Assessing the relation between equity risk premium and macroeconomic volatilities in the UK
Assessing the relation between equity risk premium and macroeconomic volatilities in the UK
This paper uses the exponential GARCH-in-mean model 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.
50-77
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Spencer, P.
14f405d2-93b8-4899-985c-3b755b78ff4a
2008
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Spencer, P.
14f405d2-93b8-4899-985c-3b755b78ff4a
Kizys, Renatas and Spencer, P.
(2008)
Assessing the relation between equity risk premium and macroeconomic volatilities in the UK.
Quantitative and Qualitative Analysis in Social Sciences, 2 (1), .
Abstract
This paper uses the exponential GARCH-in-mean model 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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Assessing the relation between equity risk premium and macroeconomic volatilities in the UK
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Published date: 2008
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Local EPrints ID: 434399
URI: http://eprints.soton.ac.uk/id/eprint/434399
ISSN: 1752-8925
PURE UUID: 84e0f508-7a0a-4d5e-a2f8-43b9cf9dbaad
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Date deposited: 23 Sep 2019 16:30
Last modified: 16 Mar 2024 04:41
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P. Spencer
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