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 language | English |
|---|---|
| Pages (from-to) | 50-77 |
| Number of pages | 28 |
| Journal | Quantitative and Qualitative Analysis in Social Sciences |
| Volume | 2 |
| Issue number | 1 |
| Publication status | Published - 2008 |