网范文：“Empirical Analysis of Macroeconomic Outcomes” 货币政策作用投资者的风险,任何市场价格风险的略论都必须包括多个风险溢价的方法。这篇金融范文提出三个风险溢价的方法。首先,讨论了风险溢价的方法从三个不同的金融市场，总股票,债券和衍生品市场。然后评估每一个溢价的能力来预测前一年实际GDP的增长。第一个风险溢价是股权风险溢价(ERP),投资者投资于股票,而不是没有违约风险的债券。
所有这些方法通常是反周期的,在经济衰退时期由国家经济探讨局(NBER)开发。模式是最为明显的，英语毕业论文，最后,两个方差风险溢价估计衍生品市场，这些方差风险溢价通常与主要受金融市场飙升的作用。下面的范文进行详述。
Abstract
Monetary policy influences the risk-taking of investors across a broad set of asset markets. As a result, any analysis of the market price of risk must include multiple risk premium measures. See the Box for a cautionary tale about what can happen when policymakers rely on a single risk premium measure.
This article considers six risk premium measures. First, the article discusses measures of risk premiums from three different financial markets: the aggregate stock, bond, and derivative markets. The article then evaluates each premium’s ability to predict one-year-ahead real GDP growth. The first risk premium is the equity risk premium (ERP) that measures the additional compensation that investors demand for investing in stocks rather than bonds free from default risk.
Chart 1 shows the empirical measure of the ERP from Duarte and Rosa since 1990. Next, three measures of risk premiums are obtained from bond market data. Chart 2 shows the historical evolution of a measure of the term premium (TP), the additional compensation for duration risk incurred by holding long-term Treasury bonds. Chart 3 shows two measures of the credit risk premium: the excess bond premium (EBP) and the macro risk premium (MRP). The EBP measures additional compensation for the default risk incurred by investing in corporate bonds above and beyond what can be explained by changes in the expected default probability. Similary, the MRP measures additional compensation for both the duration risk and the default risk above and beyond what can be explained by changes in the expected path of short-term risk-free rates and default probability.
All these measures are generally countercyclical, rising during the recession periods identified by the National Bureau of Economic Research (NBER). The pattern is most pronounced in the ERP but also observed in the TP, EBP, and MRP. Finally, two variance risk premium estimates (VP_VIX, VP_ MOVE) from derivative markets measure the additional compensation for fluctuations in the return variance either in equity markets or Treasury bond markets. Chart 4 shows the historical evolution of the two variance risk premium estimates through past episodes of financial market turmoil.
These variance risk premiums typically spike with major disruptions to financial markets, suggesting they are good proxies for the overall risk aversion of investors. Table 1 describes the risk premium measures used in the analysis, and the Appendix details how each risk premium measure is constructed. From the perspective of financial stability, what is important is a shift in the overall market price of risk that can shift various risk premiums at the same time. To analyze the co-movement of these risk premiums, it is useful to look at their correlation matrix. The correlation matrix in Table 2 shows that the variance risk premium from equity options (VP_VIX) is nearly uncorrelated with risk premium measures other than the EBP. Additionally, the TP is more or less negatively correlated with all other risk premium measures. Unlike the VP_VIX, the VP_MOVE is positively correlated with the bond market risk premium estimates, suggesting that volatility and the level of bond returns might be positively correlated, on average. One notable pattern is that the EBP is significantly correlated with two variance risk premiums which are more highly correlated with financial market turmoils than other risk premium measures.
Predictability of macroeconomic activity and risk premiums
The main criteria to judge whether monitoring a particular risk premium measure is worthwhile is whether or not the premium is predictable and provides information about the future economy beyond that provided by conventional macroeconomic indicators. As monetary policy typically influences the real economy with a lag, the current measure of the risk premium must provide information about the future risk premium. Without future information, any monetary policy response to the current estimate of a risk premium will be behind the curve in terms of effects on the real economy.
Furthermore, fluctuations in the risk premium need to provide information about the future economy not revealed in the usual macro variables. The estimated serial correlation coefficient provides a simple measure of a variable’s predictability. Table 3 shows that all the risk premium estimates have moderate to high values of serial correlation with most of coefficients above 0.5. Specifically, risk premium estimates from stock and bond markets are highly persistent with serial correlation coefficients above 0.8 while risk premium estimates from derivatives markets are only moderately persistent.
Thus, the risk premium measures pass the first criterion of predictability. Researchers have found that information from a risk premium measure about the future economy depends on the current state of the economy. While an increase in the risk premium can be a relatively good indicator of an economic downturn, a decrease in the risk premium may be a poor indicator of economic growth (Stein 2017). This asymmetry suggests that monetary policy may need to be less accommodative when responding to an exceptionally low risk premium than the pure macroeconomic outlook implies.5 However, a less accommodative policy would do little damage to the near-term macroeconomic outlook because the exceptionally low risk premium does not typically generate a huge boom in aggregate demand.
The unusually low risk premium may sow seeds for future financial instability and subsequent macroeconomic instability as investors underestimate the riskiness of assets to reach for yield.6 To evaluate the macroeconomic implications of changes in risk premiums, a statistical model relating real GDP growth one year ahead to the various measures of risk premiums is estimated. Lagged real GDP growth terms are also included in the regression to judge whether the financial indicators provide any additional predictive power beyond that from past GDP growth. Positive changes in risk premiums are included in the regression separately from negative changes to capture the apparent asymmetry in the relationship.
The results are presented in Table 4. When only one risk premium measure is used as an explanatory variable in addition to three lags of real GDP growth, the model with the EBP has the highest explanatory power in terms of the adjusted R2 statistic.7 The effect of changes in the EBP on real GDP growth is asymmetric. For example, a 1-standard-deviation increase in the EBP (0.6 percentage point) decreases one-year-ahead real GDP growth by a statistically significant 1.74 percent (2.904×0.6) on average. But a decrease in the EBP by the same magnitude increases one-year-ahead real GDP growth by only 0.64 percent (1.065×0.6)—EBP seems to be a sufficient statistic to monitor if the goal is to assess the near-term outlook for the macroeconomy. This does not imply, however, that monitoring risk premium estimates other than the EBP is useless.
Although these measures do not provide additional information on future economic activity once the EBP is included, they might be useful in predicting a spike in the EBP that could lead to a bad macroeconomic outcome. To investigate this possibility, the change in the EBP is regressed onto lagged risk premium estimates. The regression results in Table 5 suggest that positive changes in the EBP are more likely to happen when the level of the ERP, the TP, and the VP_VIX is negative. While we do not observe a negative equity risk premium during the sample period, the TP and the VP_VIX occasionally became negative. Together, the regression results in Tables 4 and 5 show that the ERP, the TP, and the VP_VIX have little information about future real GDP by themselves but provide additional information in predicting changes in the EBP. Therefore, ignoring fluctuations in these risk premium estimates solely based on the regression of real GDP growth can be misleading, especially if the goal is to detect the probability of a large spike in the EBP that could signal a severe recession.()
网站原创范文除特殊说明外一切图文作品权归所有；未经官方授权谢绝任何用途转载或刊发于媒体。如发生侵犯作品权现象，保留一切法学追诉权。
更多范文欢迎访问我们主页 当然有需求可以和我们 关系交流。-X()
，英语论文范文 |
