Santa-Clara and Valkanov (2003) document that excess returns on the stock market are puzzlingly higher under Democratic presidential administrations. We examine whether differences in economic fundamentals can account for this presidential puzzle. We find that the role for fundamentals crucially...

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...

This paper develops a method for quantitatively and qualitatively assessing the adequacy of the normality assumption in regime switching models. A formal test that extends Jarque and Bera’s (1982) normality test to regime switching settings is proposed. Quasi maximum likelihood estimation of...

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....