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Term Structure of Uncertainty in the Macroeconomy

Jaroslav Borovička () and Lars Hansen

No 22364, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to macroeconomic shocks. Financial markets provide compensations to investors who are exposed to these shocks. Adopting an asset pricing vantage point, we describe and apply methods for computing exposures to macroeconomic shocks and the implied compensations represented as elasticities over alternative payoff horizons. The outcome is a term structure of macroeconomic uncertainty.

JEL-codes: C10 C32 C58 E44 G12 G32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2016-06
Note: AP EFG
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Chapter: Term Structure of Uncertainty in the Macroeconomy (2016) Downloads
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