Anmerkungen:
In: Journal of Banking and Finance, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 12, 2015 erstellt
Beschreibung:
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner and "academic" risk aversion indices, sentiment indices, financial stress indices, business cycle indicators and liquidity measures