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好与坏的不确定性：宏观经济和金融市场含义AI 解读

Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into ‘good’ and ‘bad’ volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good uncertainty predicts an increase in future economic activity, such…

学习、信心与期权价格AI 解读

The option-market evidence suggests that investors are concerned with large downward moves in equity prices, which occur once every one to two years in the data. This evidence is puzzling because there are no concurrent jumps in macroeconomic fundamentals. I estimate a confidence-risk model where agents use a constant gain specification to learn about the unobserved expected growth from the cross-section of signals. While consumption shocks are Gaussian, investors’…