We find that the short-term deviations from long-run consumption-wealth relationship (cay) forecast stock market returns and serve as a conditioning variable in the capital asset pricing model (CAPM) for explaining the cross-section of stock returns for the United Kingdom and Japan. Our...

We construct a sticky-price open macro model in the spirit of Clarida and Gali (1994), and use it to motivate a structural VAR analysis of the real and nominal exchange rates for Mexico and Thailand in the aftermaths of their currency crises in 1994 and 1997. We identify the model¡¯s...