We used the oil-price forecasts of the Survey of Professional Forecasters published by the European Central Bank to analyze whether oil-price forecasters herd or anti-herd. Oil-price forecasts are consistent with herding (anti-herding) of forecasters if forecasts are biased towards (away from)...

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...

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...

This paper derives in the model developed by Obstfeld and Rogoff (1995) a steady state that is stationary in the presence of monetary policy shocks. To this end, the impact of monetary policy shocks on the current account is shut off by assuming that the preferences of households exhibit a...

Exchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that...

Using survey data for the G7 countries, we report that professional economists' forecasts of changes in the unemployment rate and the growth rate of real output are consistent with Okun's law. Professional economists do not believe in potential asymmetries in Okun's law over the business cycle....

We use a real-time forecasting approach to study the predictability of excess returns on a benchmark Euro Area real-estate index. The real-time forecasting approach accounts for the fact that, in real time, an investor forecasts returns under conditions of model instability and model...

The US subprime mortgage crisis has led to increased interest in the decoupling-recoupling hypothesis, according to which the international comovement of financial markets has strengthened since the US subprime mortgage crisis has gathered steam. We study whether the decoupling-recoupling...

We analyze whether the linkages between the stock markets of the NAFTA member countries (Canada, Mexico, and the United States) reflect movements in fundamentals or speculative bubbles. To this end, we estimate a state-space model to decompose the stock market indexes of the three NAFTA member...