We present empirical evidence on the forces driving real exchange rates in the long run. Using data from three industrialised countries, across different exchange rate regimes, we find support for the hypothesis that productivity and fiscal shocks matter. However, in some cases fiscal shocks...

Abstract This paper investigates the nature of shocks across international equity markets and evaluates the shifts in their comovements at a business-cycle frequency. Using an “identification through heteroskedasticity” methodology, we compute the impact coefficients on the common and...

Funding liquidity, i.e., the ease with which firms, investors and consumers can obtain funding, is a key property of today's monetary transmission mechanism. We investigate empirically the role played by various measures of credit availability in shaping the dynamics of asset prices and the...