title: ‘Déjà vol’ revisited:  Survey forecasts of macroeconomic variables predict  volatility in the cross-section of industry portfolios
creator: Conrad, Christian
creator: Glas, Alexander
subject: ddc-330
subject: 330 Economics
description: We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher growth rates is associated with lower stock volatility. Our results are in line with both counter-cyclical volatility in dividend news as well as in expected returns. Inflation forecasts predict higher or lower stock volatility depending on the state of the economy and the stance of monetary policy. Forecasts of higher unemployment rates are good news for stocks during expansions and go along with lower stock volatility. Our results hold in- as well as out-of-sample and pass various robustness checks.
date: 2018-09
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/25357/1/Conrad%20and%20Glas_2018_dp0655.pdf
identifier: DOI:10.11588/heidok.00025357
identifier: urn:nbn:de:bsz:16-heidok-253575
identifier:   Conrad, Christian ; Glas, Alexander  (2018) ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/25357/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng