The Price of Political Uncertainty: Theory and Evidence from the Option Market
利用国家选举和全球峰会期间政治不确定性的变化，发现期权市场会为政治风险定价，覆盖政治事件的期权更贵，能对冲价格、波动和尾部风险，且在弱经济和高不确定性时保护价值更大。
ABSTRACT We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated with political events. This protection is more valuable in a weaker economy and amid higher political uncertainty. The effects of political uncertainty spill over across countries.