全球智库信息集成服务系统(G2TT): Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w27864
来源ID	Working Paper 27864
	Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data
	Ian Dew-Becker; Stefano Giglio
发表日期	2020-09-28
出版年	2020
语种	英语
摘要	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. The data is available on our websites. A companion paper [Dew-Becker and Giglio, "Real-time forward-looking skewness over the business cycle"] finds firm-level skewness is significantly procyclical.
主题	Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Macroeconomics ; Consumption and Investment ; Business Cycles ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w27864
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585538
推荐引用方式 GB/T 7714	Ian Dew-Becker,Stefano Giglio. Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data. 2020.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w27864.pdf（757KB）	智库出版物		限制开放	CC BY-NC-SA	浏览