Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

2012 ◽  
Author(s):  
Valentina Corradi ◽  
Walter Distaso ◽  
Antonio Mele
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Risk ◽  
Risk Premiums ◽  
Macroeconomic Determinants

scholarly journals Stochastic Volatility in General Equilibrium

2011 ◽  
Vol 01 (04) ◽  
pp. 707-731 ◽  
Author(s):  
George Tauchen
Keyword(s):  
Stock Market ◽  
General Equilibrium ◽  
A Priori ◽  
Market Volatility ◽  
Elasticity Of Substitution ◽  
Stock Market Volatility ◽  
Volatility Risk ◽  
Risk Premiums ◽  
Volatility Asymmetry ◽  
Main Model

The connections between stock market volatility and returns are studied within the context of a general equilibrium framework. The framework rules out a priori any purely statistical relationship between volatility and returns by imposing uncorrelated innovations. The main model generates a two-factor structure for stock market volatility along with time-varying risk premiums on consumption and volatility risk. It also generates endogenously a dynamic leverage effect (volatility asymmetry), the sign of which depends upon the magnitudes of the risk aversion and the intertemporal elasticity of substitution parameters.

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