The current environment is characterized by low real rates and by policy rates close to or at their effective lower bound in all major financial areas. We analyze these unusual economic conditions from a secular perspective using data on aggregate consumption, wealth and asset returns. Our...

This paper proposes to measure and to evaluate gender gaps and gender inequalities by means of the decomposition of an inequality measure. A three-terms decomposition of the Gini index is applied, thus allowing to take into account also the role of overlapping between female and male...

I find that corporate European leverage variation between 2007 and 2015 is largely driven by firm and industry characteristics. Conventional, time-varying firm characteristics explain as much leverage variation as country and industry fixed effects combined. Cross-sectional leverage disparities...

We decompose the momentum profits based on total stock returns into three components: a long-term average alpha component that reverses, a stock beta component that accounts for the dynamic market exposure (and momentum crash risk), and a residual return component that drives the momentum effect...

As emerging market investments represent a growing proportion of global portfolios, the effective management of emerging market currency risk becomes more important. Many investors apply some form of currency hedging to manage the foreign exchange exposure inherent in international investments....

From the introduction of the euro up to the 2008 global financial crisis, macroeconomic imbalances widened among Member States. This divergence took the form of strong differences in the dynamics of unit labour costs. This paper asks why this happened. Is it the result of distortionary public...

This paper describes the application of a semiparametric approach, known as a varying coefficients model (Hastie and Tibshirani 1993), to implement a Oaxaca-Blinder type of decomposition in the presence of self-selection into treatment groups for a continuum of comparison groups. The flexibility...

Since momentum arbitrage activity, buying winners and selling losers, effectively enlarges the return spread between these two groups, I find that the momentum spread (the difference of the formation-period recent 6-month returns between winners and losers) negatively predicts future momentum...

High dimensional composite index makes experts' preferences in set-ting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...

In this paper a number of meaningful and empirically implementable decompositions of the cost variation (in difference and ratio form) are developed. The components distinguished are price level change, technical efficiency change, allocative efficiency change, technological change, scale of...