How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In...

Global hyperconnectivity and increased system integration have led to vast benefits, including worldwide growth in incomes, education, innovation, and technology. But rapid globalization has also created concerns because the repercussions of local events now cascade over national borders and the...

Global hyperconnectivity and increased system integration have led to vast benefits, including worldwide growth in incomes, education, innovation, and technology. But rapid globalization has also created concerns because the repercussions of local events now cascade over national borders and the...

One of the advantages to analyze the economic links between two countries on the basis of stock market data, rather than aggregate economic data published by national statistical offices, is that stock market data are readily available, allowing analysis in almost real time. We consider a...

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading...

The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our...