We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky government bonds (over a risk-free rate) on top of the systematic...

We investigate financial market integration in Europe with a panel of 16 European and 4 non- European countries over the period 1970:01-2012:10. The theoretical framework considered is an international CAPM for equity excess returns with multiple common factors - a world factor and EU and euro...

This paper examines the sources of stickiness in aggregate consumption growth. We first derive a dynamic consumption equation which encompasses many recent developments in consumption theory: habit formation, intertemporal substitution effects, consumption based on current income, and...

SUMMARY We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation, intertemporal substitution, current income consumption and non‐separabilities between private consumption and both hours...

This paper examines the sources of stickiness in aggregate consumption growth. We first derive a dynamic consumption equation which encompasses many recent developments in consumption theory: habit formation, intertemporal substitution effects, consumption based on current income, and...

The Fisher effect states that in ation expectations should be re ected in nominal interest rates in a one-for-one manner to compensate for changes in the purchasing power of money. Despite its wide acceptance in theory, much of the empirical work fails to find favorable evidence. This paper...

This paper investigates the determinants of bilateral immigrant ows to 19 OECD countries between 1998 and 2007 from both advanced and developing origin countries. We pay particular attention to dynamics by including both the lagged migrant ow and the migrant stock to capture partial adjustment...

This paper examines the impact of socioeconomic conditions on health and mortality between birth and adulthood within the Sardinian community of Alghero, based on data from civil registers and military conscription lists for the period 1866-1925. Socioeconomic status does prove to have a...