VIX之下：概率、严重性与不确定性冲击

中文摘要 AI 辅助

隐含股市波动率被广泛用于识别不确定性冲击，并约束其宏观经济效应的模型。本文为这些实证所依据的期权价格变动赋予了分布层面的内容。一个归一化的平值远期看跌期权价格，即下行保护溢价（DPP），紧密追踪VIX，并在所考察的设定中保留了主要的宏观经济响应。其价格和局部执行价斜率将风险中性短缺概率与条件严重性区分开来。严重性几乎解释了月度溢价的所有共同变动，以及衰退对数溢价的91.5%。条件收益也大幅上升，而条件损失在相位平均值中仍然较大。尽管严重性占主导地位，但在维持远期和溢价构造的条件下，跨执行价的报价常常排除共同尺度的解释。已实现波动率和未来波动率新闻的创新都主要通过严重性提高保护成本，但在共同的冲击-严重性单位下却产生不同的估计就业响应；同时显著性取决于推断形式。总之，这些发现为不确定性、期权价格和经济活动之间的联系提供了联合经验约束。

英文摘要

Implied stock-market volatility is widely used to identify uncertainty shocks and discipline models of their macroeconomic effects. This paper gives distributional content to the option-price variation underlying these exercises. A normalized at-the-money forward put price, the Downside Protection Premium (DPP), closely tracks the VIX and preserves the principal macroeconomic responses in the specifications examined. Its price and local strike slope separate risk-neutral shortfall probability from conditional severity. Severity accounts for almost all monthly premium comovement and 91.5 percent of the recession log premium. Conditional gains also rise substantially, while conditional losses remain larger in phase averages. Despite this severity dominance, quotations across strikes frequently exclude a common-scale explanation, conditional on the maintained forward and premium construction. Realized-volatility and future-volatility-news innovations both raise protection costs primarily through severity, yet produce different estimated employment responses in common impact-severity units; simultaneous significance depends on the inference formulation. Together, these findings supply joint empirical restrictions on the connection between uncertainty, option prices, and economic activity.

发表机构

• Indiana University（印第安纳大学）

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