Amir Yaron (Wharton School of the University of Pennsylvania), « Good and Bad Uncertainty: Macroeconomic and Financial Market Implications », Paul Woolley Research Initiative Seminar, IDEI, 26 mai 2014, 12h30–14h00, salle MS 001.
Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggre- gate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such as consumption, output, and investment, and is posi- tively related to valuation ratios, while bad uncertainty forecasts a decline in economic growth and depresses asset prices. Further, the market price of risk and equity beta of good uncertainty are positive, while negative for bad uncer- tainty. Hence, both uncertainty risks contribute positively to risk premia, and help explain the cross-section of expected returns beyond cash flow risk.
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