کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098253 | 1478690 | 2015 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Super-exponential growth expectations and the global financial crisis
ترجمه فارسی عنوان
انتظارات رشد فوق العاده و بحران مالی جهانی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003-2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates into transient unsustainable price growth that may be identified as a bubble. Granger tests detect causality running from option-implied returns to Treasury Bill yields in the pre-crisis regime with a lag of a few days, and the other way round during the post-crisis regime with much longer lags (50-200 days). This suggests a transition from an abnormal regime preceding the crisis to a “new normal” post-crisis. The difference between realized and option-implied returns remains roughly constant prior to the crisis but diverges in the post-crisis phase, which may be interpreted as an increase of the representative investor׳s risk aversion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 55, June 2015, Pages 1-13
Journal: Journal of Economic Dynamics and Control - Volume 55, June 2015, Pages 1-13
نویسندگان
Matthias Leiss, Heinrich H. Nax, Didier Sornette,