Term Structure of Uncertainty in the Macroeconomy / Jaroslav Borovička, Lars Peter Hansen.

Format:

Book

Author/Creator:

Borovička, Jaroslav.

Contributor:

National Bureau of Economic Research.

Hansen, Lars Peter.

Series:

Working Paper Series (National Bureau of Economic Research) no. w22364.

NBER working paper series no. w22364

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2016.

Summary:

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to macroeconomic shocks. Financial markets provide compensations to investors who are exposed to these shocks. Adopting an asset pricing vantage point, we describe and apply methods for computing exposures to macroeconomic shocks and the implied compensations represented as elasticities over alternative payoff horizons. The outcome is a term structure of macroeconomic uncertainty.

Notes:

Print version record

June 2016.