Volatility, the Macroeconomy, and Asset Prices
Publication
, Journal Article
Bansal, R; Kiku, D; Shaliastovich, I; Yaron, A
Published in: Journal of Finance
December 1, 2014
How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and helps account for the cross section of expected returns. Our evidence demonstrates that volatility is important for understanding expected returns and macroeconomic fluctuations.
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Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
December 1, 2014
Volume
69
Issue
6
Start / End Page
2471 / 2511
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Chicago
ICMJE
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Bansal, R., Kiku, D., Shaliastovich, I., & Yaron, A. (2014). Volatility, the Macroeconomy, and Asset Prices. Journal of Finance, 69(6), 2471–2511. https://doi.org/10.1111/jofi.12110
Bansal, R., D. Kiku, I. Shaliastovich, and A. Yaron. “Volatility, the Macroeconomy, and Asset Prices.” Journal of Finance 69, no. 6 (December 1, 2014): 2471–2511. https://doi.org/10.1111/jofi.12110.
Bansal R, Kiku D, Shaliastovich I, Yaron A. Volatility, the Macroeconomy, and Asset Prices. Journal of Finance. 2014 Dec 1;69(6):2471–511.
Bansal, R., et al. “Volatility, the Macroeconomy, and Asset Prices.” Journal of Finance, vol. 69, no. 6, Dec. 2014, pp. 2471–511. Scopus, doi:10.1111/jofi.12110.
Bansal R, Kiku D, Shaliastovich I, Yaron A. Volatility, the Macroeconomy, and Asset Prices. Journal of Finance. 2014 Dec 1;69(6):2471–2511.
Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
December 1, 2014
Volume
69
Issue
6
Start / End Page
2471 / 2511
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment