Theoretical research on the determinants of business-cycle fluctuations implies that the degree of international financial integration can have important implications for the propagation of, e.g., macroeconomic policy shocks in an open economy. An important assumption underlying this research is...

We analyzed the links between international equity flows and speculative bubbles in the equity markets of six South-East Asian countries over the period 1991-2006. Based on a cointegration analysis, we found signi?cant equilibrium cointegration links between international equity flows and...

We study whether asymmetric macroeconomic shocks help to explain changes in the international comovement of monthly stock returns in major industrialized countries over the period 1975-2004. Based on a time-varying parameter model, we trace out how the pattern of international comovement of...

We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three...

Theoretical research on the determinants of business-cycle fluctuations implies that the degree of international financial integration can have important implications for the propagation of, e.g., macroeconomic policy shocks in an open economy. An important assumption underlying this research is...

We combined tests for speculative bubbles in stock markets with a cross-country regression framework to analyse whether economic and institutional variables can be identified that make speculative bubbles in stock markets more likely to occur. The list of variables that we found to have a...

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization ("size") and book-to-market value ("value") to output growth in the United States. We estimate a state-space model to analyze the sensitivity of portfolio betas to output growth. We measure...

Building on the stochastic discount factor model, we estimated a multivariate exponential GARCH-in-mean model to analyze the link between the business cycle and the equity risk premium in the United States. In order to measure the business cycle, we used revised and real-time monthly data on...