Democratic Processes and Financial Markets: Pricing Politics
Democratic Processes and Financial Markets: Pricing Politics
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民主进程和金融市场：定价政治
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
David Leblang
中科院分区：
文献类型：
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作者：
W. Bernhard;David Leblang
作者研究了民主事件（包括选举、内阁组建和政府解散）影响资产市场的条件。当这些事件的结果难以预测时，市场回报率就会受到抑制，波动性就会增加。相反，在市场参与者可以预测结果的情况下，回报不会表现出任何异常行为。此外，政治预期决定了市场对政治进程的反应。当新闻导致市场参与者更新他们的政治信仰时，市场参与者重新分配他们的投资组合，整体市场行为发生变化。为了衡量政治信息，伯恩哈德和勒布朗教授采用了复杂的政治过程模型。他们利用各种市场行为模型，包括有效市场假说，资本资产定价模型和套利定价理论，来追踪政治事件对货币，股票和债券市场的影响。该分析将吸引政治学、经济学和金融学领域的学者、研究生和高级本科生。
The authors examine the conditions under which democratic events, including elections, cabinet formations, and government dissolutions, affect asset markets. Where these events have less predictable outcomes, market returns are depressed and volatility increases. In contrast, where market actors can forecast the result, returns do not exhibit any unusual behavior. Further, political expectations condition how markets respond to the political process. When news causes market actors to update their political beliefs, market actors reallocate their portfolios, and overall market behavior changes. To measure political information, Professors Bernhard and Leblang employ sophisticated models of the political process. They draw on a variety of models of market behavior, including the efficient markets hypothesis, capital asset pricing model, and arbitrage pricing theory, to trace the impact of political events on currency, stock, and bond markets. The analysis will appeal to academics, graduate students, and advanced undergraduates across political science, economics, and finance.