Arbeitspapier
What do asset prices have to say about risk appetite and uncertainty?
Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of normal volatility dynamics and macro-economic uncertainty. Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the VIX and the credit spreads while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that implied volatilities contain a substantial amount of information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover, there is a significant comovement in the German and US risk aversion.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1037
- Klassifikation
-
Wirtschaft
- Thema
-
Credit Spread
Economic uncertainty
risk aversion
Time variation in risk and return
Volatility dynamics
Risikoaversion
Messung
Volatilität
CAPM
Konjunktur
Deutschland
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bekaert, Geert
Hoerova, Marie
Scheicher, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bekaert, Geert
- Hoerova, Marie
- Scheicher, Martin
- European Central Bank (ECB)
Entstanden
- 2009
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