Data and Code for: Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data
Principal Investigator(s): View help for Principal Investigator(s) Ian Dew-Becker, Northwestern University; Stefano Giglio, Yale University
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| full_replication | 05/17/2022 10:03:AM | ||
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text/plain | 3.6 KB | 05/17/2022 05:51:AM |
Project Citation:
Dew-Becker, Ian, and Giglio, Stefano. Data and Code for: Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-03-27. https://doi.org/10.3886/E150921V1
Project Description
Summary:
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This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied
little between 1980 and 1995, and subsequently had three distinct peaks – during the
tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional uncertainty has had a mixed relationship with overall economic activity, and aggregate
uncertainty is much more powerful for forecasting aggregate growth. The data and
moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In international data, we find similar dynamics and a strong common
factor in cross-sectional uncertainty.
Scope of Project
JEL Classification:
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D80 Information, Knowledge, and Uncertainty: General
E32 Business Fluctuations; Cycles
G10 General Financial Markets: General (includes Measurement and Data)
D80 Information, Knowledge, and Uncertainty: General
E32 Business Fluctuations; Cycles
G10 General Financial Markets: General (includes Measurement and Data)
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