This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a result of (1) signing of the Plaza Accord and (2) introduction of the Euro. We study the deviations of Canadian Dollar/US Dollar, Japanese Yen/US Dollar and US Dollar/British...

This paper offers an empirical explanation behind the dynamics of the overall volatility of exchange rates and its high-frequency, most economically destabilizing components. Spectral methodology is employed to isolate the portion of volatility attributable to high-frequency components, and...

Jensen, Johnson, and Mercer (1997) demonstrate that ME and BE/ME do not significantly explain the cross-section of stock returns during periods of contractionary monetary policy. In this study we use a dataset of stocks screened in the manner of a Fama and French 1992. We use a simple AR(1)...

Asness et al. (2018) demonstrate the reemergence of the size premium (SMB) once one controls for firm quality within time series regressions. We demonstrate that the size premium disappears during periods of monetary tightening and is present during periods of monetary expansion; whether or not...