One of the key developments in macro finance has been the modeling of uncertainty as a variable that impacts macro and financial variables. The unknown influences decision-making. A good review is provided in "Uncertainty shocks and business cycle research". Uncertainty is not the same as volatility. Uncertainty is measured by news and economic forecast disagreement and uncertainty shocks will impact the business cycle by changing consumer demand and decisions to invest. Risk premia are impacted by uncertainty which changes the cost of capital.
One of the most important variables for thinking about market moves is uncertainty. Along with impacting the real economy, there is a financial effect that is separate from volatility. If we do not know what possible states will exist in the futures, there will be a movement to less risky assets which independent of is displayed in macro data.
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