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CCER討論稿：The E?ects of Economic Uncertainty on Financial Volatility: A Comprehensive Investigation

發(fā)布日期：2019-05-10 11:15    來(lái)源：

E2019003                               2019-05-10

Zhuo Huang, Chen Tong, Tianyi Wang , Cong Zhang

Abstract

We investigate the e?ects of economic uncertainty on the return volatility of ?nancial assets, including equities, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty displays significant but heterogeneous e?ect on ?nancial volatility. Economic uncertainty constructed in a data rich environment shows strong e?ects for most ?nancial assets. In particular, the first principal component of the economic uncertainty measures provides a good balance of the e?ects. The e?ects of economic uncertainty on ?nancial volatility appear to be closely related to the state of the economy and are more pronounced around recession periods. Furthermore, our out-of-sample analysis shows that investors can use economic uncertainty to predict financial volatility, from both the statistical and economic perspectives.

Keywords: Economic uncertainty, Volatility forecasting, Realized volatility, Uncertainty measures

JEL: D80, E30, E44, G12, G17

討論稿全文下載：../../../docs/20190510111754889553.pdf