The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

Détails

ID Serval
serval:BIB_1974C9ABF145
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
Périodique
Journal of Monetary Economics, forthcoming
Auteur(s)
Beber A., Brandt M.
Statut éditorial
Publié
Date de publication
2007
Résumé
We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price densities (SPDs) of bond prices shortly before and after the announcements. We find that the announcements reduce the uncertainty implicit in the second moment of the SPD regardless of the content of the news. The changes in the higher-order moments, in contrast, depend on whether the news is good or bad for economic prospects. We explore three alternative explanations for our empirical findings: relative mispricing, changes in beliefs, and changes in preferences. We find that our results are consistent with time-varying risk aversion.
Mots-clé
Z3
Création de la notice
19/11/2007 10:41
Dernière modification de la notice
20/08/2019 13:50
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