2023-07-05-美联储-宏观经济不确定性的价格_来自日常期权的证据_55页_3mb

Summary

By: Juan M. Londono and Mehrdad Samadi
Title: The Price of Macroeconomic Uncertainty: Evidence from Daily Options

Key Points:

• Methodology: Exploits daily S&P 500 index option expirations to assess the ex-ante pricing of macroeconomic uncertainty associated with key announcements (CPI, Nonfarm Payrolls, GDP, FOMC). Comparisons are made with neighboring expirations lacking these announcements.
• Results: Option prices (implied volatility, risk reversal, variance risk premium) are higher for expirations covering release dates, even before the announcements occur. Trading volumes and open interest also increase.
• Risk Premia Nuances:
  • Release Type Impact:
    • CPI/FOMC: Higher risk premia during periods of heightened inflation/macroeconomic uncertainty in 2023.
    • Nonfarm Payrolls/GDP: "King" of releases in prior periods but inflation-focused releases show significantly elevated premia during inflationary times.
  • Underlying Drivers: Risk premia rise with risk aversion, real economic uncertainty (Jurado index), and monetary policy uncertainty. Components of uncertainty matter: CPI/FOMC linked to inflation risk while Nonfarm Payrolls/GDP tied to labor or output risk.
• Methodological Contribution: Provides a way to isolate event-driven risk premia for any periodically scheduled economic release, enhancing models of asset prices and uncertainty dynamics.