STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS

被引：782

作者：

Engle, Robert F. ^{[1
]}

Ghysels, Eric ^{[2
]}

Sohn, Bumjean ^{[3
]}

机构：

[1] NYU, New York, NY 10003 USA

[2] Univ N Carolina, Chapel Hill, NC USA

[3] Korea Univ, Business Sch, Seoul, South Korea

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2013年 / 95卷 / 03期

关键词：

STOCHASTIC VOLATILITY; UNITED-STATES; LONG-RUN; VARIANCE; MODEL; RETURNS; PERSISTENCE; ECONOMY;

D O I：

10.1162/REST_a_00300

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. We formulate models with the long-term component driven by inflation and industrial production growth that are in terms of pseudo out-of-sample prediction for horizons of one quarter at par or outperform more traditional time series volatility models at longer horizons. Hence, imputing economic fundamentals into volatility models pays off in terms of long-horizon forecasting. We also find that macroeconomic fundamentals play a significant role even at short horizons.

引用

页码：776 / 797

页数：22

共 52 条

[1] Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk [J].