Volatility, the Macroeconomy and Asset Prices
收藏NBER2012-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18104
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资源简介：
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are persistent and are strongly correlated with discount-rate news.
提供机构：
美国国家经济研究局
创建时间：
2012-05-01
