Assessing the relation between equity risk premium and macroeconomic volatilities in the UK

Renatas Kizys, P. Spencer

    Research output: Contribution to journalArticlepeer-review

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    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.
    Original languageEnglish
    Pages (from-to)50-77
    Number of pages28
    JournalQuantitative and Qualitative Analysis in Social Sciences
    Volume2
    Issue number1
    Publication statusPublished - 2008

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