Risk Price Decomposition and the Output Gap

We employ a time-varying risk price model that allows us to track the change in risk prices. We find that the output gap generates the time-varying market and momentum risk prices, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is linked to time variations of value and investment risk prices. We also uncover that the output gaps strongly impact the market risk prices for European and Japanese portfolios, while there are weak relationships between the momentum risk prices and the output gaps

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Year of publication:	2022
Authors:	Sakemoto, Ryuta
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Bruttoinlandsprodukt \| Gross domestic product \| Risiko \| Risk \| Produktionspotenzial \| Potential output \| Dekompositionsverfahren \| Decomposition method

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