In a dynamic model, this paper characterises the interaction between macroeconomic expectation, risk aversion, and market uncertainty. From survey dispersion forecast, we capture macroeconomic expectation using monetary policy uncertainty, business outlook, and consumer confidence, while risk aversion and market uncertainty measures are derived from realised and implied volatilities. We find that shocks to these dispersion measures significantly affect market uncertainty, risk aversion, and macroeconomic variables. Shocks to monetary policy certainty, business outlook, and consumer confidence significantly lower risk aversion and market uncertainty. Shocks to monetary policy stance have a persistent, but minute effect on risk aversion, uncertainty, and macroeconomic variables.

中文翻译：

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市场不确定性，风险规避和宏观经济预期

在动态模型中，本文描述了宏观经济预期，风险规避和市场不确定性之间的相互作用。从调查分散预测中，我们使用货币政策不确定性，业务前景和消费者信心来捕获宏观经济预期，而避险和市场不确定性措施则来自已实现和隐含的波动率。我们发现，对这些分散措施的冲击会严重影响市场不确定性，风险规避和宏观经济变量。货币政策确定性，业务前景和消费者信心的冲击显着降低了风险规避和市场不确定性。对货币政策立场的冲击对风险规避，不确定性和宏观经济变量具有持续的但微小的影响。