Empirical proxies of the aggregate consumption-wealth ratio in terms of a cointegrating relationship between consumption (c), asset wealth (a) and labour income (y), commonly referred to as cay-residuals, play an important role in recent empirical research in macroeconomics and finance. This...

We study the implications for optimal monetary policy of introducing habit formation in consumption into a general equilibrium model with sticky prices. Habit formation affects the model's endogenous dynamics through its effects on both aggregate demand and households' supply of output. We show...

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies mostly for the Anglo- Saxon economies have generally documented that departures of these three variables from their common trend signal...

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies mostly for the Anglo-Saxon economies have generally documented that departures of these three variables from their common trend signal...