Research Papers:

Other Related Economics Papers


International Markets

A Century of Global Stock Markets
Goetzmann, W.N. & P. Jorion (1996)

Quarterly Report on Financial Markets   Acrobat Required
Monetary Authority of Singapore (May 2001)

The Long-Run Behavior of Commodity Prices - Small Trends and Big Variability
Cashin, P. & C.J. McDermott (2001)

International Capital Markets
IMF (2001)

The Overnight Interbank Market: Evidence from the G-7 and the Euro Zone
Prati, A., L. Bartolini & G. Bertola (2001)

Developments in international financial markets   Acrobat Required
Duisenberg, W. (2001)

Global Restructuring: Lessons, Myths, and Challenges   Acrobat Required
Roach, S. (Nov 2001)

Long-Term Global Market Correlations
Goetzmann, W.N. Li L.F. & K.G. Rouwenhorst (2001)

Who gains when global coffee prices collapse?
Kaplinsky, R. (2002)

Abstract: There is as much variety in coffee as there is in wine as consumers are now well aware. Final product markets are beginning to segment and prices spreads are increasing. But who is gaining from the differentiating market - the roasters and retailers in rich countries, the global coffee trading companies or the developing country producers? What can be done to increase the share of these relatively price inelastic product niches for poor producers?

On the Use of Numeraires in Option pricing   Acrobat Required
Benninga, S., T. Björk & Z. Wiener (2002)

Foreign Currency for Long-Term Investors
Campbell, J.Y., L.M. Viceira & J.S. White (2002)

Reviving the Case for GDP-Indexed Bonds
Borensztein, E.R. & P. Mauro (2002)

Islamic Financial Institutions and Products in the Global Financial System: Key Issues in Risk Management and Challenges Ahead
Sundarajan, V. & L. Errico (2002)

Empirical Studies of Financial Innovation: Lots of Talk, Little Action?   REVIEW PAPER
Frame, S. & L. White (2003)

World Markets for Raising New Capital
Henderson, B.J., N. Jegadeesh & M.S. Weisbach (2004)

Identifying the Role of Moral Hazard in International Financial Markets   Wiley Interscience Required
Kamin, S.B. (2004)

Volatility Forecasting
Andersen, T.G., T. Bollerslev, P.F. Chirstoffersen & F.X. Diebold (2005)

World Finance and the US 'New Economy': Risk Sharing and Risk Exposure
Marcus H. Miller & Lei Zhang (2005)

Shell Global Scenarios to 2025
Royal Dutch Shell/IIE (2005)

Abstract: Two crises, 9/11 and Enron, have unfolded since 2001 that highlight crucial issues around national security and trust in the marketplace. Both are examples of vulnerability in our globalized world. Western societies now look to the “State”, more than in recent decades, to lead the restoration of physical security and market integrity. This brings into sharper focus the power of the State to regulate and to coerce, in a role involving both direct intervention to fight terrorism and police the market, and a more general emphasis on transparency disclosure and good governance. The new Global Scenarios explore how the forces of market incentives, community, and coercion and regulation by the State interact and impact policy and business decision-making. Three possible scenarios are identified and examined in the Shell Global Scenarios to 2025. All three scenarios see continuing globalization in the simplistic sense of the word: continuing economic growth and an increasing movement of people and ideas across the globe. Energy companies, more than most businesses, need to take a long-term view. Shell has been producing Global Scenarios for more than thirty years and now for the first time they are available to the public. These scenarios are different from forecasts in that they provide a tool that helps to explore the many complex business environments in which we work and the factors that drive changes and developments in those environments.

