eprintid: 25357
rev_number: 19
eprint_status: archive
userid: 3114
dir: disk0/00/02/53/57
datestamp: 2018-10-01 10:21:25
lastmod: 2018-12-05 17:02:23
status_changed: 2018-10-01 10:21:25
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Glas, Alexander
title: ‘Déjà vol’ revisited:
Survey forecasts of macroeconomic variables predict
volatility in the cross-section of industry portfolios
subjects: ddc-330
divisions: i-180001
divisions: i-180500
divisions: i-181000
keywords: Realized volatility, Survey of Professional Forecasters, forecast evaluation, predictive regressions
abstract: 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
id_scheme: DOI
id_number: 10.11588/heidok.00025357
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0655
ppn_swb: 1656909030
own_urn: urn:nbn:de:bsz:16-heidok-253575
language: eng
bibsort: CONRADCHRIDEJAVOLREV201809
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0655
place_of_pub: Heidelberg
pages: 57
citation:   Conrad, Christian ; Glas, Alexander  (2018) ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/25357/1/Conrad%20and%20Glas_2018_dp0655.pdf