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首页> 外文期刊>Journal of Economic Dynamics and Control >What does financial volatility tell us about macroeconomic fluctuations?
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What does financial volatility tell us about macroeconomic fluctuations?

机译：金融波动告诉我们有关宏观经济波动的哪些信息？

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摘要

We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract the common long-run component of volatility that is likely to be linked to economic fundamentals. Based on powerful in-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly improve macroeconomic forecasts of conventional financial indicators, especially over short horizons. A real-time out of sample assessment yields similar conclusions under the assumption of noisy revisions in macroeconomic data. In a nonlinear extension of the dynamic factor model, we identify two distinct volatility regimes, and show that the high-volatility regime provides early signals of the Great Recession, which was associated with severe financial distress and credit disintermediation. Published by Elsevier B.V.
机译：我们对金融波动对经济活动的预测能力进行了广泛的分析。我们考虑股票和债券市场每月已实现和隐含波动率的度量。在动态因素框架中，我们提取了可能与经济基本面相关的常见的长期波动性成分。基于强大的样本内预测能力测试，我们发现，股票波动率测量和公共因素显着改善了常规财务指标的宏观经济预测，尤其是在短期内。在对宏观经济数据进行有噪声修正的假设下，实时的样本外评估得出相似的结论。在动态因素模型的非线性扩展中，我们确定了两种不同的波动率体制，并表明高波动率体制提供了经济大衰退的早期信号，这与严重的财务危机和信用解体有关。由Elsevier B.V.发布

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