学术讲座：Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications

金融学院SBF论坛2019年第12讲

讲座题目：Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications

时间：5月7日（周二） 12：20-13：30

地点：博学楼925

主讲人：黄宇凡

主讲人简介：

黄宇凡，首都经济贸易大学国际经济管理学院副教授、硕士生导师。主要研究领域为实证宏观经济学、应用贝叶斯计量经济学以及非对称和非线性时间序列分析，研究议题包括宏观经济的趋势和周期分析、宏观经济中不确定性之角色以及宏观金融相关议题。研究成果发表于经济学专业期刊Journal of Money, Credit & Banking, Economics Letters，Empirical Economics，和Journal of Macroeconomics。

讲座内容简介：

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.

经济大萧条促使经济学家将金融不确定性冲击作为经济波动的潜在重要驱动因素。然而，并非所有影响金融不确定性的因素都可能导致经济下滑。在本文中，我们发现两个新的金融市场不确定性衡量指标 - 好的和坏的波动率 - 的非同步变动，基于一个月内的最高和最低股票价格。良好（不良）波动性与对未来经济状况的更好（更差）预期相关，并明确预示经济活动的加速（减速）。我们进一步调查新指标所隐含的金融不确定性的重要性。 VAR结果表明：（1）产出，就业和股票价格因不良波动性冲击而迅速暴跌，而他们对良好波动性冲击的反应温和，（2）不良波动性冲击解释了大部分经济活动和中期股价波动。这些结果表明，不良波动性冲击对经济有害并推动商业周期波动。区分这两种类型的金融不确定性对于理解金融不确定性在经济波动中所起的作用至关重要。