Factors Driving Risk Premia:
This paper assesses the extent to which the fall in risk premia of a number of financial assets, which occurred throughout 2003, was due to improvements in factors specific to individual markets at that time or to general economic fundamentals coupled with OECD-wide abundant liquidity. Regarding the...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2004
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper assesses the extent to which the fall in risk premia of a number of financial assets, which occurred throughout 2003, was due to improvements in factors specific to individual markets at that time or to general economic fundamentals coupled with OECD-wide abundant liquidity. Regarding the latter two factors, principal component analysis was used here to identify a common trend in risk premia in equity, corporate bond and emerging markets since early 1998. The analysis finds that both economic fundamentals and liquidity have played a statistically significant role in driving the common factor. It also finds that liquidity (measured as the GDP weighted average of M3 of the three major economies less its trend) performs better than similarly weighted short-term interest rates. By spring 2004, the common factor in different risk premia had fallen below what could be explained by economic fundamentals and liquidity ... |
| Beschreibung: | 1 Online-Ressource (22 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/738228687051 |
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| 520 | |a This paper assesses the extent to which the fall in risk premia of a number of financial assets, which occurred throughout 2003, was due to improvements in factors specific to individual markets at that time or to general economic fundamentals coupled with OECD-wide abundant liquidity. Regarding the latter two factors, principal component analysis was used here to identify a common trend in risk premia in equity, corporate bond and emerging markets since early 1998. The analysis finds that both economic fundamentals and liquidity have played a statistically significant role in driving the common factor. It also finds that liquidity (measured as the GDP weighted average of M3 of the three major economies less its trend) performs better than similarly weighted short-term interest rates. By spring 2004, the common factor in different risk premia had fallen below what could be explained by economic fundamentals and liquidity ... | ||
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:35:05Z |
| indexdate | 2024-12-18T19:04:09Z |
| institution | BVB |
| language | English |
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| spelling | Sløk, Torsten Verfasser aut Factors Driving Risk Premia Torsten Sløk and Mike Kennedy = Les déterminants des primes de risque / Torsten Sløk et Mike Kennedy Les déterminants des primes de risque Paris OECD Publishing 2004 1 Online-Ressource (22 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers This paper assesses the extent to which the fall in risk premia of a number of financial assets, which occurred throughout 2003, was due to improvements in factors specific to individual markets at that time or to general economic fundamentals coupled with OECD-wide abundant liquidity. Regarding the latter two factors, principal component analysis was used here to identify a common trend in risk premia in equity, corporate bond and emerging markets since early 1998. The analysis finds that both economic fundamentals and liquidity have played a statistically significant role in driving the common factor. It also finds that liquidity (measured as the GDP weighted average of M3 of the three major economies less its trend) performs better than similarly weighted short-term interest rates. By spring 2004, the common factor in different risk premia had fallen below what could be explained by economic fundamentals and liquidity ... Economics Kennedy, Mike ctb https://doi.org/10.1787/738228687051 Verlag kostenfrei Volltext |
| spellingShingle | Sløk, Torsten Factors Driving Risk Premia Economics |
| title | Factors Driving Risk Premia |
| title_alt | Les déterminants des primes de risque |
| title_auth | Factors Driving Risk Premia |
| title_exact_search | Factors Driving Risk Premia |
| title_exact_search_txtP | Factors Driving Risk Premia |
| title_full | Factors Driving Risk Premia Torsten Sløk and Mike Kennedy = Les déterminants des primes de risque / Torsten Sløk et Mike Kennedy |
| title_fullStr | Factors Driving Risk Premia Torsten Sløk and Mike Kennedy = Les déterminants des primes de risque / Torsten Sløk et Mike Kennedy |
| title_full_unstemmed | Factors Driving Risk Premia Torsten Sløk and Mike Kennedy = Les déterminants des primes de risque / Torsten Sløk et Mike Kennedy |
| title_short | Factors Driving Risk Premia |
| title_sort | factors driving risk premia |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/738228687051 |
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