Strobel, Johannes (2015) On the different approaches of measuring uncertainty shocks. ECONOMICS LETTERS, 134. pp. 69-72. ISSN 0165-1765, 1873-7374
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As uncertainty has become an increasingly prominent source of business cycle fluctuations, various uncertainty proxies have been proposed in the literature. This paper shows that uncertainty measures based on realized variables fluctuate more than the measures that are based on forecasts. More precisely, the variation in the realized cross-sectional standard deviation of profit growth and stock returns is larger than the variation in the forecast standard deviation. Moreover, the forecast standard deviation of profit growth and stock returns are negatively or uncorrelated, the uncertainty measures increase stock returns due to a risk premium, but they decrease profit growth. (C) 2015 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ; Uncertainty shocks; Sectoral impact; GARCH-in-mean; Profit growth |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 11 Jun 2019 13:54 |
| Last Modified: | 11 Jun 2019 13:54 |
| URI: | https://pred.uni-regensburg.de/id/eprint/4895 |
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