In this paper we report estimates of the effective sterling, sterling/Deutsche mark and sterling/US dollar risk premia over a monthly 1987-2001 sample, generated using a conditional factor model for the stochastic discount factor of a representative 'worldwide' investor. The model relates this...

In this paper, inflation dynamics in the United Kingdom are re-examined. Standard specifications of traditional Phillips curves have tended to overpredict inflation in the recent low inflation, low unemployment era in the United States, the United Kingdom and the euro area. This has stimulated...

This paper examines the roles of U.S. financial innovation, financial globalization, and the savings glut hypothesis in explaining the rise in U.S. external debt, first in a portfolio balance model, and then empirically. Perhaps surprisingly, financial deepening and falling home bias in...

To understand better Canada's smooth reallocation of labor in response to the recent commodity price boom, but seemingly poor productivity performance, this paper examines job and firm dynamics in Canada relative to the United States. Overall, it finds that while Canada's labor market efficiency...

This paper studies how financial stress, defined as periods of impaired financial intermediation, is transmitted from advanced to emerging economies using a new financial stress index for emerging economies. Previous financial crises in advanced economies passed through strongly and rapidly to...

Net capital flows to Emerging Asia rebounded at a record pace following the global financial crisis, raising concerns about overheating and financial stability. This paper documents the size and composition of the most recent surge to Asian emerging markets from a historical perspective and...