JOURNAL OF BANKING & FINANCE, VOL 97, DECEMBER 2018

不可观察的系统性风险、经济活动和股票市场

作者：Roberto A. De Santis (European Central Bank)

摘要：本文利用1999-2015年期间欧元区非金融公司的1764欧元债券的信用利差，提取了一个潜在的系统风险因子，它与异质风险和可观测的系统性风险正交。提取的共同潜在因素可以负面预测股票市场超额收益、实际经济活动的增长率和经济情绪。它还预测了金融危机和两次经济衰退。

关键词：企业信用利差；超额债券溢价；预测；欧元区

Unobservable Systematic Risk, Economic Activity and Stock Market

Roberto A. De Santis (European Central Bank)

ABSTRACT

I extract a latent systematic risk factor, which is orthogonal to idiosyncratic risk and observable systematic risk, from credit spreads for 1764 Eurobonds across euro area non-financial firms over the 1999–2015 period. The extracted common latent factor negatively predicts stock market excess returns, the growth rate in real economic activity and economic sentiment. It predicts the financial crisis and the two economic recessions.

Keywords: Corporate Credit Spreads；Excess Bond Premium；Forecasts；Euro Area

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618302085#!

翻译：王秭越