News implied volatility and aggregate economic activity: evidence from the Japanese government bond market
News implied volatility and aggregate economic activity: evidence from the Japanese government bond market
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新闻隐含波动率和总体经济活动：来自日本政府债券市场的证据
DOI：
10.1080/13504851.2022.2140751
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发表时间：
2022
影响因子：
1.6
通讯作者：
Shintani Mototsugu
中科院分区：
文献类型：
--
作者：
Goshima Keiichi;Ishijima Hiroshi;Shintani Mototsugu
由于10年期日本政府债券（JGB）期货期权在市场上相对较新，其隐含波动率JGB-VIX在2007年之前不可用。对于JGB-VIX可用的时期，我们使用日报文章作为输入，JGB-VIX作为输出进行监督学习。然后，我们构建了一个新的JGB市场的不确定性度量，我们称之为JGB-NU，根据JGB-VIX的估计模型和1981年至2021年的报纸文章的内容的预测值。在使用JGB-NU的VAR分析中，我们确认了JGB市场的不确定性冲击对日本的真实的经济活动产生了负面影响。
Because options on 10-year Japanese government bond (JGB) futures are relatively new in the market, their implied volatility, JGB-VIX, is not available before 2007. For the period when JGB-VIX is available, we conduct supervised learning by using the daily newspaper articles as input and JGB-VIX as output. We then construct a new JGB market uncertainty measure, which we called JGB-NU, based on the predicted values of JGB-VIX from the estimated model and contents of the newspaper articles from 1981 to 2021. In the VAR analysis with JGB-NU, we confirm that JGB market uncertainty shocks have a negative impact on real economic activities in Japan.