Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084030 | International Review of Economics & Finance | 2010 | 12 Pages |
Abstract
Building on the stochastic discount factor model, we estimated a multivariate exponential GARCH-in-mean model to analyze the link between the business cycle and the equity risk premium in the United States. In order to measure the business cycle, we used revised and real-time monthly data on industrial production for the period from 1965 to 2008. The main result of our empirical analysis is that estimates of the equity risk premium based on real-time macroeconomic data may significantly differ from estimates of the equity risk premium based on revised macroeconomic data.
Keywords
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Renatas Kizys, Christian Pierdzioch,