We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large-scale models and the implicit loss of information of...

Agency theory suggests the use relative performance evaluation (RPE) to filter out systematic risks from a noisy performance measure. The presence of exposure risk, i.e. if the exposure to the systematic risks moves over time, however precludes complete filtering. In the present study I first...

Bayesian experts with a common prior that are exposed to different types of evidence possibly make contradicting probabilistic forecasts. A policy maker who receives the forecasts must aggregate them in the best way possible. This is a challenge whenever the policy maker is not familiar with the...

This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on stocks documented by Ang et al. (2006) for the fifteen-year period from 1986 to 2000 have disappeared in the following fifteen-year period. Aggregate volatility betas in the...

This paper investigates the microeconomic origins of aggregate economic fluctuations inEurope. It examines the relevance of idiosyncratic shocks at the top 100 large firms (thegranular shocks) in explaining aggregate macroeconomic fluctuations. The paper alsoassesses the strength of spillovers...

This paper develops a general theory of aggregation in inefficient economies. We provide non-parametric formulas for aggregating microeconomic shocks in economies with distortions such as taxes, markups, frictions to resource reallocation, financial frictions, and nominal rigidities. We allow...

This study investigates the effect of SEC Rule 10b-18 on long-run aggregate payout ratios and the information content hypothesis. Prior to 1984, long-run aggregate payout ratios are mean reverting and signal higher future earnings growth. The subsequent significant rise in repurchase activity in...

When is the weighted sum of quasi-concave functions quasi-concave? We answer this, extending an analogous preservation of the single-crossing property in QS: Quah and Strulovici (2012). Our approach develops a general preservation of n-crossing properties, applying the variation diminishing...

The paper investigates the properties of a portfolio composed of a large number of assets driven by a strong multivariate GARCH(1,1) process with heterogeneous parameters. The aggregate return is shown to be a weak GARCH process with a (possibly large) number of lags, which reflect the moments...

This paper studies the implications of heterogeneous capital gain expectations on output andasset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...