条件微观和宏观偏度的实时测量值。主要结果有三个：1.微观偏度具有明显的顺周期性，而宏观偏度则是非周期性的；2.微观偏度引领商业周期，并与信贷息差密切相关，这表明存在一个潜在的因果渠道；3.微观偏度与宏观波动率具有明显的相关性，但并非机械相关，这意味着存在一个共同的冲击因素在推动二者，而这一冲击因素也与商业周期有关。

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Real-time forward-looking skewness over the business cycle

This paper measures option-implied skewness for individual firms and the S&P 500 index between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle.

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来源期刊

Review of Economic Dynamics ECONOMICS-

CiteScore

3.30

自引率

0.00%

发文量

期刊介绍： Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.