學術講座：Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications

金融學院SBF論壇2019年第12講

講座題目：Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications

時間：5月7日（周二） 12：20-13：30

地點：博學樓925

主講人：黃宇凡

主講人簡介：

黃宇凡，首都經濟貿易大學國際經濟管理學院副教授、碩士生導師。主要研究領域為實證宏觀經濟學、應用貝葉斯計量經濟學以及非對稱和非線性時間序列分析，研究議題包括宏觀經濟的趨勢和周期分析、宏觀經濟中不確定性之角色以及宏觀金融相關議題。研究成果發(fā)表于經濟學專業(yè)期刊Journal of Money, Credit & Banking, Economics Letters，Empirical Economics，和Journal of Macroeconomics。

講座內容簡介：

The Great Recession has motivated economists to investigate financial uncertainty shocks as potentially important drivers of economic fluctuations. However, not all of the factors affecting financial uncertainty could cause economic downturns. In this paper, we find non-synchronized movements of two new measures of financial market uncertainty --- good and bad volatility --- which are based on the maximum and minimum stock prices within a month.

      Good (bad) volatility is associated with better (worse) expectations about the future economic situation and clearly signals acceleration (deceleration) in economic activity. We further investigate the importance of financial uncertainty implied by the new measures. The VAR results indicate that (1) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses to a good volatility shock are modest, and (2) bad volatility shocks explain the bulk of economic activity and stock price fluctuations in the medium run. These results suggest that bad volatility shocks are harmful to the economy and drive business cycle fluctuations. Distinguishing between these two types of financial uncertainty is crucial in understanding the roles that financial uncertainty plays in economic fluctuations.

經濟大蕭條促使經濟學家將金融不確定性沖擊作為經濟波動的潛在重要驅動因素。然而，并非所有影響金融不確定性的因素都可能導致經濟下滑。在本文中，我們發(fā)現(xiàn)兩個新的金融市場不確定性衡量指標 - 好的和壞的波動率 - 的非同步變動，基于一個月內的最高和最低股票價格。良好（不良）波動性與對未來經濟狀況的更好（更差）預期相關，并明確預示經濟活動的加速（減速）。我們進一步調查新指標所隱含的金融不確定性的重要性。 VAR結果表明：（1）產出，就業(yè)和股票價格因不良波動性沖擊而迅速暴跌，而他們對良好波動性沖擊的反應溫和，（2）不良波動性沖擊解釋了大部分經濟活動和中期股價波動。這些結果表明，不良波動性沖擊對經濟有害并推動商業(yè)周期波動。區(qū)分這兩種類型的金融不確定性對于理解金融不確定性在經濟波動中所起的作用至關重要。