Energy‐Related Discussion in Fed Speeches and Options‐Implied Equity Risk Premium
研究了美联储讲话中能源相关讨论如何影响期权隐含股权风险溢价和市场波动，发现能源内容占比越高，风险溢价和波动越大，而鸽派语气能缓解不确定性。
ABSTRACT Using options‐implied equity risk premium, this study examines how financial markets price the uncertainty associated with the energy‐related discussions in Federal Reserve speeches. The study quantifies key aspects of such discussions and examines their impact on the equity risk premium and market volatility. Our findings demonstrate that the proportion of energy‐related content in Fed speeches is positively associated with both ERP and market volatility. We uncover that a dovish tone in these discussions mitigates the uncertainty surrounding energy‐related concerns and reduces market volatility. These findings highlight the importance of energy‐related communication in Fed speeches—an understudied channel of Fed communication.