Login | Register

Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets

Title:

Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets

Vézina, Alexandre (2001) Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets. Masters thesis, Concordia University.

[thumbnail of MQ59290.pdf]
Preview
Text (application/pdf)
MQ59290.pdf
3MB

Abstract

The basic purpose of this paper is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and volatility of any of the two markets, few studies propose a model in which both markets are modeled together. Moreover, after all the research done, the reasons explaining the causes of the volatility of any of the two markets remain unclear. What we propose in this paper is a model that considers both markets' volatility simultaneously. Our model captures the change in the risk premium, if any, to each market's own volatility risk as well as to the covariance risk for specific events. More specifically, we investigate if macroeconomic news is a source of time-varying volatility as well as time-varying covariance, and whether these results in time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds, mainly exhibit a change in the risk premium on variance risk. The results suggest that most of the change is due to the PPI announcements. Our models also indicate that there is a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Finally, linear regressions show that employment reports and PPI releases are a source of time-varying conditional variance for stock, notes and bond returns.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Vézina, Alexandre
Pagination:iv, 73 leaves ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration
Date:2001
Thesis Supervisor(s):Switzer, Lorne N
Identification Number:HG 4637 V48 2001
ID Code:1364
Deposited By: Concordia University Library
Deposited On:27 Aug 2009 17:18
Last Modified:21 Oct 2022 13:01
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top