This paper tests the conjecture that the value premium constructed from the cross-section of stocks proxies for investment opportunities by investigating whether it helps explain the puzzling empirical risk-return tradeoff in the stock market across time. In contrast with many early authors, we...

"We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries,...

We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries,...

We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-U.S. dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market...

This paper examines linkages among major Eurocurrency interest rates during 1994-2002. Eurocurrency interest rate causal linkages are found to be much stronger with additional allowance for contemporaneous causality test results than the inference based solely on Granger causality tests. The...

In the context of a three-moment Intertemporal Capital Asset Pricing Model specification, we characterize conditional co-skewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock co-skewness (the relation between stock...

Using monthly stock and bond return data in the past 150 years (1855-2001) for both the U.S. and the U.K., this study documents time-varying stock-bond correlation over macroeconomic conditions (the business cycle, the inflation environment and monetary policy stance). There are different...

This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the U.S. asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and...