The model is estimated for the U.S. using monthly data over the period July 2001 to June 2015. We show that adverse shocks to aggregate demand and aggregate supply cause an increase in both stock and bond market volatility and that adverse shocks to either stock or bond market volatility cause a deterioration in macroeconomic fundamentals. Moreover, we show that it is the persistent component, not the transitory component, that is more closely related to macroeconomic fundamentals. In light of these findings, we then estimate a smaller SVAR model to examine the dynamic relationship between changes in investor sentiment and transitory volatility. We find that an unanticipated improvement in sentiment first reduces and then increases transitory volatility. Moreover, negative shocks to transitory volatility lead to a significant improvement in sentiment. This suggests that transitory volatility and investor sentiment are closely linked. Our results are robust to a wide range of alternative model specifications.
การแปล กรุณารอสักครู่..
