This paper studies the impact of changes in the dynamics ofthe correlation coefficients between asset returns on portfolio choices. Using weekly data from February 2002 to October 2011 on four different European asset classes, we obtain three main results. Firstly, we show that the 2007-2009...

This paper investigates the impact of liquidity on emerging markets' stock prices. Particular attention is given to the estimation of Jensen's alpha and the quantity of risk. Our empirical analysis gives rise to two main issues. The first is related to the presence of an extra premium, i.e....

Konjunkturprognosen sind für die Planung von Unternehmen und des Staats eine wichtige Bezugs- und Argumentationsgrundlage. Der Artikel zeigt anhand des Beispiels der Ausrüstungsinvestitionen die Herangehensweise bei der Prognose eines Verwendungsaggregats des deutschen BIP. Die Prognose...

The US–China data suggest that (i) the real exchange rate (RER) volatility puzzle (high RER volatility relative to consumption volatility), (ii) the Backus–Smith anomaly (negative correlation between the RER and consumption differentials), (iii) the consumption correlation puzzle (relatively...

The equity risk premium (ERP) in BRIC markets is, on average, significantly higher than that in the US market. This paper employs an endowment economy with recursive preferences and long-run risk to explain the ERP generated by a portfolio of BRIC equity indices. The combination of recursive...

This paper investigates the "education-total factor productivity trade-off" in explaining per worker income differences between Sub-Saharan (unlucky) and G7 (lucky) economies. Following Hall and Jones (1999) and Caselli (2005), on a country basis, we are able to study separately the dynamic of...

A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility...

This paper investigates the \education-total factor productivity trade-o " in explaining per worker income dierences between Sub-Saharan (unlucky) and G7 (lucky) economies. Following Hall and Jones (1999) and Caselli (2005), on a country basis, I am able to study separately the dynamic of the...

I study predictability and financial integration for the excess returns on ten emerging and U.S. industrial stock markets. Firstly, I examine one-factor and multi-factor linear models in a static context. I focus on the explanatory power of some common, macro, and artificial global risk factors....