We study whether asymmetric macroeconomic shocks help to explain changes in the international comovement of monthly stock returns in major industrialized countries over the period 1975-2004. Based on a time-varying parameter model, we trace out how the pattern of international comovement of...

We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three...

We combined tests for speculative bubbles in stock markets with a cross-country regression framework to analyse whether economic and institutional variables can be identified that make speculative bubbles in stock markets more likely to occur. The list of variables that we found to have a...

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization ("size") and book-to-market value ("value") to output growth in the United States. We estimate a state-space model to analyze the sensitivity of portfolio betas to output growth. We measure...

Building on the stochastic discount factor model, we estimated a multivariate exponential GARCH-in-mean model to analyze the link between the business cycle and the equity risk premium in the United States. In order to measure the business cycle, we used revised and real-time monthly data on...

The US subprime mortgage crisis has led to increased interest in the decoupling-recoupling hypothesis, according to which the international comovement of financial markets has strengthened since the US subprime mortgage crisis has gathered steam. We study whether the decoupling-recoupling...

Our results shed light on the contribution of local and regional factors to the risk premium on the Greek stock index futures market. Building upon the stochastic discount factor model, we estimate a multivariate exponential GARCH-in-mean model to uncover the risk premium on the FTSE/ASE-20...

The Greek sovereign debt crisis of 2009/2010 fostered widespread fears of contagion. We analyzed the danger of contagion by studying to which extent news to speculative bubbles in the Greek equity market spread to the equity markets of Portugal, Ireland, Italy, and Spain. To this end, we...