Recent Developments in Financial Risk and the Real Economy

Ian Dew-Becker and Stefano Giglio

No 31878, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper reviews recent developments in macro and finance on the relationship between financial risk and the real economy. We focus on three specific topics: the term structure of uncertainty, time variation - and specifically the long-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance against single-day crashes on the S&P 500, both of which give some context to the recent rise in trade in extremely short-dated options. Finally, we discuss new avenues for future research.

JEL-codes: E10 G10 G12 G13 N1 N2 (search for similar items in EconPapers)
Date: 2023-11
New Economics Papers: this item is included in nep-fdg and nep-rmg
Note: AP DAE EFG IFM ME
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Published as Ian Dew-Becker & Stefano Giglio, 2024. "Recent Developments in Financial Risk and the Real Economy," Annual Review of Financial Economics, .

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