Research Catalog

Title

Factors Driving Risk Premia [electronic resource] / Torsten Sløk and Mike Kennedy

Author

Sløk, Torsten.

Publication

Paris : OECD Publishing, 2004.

Details

Additional Authors

Kennedy, Mike.

Description

23 p.; 21 x 29.7cm.

Summary

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 ...

Series Statement

OECD Economics Department Working Papers, 1815-1973 ; no.385

Uniform Title

OECD Economics Department Working Papers, no.385.

Subject

Economics

LCCN

10.1787/738228687051

OCLC

oecd-lib-003762

Author

Sløk, Torsten.

Title

Factors Driving Risk Premia [electronic resource] / Torsten Sløk and Mike Kennedy

Imprint

Paris : OECD Publishing, 2004.

Series

OECD Economics Department Working Papers, 1815-1973 ; no.385

OECD Economics Department Working Papers, 1815-1973 ; no.385.

Connect to:

http://dx.doi.org/10.1787/738228687051

Indexed Term

Economics

Added Author

Kennedy, Mike.

Other Standard Identifier

10.1787/738228687051 doi