open access

https://hdl.handle.net/2115/97212

Risk price decomposition and the output gap

英語

time-varying model

2024-06-07

John Wiley & Sons

Financial Review

1-111

We employ a time-varying price of risk model that allows us to track the change in prices of risk. We find that the output gap generates the time-varying prices of market and momentum risks, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is linked to time variations in the prices of value and investment risks. We uncover that the output gaps impact the prices of market risk for European and Japanese portfolios, while there are weak relationships between the prices of momentum risk and output gaps.

学術雑誌論文

Accepted Manuscript

This is the peer reviewed version of the following article: https://onlinelibrary.wiley.com/doi/10.1111/fire.12397, which has been published in final form at https://doi.org/10.1111/fire.12397. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.

0732-8516

1540-6288