Resolving Macroeconomic Uncertainty in Stock and Bond Markets
Alessandro Beber () and
Michael W. Brandt
Review of Finance, 2009, vol. 13, issue 1, 1-45
Abstract:
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied volatilities of stock and bond options when the economic data is released. Higher macroeconomic uncertainty is associated with greater reduction in implied volatilities following the news release. It is also associated with increased volume and decreased open interest in option markets after the release, consistent with market participants using financial options to hedge or speculate on macroeconomic news. Copyright 2009, Oxford University Press.
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (38)
Downloads: (external link)
http://hdl.handle.net/10.1093/rof/rfn025 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Resolving Macroeconomic Uncertainty in Stock and Bond Markets (2006) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:oup:revfin:v:13:y:2009:i:1:p:1-45
Ordering information: This journal article can be ordered from
https://academic.oup.com/journals
Access Statistics for this article
Review of Finance is currently edited by Marcin Kacperczyk
More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().