What are the macroeconomic forces behind the cross-sectional and time-series variation in expected excess equity returns? To answer this question, my paper integrates models of empirical asset pricing with structural vector autoregressions (VAR). I construct two orthogonalised shocks in a VAR...

Changes in monetary policy and shifts in dynamics of the macroeconomy are typically described using empirical models that only include a limited amount of information. Examples of such models include time-varying vector autoregressions that are estimated using output growth, inflation and a...

Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...