Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK

This paper uses the exponential generalised heteroscedasticity model-in-mean (EGARCH- M) to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is significantly affected by the long bond yield, acting as a proxy for the underlying rate of inflation.

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Year of publication:	2007-06
Authors:	Kizys, Renatas ; Spencer, Peter
Institutions:	Department of Economics and Related Studies, University of York
Subject:	Asset pricing \| Risk premium \| Macroeconomic volatility \| Stochastic discount factor model \| Multivariate EGARCH-M model

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005523933