Time-varying uncertainty and variance risk premium

被引：0

作者：

Ruan, Xinfeng ^{[1
]}

Zhang, Jin E. ^{[1
]}

机构：

[1] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

来源：

JOURNAL OF MACROECONOMICS | 2021年 / 69卷

基金：

中国国家自然科学基金;

关键词：

Time-varying uncertainty; AK production model; Asset pricing; Variance risk premium; VOLATILITY RISK; STOCHASTIC VOLATILITY; LONG-RUN; P; 500; ASSET; CONSUMPTION; JUMP; RETURNS; OPTIONS; PRICES;

D O I：

10.1016/j.jmacro.2021.103347

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper extends the AK production model in Pindyck and Wang (2013) into a more general setting in which the volatility of capital stock is stochastic and driven by shocks. After solving the equilibrium, the fundamental shocks are embedded into the stock price and the leverage effect is contributed from three distinct channels. As an application, we employ our extended AK production model to match well the negative variance risk premium.

引用

页数：13

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