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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2009"

AuteursA. Beber, M.W. Brandt
TitelResolving macroeconomic uncertainty in stock and bond markets
TijdschriftReview of Finance
Jaargang13
Jaar2009
Nummer1
Pagina's1-45
ISSN15723097
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam Business School Research Institute (ABS-RI)
SamenvattingWe 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 this measure 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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