In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...

This paper predicts recessions using the dispersion of deposit rates offered by banks on insured deposits. An increase in the dispersion of deposit rates can accurately predict recessions over long time horizons at the county, state, and national levels. We find that the growth of deposits,...

Theoretical research on the determinants of business-cycle fluctuations implies that the degree of international financial integration can have important implications for the propagation of, e.g., macroeconomic policy shocks in an open economy. An important assumption underlying this research is...