时变股票收益相关性，新闻冲击和商业周期

IF 2.8 2区经济学 Q1 ECONOMICS

European Economic Review Pub Date : 2025-02-01 DOI:10.1016/j.euroecorev.2024.104916

Norbert Metiu , Esteban Prieto

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引用次数: 0

摘要

美国股票收益之间两两相关的横截面平均值被认为是股票市场定价的总财富风险的衡量标准。我们表明，这一指标预测了未来一到四年的美国产出增长。股票收益的平均相关性较强，预示着未来产出增长明显较低，即使在控制其他一些广泛使用的金融预测指标时也是如此。对平均相关性的创新产生了宏观经济动态，类似于向量自回归中关于未来全要素生产率（TFP）的负面消息。因此，全要素生产率的消息冲击似乎是反映在股市中的总风险的一个关键来源。

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Time-varying stock return correlation, news shocks, and business cycles

The cross-sectional average of the pairwise correlations between U.S. stock returns is considered as a measure of risk to aggregate wealth priced by the stock market. We show that this measure predicts future U.S. output growth at a horizon of one to four years. A stronger average correlation of stock returns foreshadows significantly lower future output growth, even when controlling for some other widely used financial predictors. An innovation to average correlation gives rise to macroeconomic dynamics that resemble negative news about future total factor productivity (TFP) in a vector autoregression. TFP news shocks thus appear to be a key source of aggregate risk priced into stocks.

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来源期刊

European Economic Review ECONOMICS-

CiteScore

4.70

自引率

3.60%

发文量

170

期刊介绍： The European Economic Review (EER) started publishing in 1969 as the first research journal specifically aiming to contribute to the development and application of economics as a science in Europe. As a broad-based professional and international journal, the EER welcomes submissions of applied and theoretical research papers in all fields of economics. The aim of the EER is to contribute to the development of the science of economics and its applications, as well as to improve communication between academic researchers, teachers and policy makers across the European continent and beyond.