International Journal of Nonlinear Analysis and Applications

Econometric model for estimation of equity risk premium in Iran

Document Type : Research Paper

Authors

1 Department of Agricultural Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran

2 Human Resources, Bodily Damage Fund, Tehran, Iran

3 Human Resources, State Accounts Court, Tehran, Iran

Abstract

In this article, the relationship between risk premium spending and important financial and macroeconomic variables in Iran in the years 2013-2014 has been investigated. In this regard, standard OLS regression and the Hodrick-Prescott filter were used. The results of the research showed that there is a positive and significant relationship between the change and evolution of the money supply process and the variable of risk premium. This is while the variables of the gap between private consumption and its trend, exchange rate and stock index of the 50 largest companies in the stock market have a negative and significant effect on the amount of risk premium i.e. ERP in Iran.

Keywords

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International Journal of Nonlinear Analysis and Applications
Volume 15, Issue 3
March 2024
Pages 119-124
  • Receive Date: 15 September 2022
  • Revise Date: 22 October 2022
  • Accept Date: 06 November 2022