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Stock market volatility and macroeconomic uncertainty. Evidence from survey data

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Author Info
Ivo J.M. Arnold
Evert B. Vrugt (Nyenrode Business Universiteit)

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Abstract

This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much stronger than that between stock market volatility and the more traditional time-series measures of macroeconomic volatility, but disappears after 1996.

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File URL: http://www.nyenrode.nl/facultyandresearch/nri/Documents/Working%20papers/06-08.pdf
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Publisher Info
Paper provided by Nyenrode Business Universiteit in its series Nyenrode Research Papers Series with number 06-08.

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Date of creation: 2006
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Handle: RePEc:dgr:nijrep:2006-08

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Related research
Keywords: Stock market volatility; macro-economic factors; survey data;

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