The Library
Macroeconomic determinants of stock volatility and volatility premiums
Tools
Tools
Tools
Corradi, Valentina, Distaso, Walter and Mele, Antonio (2012) Macroeconomic determinants of stock volatility and volatility premiums. Journal of Monetary Economics, Volume 60 (Number 2). pp. 203-220. doi:10.1016/j.jmoneco.2012.10.019 ISSN 0304-3932.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1016/j.jmoneco.2012.10.019
Abstract
How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model, and find that (i) the level and fluctuations of stock volatility are largely explained by business cycle factors and (ii) some unobserved factor contributes to nearly 20% to the overall variation in volatility, although not to its ups and downs. Instead, this “volatility of volatility” relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even more than stock volatility, and partially explain the large swings of the VIX index during the 2007–2009 subprime crisis, which our model captures in out-of-sample experiments.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | Journal of Monetary Economics | ||||
| Publisher: | Elsevier BV | ||||
| ISSN: | 0304-3932 | ||||
| Official Date: | 2012 | ||||
| Dates: |
|
||||
| Volume: | Volume 60 | ||||
| Number: | Number 2 | ||||
| Page Range: | pp. 203-220 | ||||
| DOI: | 10.1016/j.jmoneco.2012.10.019 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
