跳跃风险、经济不确定性指数及其波动与趋势特质分析

The Analysis of Jump Risk,Economic Uncertainty Index and the Characteristics of its Cyclical Component and Trend Component

方差风险溢价作为度量经济不确定性的代理变量,对未来多期超额收益率具有显著的预测能力。将方差风险溢价拆分为趋势项和波动项,发现两者的作用区间存在显著差异:短期内波动项起主导作用,中长期内则趋势项起主导作用。拆分后整体的预测效果有显著提升。在分析趋势项和波动项的性质时,引入了正负跳跃风险作为控制变量。研究发现,正负跳跃风险的预测能力存在显著的非对称性,负跳跃风险的预测能力较强,而正跳跃风险的预测能力较弱。

The variance risk premium is the proxy variable of the Economic Uncertainty Index,and its greatest role is that it has a significant predictive power on the future multi-period excess rate of return.By dividing variance risk premium into the trend component and the cyclical component,we find that the predictive power of two variables are quite different.The trend component plays a leading role in the short term,and the cyclical component plays a leading role in the medium and long term.After the split,the adjusted R square has been improved significantly.Meanwhile,the study introduced the realized jump variation as a control variable,we found that there was a significant-asymmetry in the predictive ability of the positive and negative jump risk.The prediction ability of negative jump risk was strong.However,the prediction ability of positive jump risk was weak.