This paper uses monthly data from 1984:M10 to 2012:M8 to show that oil-sensitive stock price indices, particularly those in the energy sector, have strong power in predicting nominal and real crude oil prices at short horizons (one-month-ahead predictions), using both in- and out-of-sample...

This paper evaluates the evidence on return predictability from an economic perspective: it asks whether investors would have been able and willing to exploit dividend price signals in order to allocate capital efficiently. We use a simple model that incorporates a time varying investment...

This paper evaluates the evidence on return predictability from an economic perspective: it asks whether investors would have been able and willing to exploit dividend price signals in order to allocate capital efficiently. We use a simple model that incorporates a time varying investment...

Monetary models of exchange rates tend to focus on inflation differentials to explain exchange rate movements. This paper assesses the ability of currency flows to predict exchange rate changes. The focus is on Japan. Currency flows are assumed to depend on the level of the current account and...