کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976503 933134 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric impacts of global risk appetite on the risk premium for an emerging market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Asymmetric impacts of global risk appetite on the risk premium for an emerging market
چکیده انگلیسی

This paper analyzes the impact of global risk appetite on the risk premium utilizing high-frequency data. Taking the Turkish economy as our laboratory, we find that the risk premium volatility responds only to a worsening in the risk appetite for the Turkish economy, which is a result that we do not observe for the other emerging markets. Then, we investigate the role of current account dynamics on this asymmetric effect, by focusing also on an economy with similar current account performance. The empirical results find supporting evidence for the role of current account dynamics on the estimated asymmetry.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 13, 15 May 2008, Pages 3218–3226
نویسندگان
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