Earticle

초록

영어

This thesis focuses on uncertainty which begins with Knightian Uncertainty. First we introduce a concept of time-varying uncertainty aversion. We find that uncertainty aversion is increasing before the crash and is resolved after the crash, and tends to move together with S&P 500. Second we present a relationship between uncertainty aversion and business condition. We construct a VECM regression and Granger Causality tests. Using credit spread and term spread as indicators of business conditions, we find some interesting results: (1) Uncertainty aversion has significant positive relationship with credit spreads in United States. (2) Uncertainty aversion has no significant relationship with term-spreads. (3) Uncertainty aversion granger causes both credit spreads and term spreads. This implies that with uncertainty aversion we can explain the credit spread puzzle as well as we can predict future business conditions. If today ’s uncertainty increases, tomorrow’s business condition will be worse, and if today’s uncertainty decreases or is resolved, tomorrow’s business condition will be better.

목차

Abstract
 1. Introduction
 2. Literature Review
  2.1 Knightian Uncertainty & Ellsberg Paradox.
  2.2 Robust Control Problem
  2.3 Dynamic Portfolio Problem with model uncertainty
 3. Time Varying Uncertainty Aversion
  3.1 Drawing Balls in an urn
  3.2 Basic Setup
  3.3 Time Varying Uncertainty Aversion
  3.4 Empirical Tests
 4. Uncertainty Aversion and Business Condition
  4.1 Regression Model
  4.2 Regression Results
 5. Conclusion
 Reference

키워드

저자

• Hyo Seob Lee [ Graduate School of Management, Korea Advanced Institute of Science and Technology ] Corresponding author
• Tong Suk Kim [ Graduate School of Management, Korea Advanced Institute of Science and Technology ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330