Political Uncertainty and Risk Premia
Political Uncertainty and Risk Premia
复制标题
DOI：
10.2139/ssrn.1932420
复制
发表时间：
2011-09
期刊：
影响因子：
--
通讯作者：
Ľuboš Pástor;P. Veronesi
中科院分区：
文献类型：
--
作者：
Ľuboš Pástor;P. Veronesi
我们建立了一个政府政策选择的一般均衡模型，在这个模型中，股票价格对政治新闻做出反应。该模型暗示，政治不确定性会带来风险溢价，在经济状况较弱的情况下，溢价幅度会更大。政治不确定性降低了政府向市场提供的隐性看跌保护的价值。它还使股市更加波动，关联度更高，尤其是在经济疲软的时候。我们发现了与这些预测一致的经验证据。
We develop a general equilibrium model of government policy choice in which stock prices respond to political news. The model implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions. Political uncertainty reduces the value of the implicit put protection that the government provides to the market. It also makes stocks more volatile and more correlated, especially when the economy is weak. We find empirical evidence consistent with these predictions.