Asymmetric impacts of global risk appetite on the risk premium for an emerging market

被引：4
|
作者：
Kanli, Ibrahim Burak [1 ]
机构：
[1] Cent Bank Republ Turkey, Res & Monetary Policy Dept, TR-06100 Ankara, Turkey
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 13期
关键词：
conditional heteroscedasticity models; econophysics; emerging markets; risk appetite; risk premium;
D O I：
10.1016/j.physa.2008.01.082
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. (c) 2008 Elsevier B.V. All rights reserved.
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页码：3218 / 3226
页数：9
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