论文标题：Can Stock Volatility Be Benign? New Measurements And Macroeconomic Implications

　　发表时间：2020

　　论文所有作者：Yu-Fan Huang, Sui Luo

　　期刊名及所属分类：Journal of Money, Credit & Banking(国际A)

　　英文摘要：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.

　　中文摘要：我们发现金融市场不确定性的两个新指标——好波动性和坏波动性——的不同步运动是基于一个月内股票价格的最大值和最小值。好的(坏的)波动与对未来经济形势的更好的(更坏的)预期相关，并清楚地表明经济活动加速(减速)。VAR结果表明:(i)产出、就业和股票价格在应对糟糕的波动率冲击时迅速下跌，而它们对良好的波动率冲击的反应是温和的;(ii)糟糕的波动率冲击解释了中期的大部分经济活动和股票价格波动。