Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particu-lar, the historical predictive power of ten yield spreads, for di®erent segments of the yield curve, is tested using a probit model. The yield spread between...

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area and provides evidence of the potential usefulness of this indicator for monetary policy purposes. In particular, the historical predictive power of ten variations of yield...

Overall, the paper underlines the difficulties in spelling out the transmission and the final effects of external shocks on the euro area, and highlights the complexity of the various direct and indirect mechanisms. We describe the main channels by which potential spillovers from external...

Against the background of the rapid inter- and intra-regional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate a dynamic common factor model for output growth of 10 East Asian countries. A significant common factor is...

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a...

This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain...

We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM*, the factors are replaced by their projections on...