Risk price decomposition and the output gap
使用时变风险价格模型，发现产出缺口驱动市场风险和动量风险的价格变化，但对价值和投资风险的价格影响不显著。
Abstract We employ a time‐varying price of risk model that allows us to track the change in prices of risk. We find that the output gap generates the time‐varying prices of market and momentum risks, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is linked to time variations in the prices of value and investment risks. We uncover that the output gaps impact the prices of market risk for European and Japanese portfolios, while there are weak relationships between the prices of momentum risk and output gaps.