1 option
Hedging Macroeconomic and Financial Uncertainty and Volatility / Ian Dew-Becker, Stefano Giglio, Bryan T. Kelly.
- Format:
- Book
- Author/Creator:
- Dew-Becker, Ian.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w26323.
- NBER working paper series no. w26323
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned negative premia. The results are consistent with an important role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with a simple extension of the long-run risk model.
- Notes:
- Print version record
- September 2019.
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