Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications
基于月内最高最低股价构建了“好波动”与“坏波动”两个新指标，发现它们对经济活动有不同预测能力，坏波动冲击会显著导致产出、就业和股价下降。
Abstract We find nonsynchronized movements of two new measures of financial market uncertainty—good and bad volatility—which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with better (worse) expectations about the future economic situation and clearly signals acceleration (deceleration) in economic activity. The VAR results indicate that (i) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses to a good volatility shock are modest, and (ii) bad volatility shocks explain the bulk of economic activity and stock price fluctuations in the medium run.