登入選單

返回Google圖書搜尋

Recent Developments in Financial Risk and the Real Economy

Ian Dew-Becker

出版	National Bureau of Economic Research, 2023
URL	http://books.google.com.hk/books?id=fg5e0AEACAAJ&hl=&source=gbs_api

註釋

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.