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...

This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models economic and financial variables jointly using both to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies...

This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the ‘square root’ specification of the mainstreamfinance literature. Empirically, this specification dominates the standard model because it is consistent with the square root...

This paper uses a macro-finance model to examine the ability of the gilt market to predict fluctuations in macroeconomic volatility. The econometric model is a development of the standard ‘square root’ volatility model, but unlike the conventional term structure speci…cation it allows for...

This paper develops a macroeconomic model of the yield curve and uses this to explain the behaviour of the US Treasury market. Unlike previous macro-finance models which assume a homoscedastic error process, I develop a general affine model which allows volatility to be conditioned by interest...