Sum, Vichet - In: International Journal of Financial Research 4 (2013) 1, pp. 1-4
financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly … from 1994:2 to 2012:5 shows that market risk premiums become negative in the first, second and third, fourth and twelfth … risk premium shock. The Granger causality test results show that financial stress Granger-causes market risk premiums to …