发表期刊：Journal of Empirical Finance
发表时间：Published: September 2023
作者及单位：Chen Tong a b, Zhuo Huang, Tianyi Wang，Cong Zhang
a Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, China
b Laboratory of Digital Finance, Xiamen University, China
摘要：We provide new empirical evidence of how financial volatility responds to an increase in economic uncertainty. Consistent with the implications derived from a theoretical equilibrium model in which investors are uncertain about the true state of the economy, our estimates for the contemporaneous effects of uncertainty on volatility are significantly positive, and their magnitudes critically depend on the economic situation and degree of investors’ risk aversion. Specifically, stock return volatility tends to overreact to increased uncertainty during good times when investors are more risk-averse. All these relations remain robust to different uncertainty measures. We further build a simple reduced-form predictive model augmented with uncertainty measure, and find the uncertainty displays additional predictive power for future volatility. Moreover, this improvement is concentrated around bad times with high risk aversion, most of which are located in the NBER-dated recession periods.
关键词：Economic uncertainty; Financial volatility; Risk aversion; Volatility forecasting
