Interest rates have fallen worldwide in recent decades, a phenomenon that has been linked at least in part to a decline in the natural rate of interest, r* (a.k.a. “r-star”). To investigate this decline, we consider a multivariate trend-cycle decomposition of real interest rates using a...

This Appendix provides methodology details and additional results for The COVID-19 Pandemic, Years of Life Lost, and Life Expectancy: Decomposition Using Individual-Level Mortality Data. The data on COVID deaths underlying this Appendix is generally current through September 30, 2021. We expect...

The asset growth anomaly, an inverse relationship between security performance and asset growth rates, prevails not only in the equity market but also in the corporate bond market. This can be either interpreted as a risk and return tradeoff where bonds of higher asset growth firms are better...

We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The method utilizes the factor-mimicking portfolios in Cremers et al. (2015) to replicate the straddles that are originally used to construct these factor-mimicking portfolios. Based on...

In the last 15 years before the COVID-19 crisis, Germany has experienced a strong and continuous increase in employment - the 'German job miracle'. During this period, income inequality, which had previously increased sharply, remained relatively stable. This paper analyzes the impact of...