Resolving macroeconomic uncertainty in stock and bond markets
Publication
, Journal Article
Beber, A; Brandt, MW
Published in: Review of Finance
January 1, 2009
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets.We measure macroeconomic uncertainty using prices of economic derivatives and relate thismeasure to changes in implied volatilities of stock and bond options when the economic data is released. Higher macroeconomic uncertainty is associated with greater reduction in implied volatilities following the news release. It is also associated with increased volume and decreased open interest in option markets after the release, consistent with market participants using financial options to hedge or speculate on macroeconomic news.
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Published In
Review of Finance
DOI
EISSN
1573-692X
ISSN
1572-3097
Publication Date
January 1, 2009
Volume
13
Issue
1
Start / End Page
1 / 45
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability
Citation
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MLA
NLM
Beber, A., & Brandt, M. W. (2009). Resolving macroeconomic uncertainty in stock and bond markets. Review of Finance, 13(1), 1–45. https://doi.org/10.1093/rof/rfn025
Beber, A., and M. W. Brandt. “Resolving macroeconomic uncertainty in stock and bond markets.” Review of Finance 13, no. 1 (January 1, 2009): 1–45. https://doi.org/10.1093/rof/rfn025.
Beber A, Brandt MW. Resolving macroeconomic uncertainty in stock and bond markets. Review of Finance. 2009 Jan 1;13(1):1–45.
Beber, A., and M. W. Brandt. “Resolving macroeconomic uncertainty in stock and bond markets.” Review of Finance, vol. 13, no. 1, Jan. 2009, pp. 1–45. Scopus, doi:10.1093/rof/rfn025.
Beber A, Brandt MW. Resolving macroeconomic uncertainty in stock and bond markets. Review of Finance. 2009 Jan 1;13(1):1–45.
Published In
Review of Finance
DOI
EISSN
1573-692X
ISSN
1572-3097
Publication Date
January 1, 2009
Volume
13
Issue
1
Start / End Page
1 / 45
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability