Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/207631
Authors: 
Conrad, Christian
Glas, Alexander
Year of Publication: 
2018
Series/Report no.: 
Discussion Paper Series No. 655
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.
Subjects: 
Realized volatility
Survey of Professional Forecasters
forecast evaluation
predictive regressions
JEL: 
E17
E37
G11
G17
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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