Anxiety focuses on downside risks and its increases in magnitude and can be measured through news stories and survey information. These measures of risk, a focus on the downside, are different from economic policy uncertainty or uncertainty indices in general which serve as proxies for subjective uncertainty and not downside risks.
This research finds that there is a countercyclical relationship between anxiety and volatility. An increase in anxiety which driven by news of downside will be linked to lower volatility. Volatility and anxiety are not the same thing.
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