Uncertainty, Time-Varying Fear, and Asset Prices

By I. Drechsler. 2013

255 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a458355340ecf8b3bb9b1762f416eb4167943621

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Citations in the corpus

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “In particular, Epstein and Schneider (2008), Leippold et al. (2008), Sbuelz and Trojani (2008) and Drechsler (2013) consider the effect of time varying ambiguity on asset prices.”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “, Piazzesi (2005), Maheu and McCurdy (2004), Dubinsky and Johannes (2006), and Beber and Brandt (2009).”
News Implied Volatility and Disaster Concerns (2017, methodology): “…a strong predictor of stock market returns as it measures fluctuation in expected stock market volatility (Merton, 1973), in the variance risk premium (Drechsler, 2008; Drechsler and Yaron, 2011), and in the probability of large economic disasters (Gabaix, 2012; Wachter, 2013; Gourio, 2008, 2012).”
Bond Variance Risk Premia (2012, unknown): “Drechsler and Yaron (2011) link the variance risk premium of the stock market index to uncertainty about fundamentals. In particular, time variation in economic uncertainty and a preference for early resolution of uncertainty are required to generate a positive variance premium that is time varying ”
The Risk Premia Embedded in Index Options (2015, background): “…of the risk in the asset price process will be related to underlying fundamentals in specific ways; examples include Drechsler and Yaron (2011) and Drechsler (2013). the average realized volatility over the sample is about 17.9%, this implies a large volatility risk premium, as also widely…”
Risk, Uncertainty and Monetary Policy (2013, unknown): “Drechsler, I. (2009). “Uncertainty, Time-Varying Fear, and Asset Prices,” working paper, Wharton School.”
Aggregate Idiosyncratic Volatility (2012, unknown): “Theoretically, a variance premium can arise through stochastic risk aversion and nonlinearities in fundamentals (see Bekaert and Engstrom (2010), Drechsler and Yaron (2011)) or through Knightian uncertainty (see Drechsler (2009)).”
Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, unknown): “For this paper I use the change in VIX instead of the premium as in Drechsler (2008).”
Systemic Co-Jumps (2017, unknown): “…to fundamentals (sometimes referred to as disasters) have a substantial impact on risk premia; see, e.g. Barro (2006); Gabaix (2012) and Drechsler and Yaron (2011); Drechsler (2013) for economic models directly focusing on the relation between jumps in fundamentals and the variance risk premium.”