The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns
用GARCH方法为16个OECD国家的周股票指数收益估计时变两因子国际资产定价模型，发现国家股票指数对世界市场指数的暴露（beta）和风险调整超额收益（alpha）随时间变化，并用面板方法用进口、出口、通胀、市值、股息率、市净率等国家特定宏观金融变量解释这些变化，部分变量可作为世界市场风险的预测指标。
Using a GARCH approach, we estimate a time–varying two–factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time–variation in the exposure (beta) of country equity index returns to the world market index and in the risk–adjusted excess returns (alpha). We then explain these world market betas and alphas using a number of country–specific macroeconomic and financial variables with a panel approach. We find that several variables including imports, exports, inflation, market capitalisation, dividend yields and price–to–book ratios significantly affect a country’s exposure to world market risk. Similar conclusions are obtained by using lagged explanatory variables, and thus these variables may be useful as predictors of world market risks. Several variables also significantly impact the risk–adjusted excess returns over this time period. Our results are robust to a number of alternative specifications. We further discuss some economic hypotheses that may explain these relationships.