美联储-宏观经济不确定性的价格：来自日常期权的证据（英）-2023.6-55页_2mb

Summary of "The Price of Macroeconomic Uncertainty: Evidence from Daily Options"

Key Findings

1. Event-Driven Risk Premia: Daily S&P 500 index options spanning major U.S. macroeconomic releases (CPI, FOMC, GDP, Nonfarm Payrolls) exhibit higher prices for hedging price, volatility, and tail risks, even before announcements. For example, at-the-money options on release days cost up to 7.5% more than neighboring expirations.
2. Trade Volume and Open Interest: Options spanning releases are significantly more actively traded, indicating strong hedging demand. Trading volume increases notably, especially for options with two weeks until expiration.
3. Risk Premia Variability: Release-driven forward equity risk premia (ERP) and variance risk premia (VRP) vary significantly across events and time. During periods of heightened risk aversion and uncertainty, premia increase. For instance, ERP for CPI releases reached an annualized 12.2% in January 2023.
4. Component-Specific Risk: Uncertainty components differ in impact. CPI/FOMC releases are more sensitive to inflation uncertainty, while GDP/Nonfarm Payrolls are linked to labor market uncertainty.
5. Robustness: Results hold across various specifications, including different windows, uncertainty measures, and option expiration frequencies.

Methodology

• Utilizes daily S&P 500 index option expirations (2017–2023) to estimate hedging costs and forward risk premia.
• Compares option-implied volatility, risk reversals, and variance risk premia for expirations before/after releases.
• Constructs forward ERP and VRP using specialized econometric techniques.

Implications

The study demonstrates that financial markets anticipate and price macroeconomic uncertainty, with key events like CPI and FOMC driving the highest risk premia. These findings provide a framework to analyze event-specific risk in asset pricing and policy uncertainty effects.