摘要翻译：
提出了一个由13个社会经济因素构成的年度幸福感指数，以动态地衡量美国市民的心情。对指数的对数收益进行计量模型拟合，以量化其尾部风险，进行期权定价和风险预算。通过对社会经济内容提供一个可靠的统计评估，该指数与理性金融理论一致，使保险类金融工具的构建和估值成为与之相对应的合同。从内生性来看，股票市场的VXO波动性度量似乎是尾部风险的最大贡献者。在外部，对贸易不平衡和合法移民等政治重要因素进行“压力测试”，量化系统性风险。对于5%至10%的概率水平，低于这些临界值的贸易价值与同一水平的移民相比，指数的下移幅度更大。该指数的主要目的是为市民情绪的负面变化提供预警，从而提醒政策制定者和私营机构未来可能出现的市场低迷。
---
英文标题：
《A Socioeconomic Well-Being Index》
---
作者：
A. Alexandre Trindade, Abootaleb Shirvani, and Xiaohan Ma
---
最新提交年份：
2020
---
分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
--
一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
英文摘要：
  An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of the index in order to quantify its tail risk and perform option pricing and risk budgeting. By providing a statistically sound assessment of socioeconomic content, the index is consistent with rational finance theory, enabling the construction and valuation of insurance-type financial instruments to serve as contracts written against it. Endogenously, the VXO volatility measure of the stock market appears to be the greatest contributor to tail risk. Exogenously, "stress-testing" the index against the politically important factors of trade imbalance and legal immigration, quantify the systemic risk. For probability levels in the range of 5% to 10%, values of trade below these thresholds are associated with larger downward movements of the index than for immigration at the same level. The main intent of the index is to provide early-warning for negative changes in the mood of citizens, thus alerting policy makers and private agents to potential future market downturns.
---
PDF链接：
https://arxiv.org/pdf/2001.01036