We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three 'news' components: news about future inflation, news about future real interest rates, and news about future excess bond returns (term premia)....

Building on the framework from Cochrane (1992), we construct a bootstrap test for rational stock price bubbles that does not require a detailed specification of an underlying equilibrium model. The test makes use of the fact that if there are no bubbles, the variance of the price-dividend ratio...

US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...

VAR models of the kind developed by Shiller and Beltratti (1992) and Campbell and Ammer (1993) are used to analyze the Danish stock and bond markets and their comovement. In contrast to these papers, however, VAR parameter estimates are bias-adjusted and VAR generated statistics, including their...

In analyzing the relationships between expected stock and bond returns and expected inflation at short and long horizons, we measure multi-period expected returns and inflation from a vector-autoregressive (VAR) model involving only one-period variables. Thereby we circumvent the problems with...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...