In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...

We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term...

Sovereign credit risk in developed countries was essentially non-existent prior to 2009. We find new factors suggesting that a part of the European sovereign risk premium is exogenously determined. We capture a novel phase synchronization that is associated with an increase in the cost of public...