Time-Varying Risk Premiums and the Output Gap

By Ilan Cooper, Richard Priestley. 2009

427 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d4289da78d06f7b0e094e8563b00e2a26d850508

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Citations in the corpus

Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “• Output gap, OG: deviation of the logarithm of total industrial production from a trend that includes both a linear component and a quadratic component (Cooper and Priestley, 2009).”
Asset Pricing in Production Economies with Extrapolative Expectations (2015, result): “In contrast, if the negative output gap (NGAP) of Cooper and Priestley (2009) is used as a proxy for ‘true expected growth’ in the data-generating process,16 the opposite results follows, as shown in Cooper and Priestley (2009).”
A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, neutral): “Cooper and Priestley, 2009). Including these variables also allows us to assess if macroeconomic conditions are causal (in a post hoc ergo propter hoc sense) for volatility or by contrast whether causality runs the other way as emphasized in papers such as Fornari and Mele (2010) or Chauvet, Senyuz,”
Bond Risk Premia with Machine Learning∗ (2018, neutral): “Yet, recent studies show that there is substantial information about future excess returns that is not embedded in the current yield curve (see, e.g., Cooper and Priestley, 2008, Ludvigson and Ng, 2009, Duffee, 2011b, Joslin et al., 2014, Cieslak and Povala (2015), and Gargano et al., 2017).”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, neutral): “The first of these restrictions on the joint distribution of M and bond yields is contradicted by the evidence in Cooper and Priestley (2008) and Ludvigson and Ng (2010).”
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2010, background): “Our measure of real economic activity is industrial production (see also, Stock and Watson (1989, 2003), Croushore and Stark (2003), Clements and Galvao (2008), and Aruoba, Diebold, and Scotti (2009)), and we concentrate on the monthly growth rate of the seasonally adjusted production of total indus”
Countercyclical Currency Risk Premia (2013, positive): “The industrial production index is highly correlated with the output gap used by Cooper and Priestley (2009) to predict stock returns.”