从经济政策不确定性到隐含市场波动:无所畏惧?

IF 2.3 4区 经济学 Q2 BUSINESS, FINANCE
Lu Yang
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引用次数: 0

摘要

本文利用贝叶斯联结网络研究了经济政策不确定性与隐含市场波动之间的相互依存关系。结果表明,与基于报纸的EPU相比,市场隐含波动率可以作为更可靠的前瞻性不确定性指标。通过复杂的部分小波相干性方法,研究进一步探讨了这些变量之间的动态相互依存关系,揭示了它们对经济不确定性影响的特定时域模式,以及它们可以作为风险规避和模糊规避措施的条件。值得注意的是,研究结果表明,在短时间尺度上,媒体倾向于产生歧义,从而导致市场参与者之间的信念分歧。然而,在更长的时间尺度上,EPU越来越多地反映了经济的不确定性。这些见解对于深入了解媒体在传递信息方面的作用以及影响经济决策的行为特征是有价值的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?

This paper investigates the interdependence between economic policy uncertainty (EPU) and implied market volatility using a Bayesian copula network. The results indicate that market-implied volatilities serve as more reliable forward-looking indicators of uncertainty compared to newspaper-based EPU. Through a complex partial wavelet coherence approach, the study further explores the dynamic interdependence between these variables, revealing the specific time-domain patterns of their effects on economic uncertainty and the conditions under which they can be distinguished as measures of risk aversion and ambiguity aversion. Notably, the findings suggest that, in the short time scales, the media tends to generate ambiguity, contributing to belief divergence among market participants. However, over longer time scales, EPU increasingly reflects economic uncertainty. These insights are valuable for gaining a deeper understanding of the media's role in conveying information and the behavioral traits influencing economic decision-making.

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来源期刊
Journal of Futures Markets
Journal of Futures Markets BUSINESS, FINANCE-
CiteScore
3.70
自引率
15.80%
发文量
91
期刊介绍: The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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