On the presence and market-structure of exchanges around the world   ScienceDirect Required
Clayton, M.J., B.N. Jorgensen & K.A. Kavajecz (2006)

Offshore Financial Centers: Parasites or Symbionts? | Published   Wiley Interscience Required
Rose, A.K. & M. Spiegel (2006/07)

The Performance of International Equity Portfolios
Thomas, C.P., F.E. Warnock & J. Wongswan (2006)

International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility   Acrobat Required
Flavin, T. & E. Panopoulou (2006)

Globalization and portfolio risk over time: The role of exchange rate   ScienceDirect Required
Fooladi, I.J. & J. Rumsey (2006)

Currency Risk Premia in Global Stock Markets
Roache, S.K. & M.D. Merritt (2006)

World markets for raising new capital   ScienceDirect Required
Henderson, B.J., N. Jegadeesh & M.S. Weisbach (2006)

Money Market Integration
Bartolini, L., S. Hilton & A. Prati (2006)

Foreign Participation in Local Currency Bond Markets
Burger, J.D. & F.E. Warnock (2006)

Local Currency Bond Markets | Published
Burger, J.D. & F.E. Warnock (2006)

Volatility in International Financial Market Issuance: The Role of the Financial Center
Cipriani, M. & G.L. Kaminsky (2006)

Price Discovery in the Foreign Currency Futures and Spot Market
Rosenberg, J.V. & L.G. Traub (2006)

The foreign exchange rate rate exposure of nations   Acrobat Required
Entorf, H., J. Moeber & K. Sonderhof (2007)

International financial integration through equity markets: which firms from which countries go global
Schmukler, S.L. & S. Claessens (2007)

International portfolio diversification benefits: Cross-country evidence from a local perspective   ScienceDirect Required
Driessen, J. &l L. Laeven (2007)

Stock market development under globalization: Whither the gains from reforms?   ScienceDirect Required
de la Torre, A., J.C. Gozzi & S.L. Schmukler (2007)

Global Currency Hedging
Campbell, J.Y., K. Serfaty-de Medeiros & L.M. Viceira (2007)

Pooling Risk Among Countries
Imbs, J. & P. Mauro (2007)

Global Capital Markets in the Long Run: A Review of Maurice Obstfeld and Alan Taylor's Global Capital Markets   Ingenta Select Required
Williamson, Jeffrey G. (2007)

Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, J. (2007)

What do bond holdings reveal about international funds' preferences?   ScienceDirect Required
Xiao, Y. (2007)

Exchange Options   Acrobat Required
Jamshidian, F. (2007)

The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality
Erbas, S.N. & A. Mirakhor (2007)

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
Diebold, F.X., C. Li & V.Z. Yue (2007)

Rothschild–Stiglitz's definition of increasing risk and the relationship between volatility and risk premium   ScienceDirect Required
Kanniainen, J. (2007)

Examining the bond premium puzzle with a DSGE model   Acrobat Required
Rudebusch, G.D. & E.T. Swanson (2007)

‘Chimerica’ and the Global Asset Market Boom   Wiley Interscience Required
Ferguson, N. & M. Schularick (2007)

International asset market, nonconvergence, and endogenous fluctuations   ScienceDirect Required
Kikuchi, T. (2008)

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets | Published   Wiley Interscience Required
Diebold, F.X. & K. Yilmaz (2008)

Home Bias at the Fund Level
Hau, H. & H. Rey (2008)

Understanding international portfolio diversification and turnover rates   ScienceDirect Required
Amadi, A.A. & P.R. Bergin (2008)

A Black Swan in the Money Market
Taylor, J.B. & J.C. Williams (2008)

Volume and skewness in international equity markets   ScienceDirect Required
Hutson, E., C. Kearney & M. Lynch (2008)

What lies beneath: Foreign exchange rate exposure, hedging and cash flows   ScienceDirect Required
Bartram, S.M. (2008)

Why Do Foreign Firms Leave U.S. Equity Markets? An Analysis of Deregistrations Under SEC Exchange Act Rule 12h-6
Doidge, C., G.A. Karolyi & R.M. Stulz (2008)

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers
Pojarliev, M. & R.M. Levich (2008)

New Shocks, Exchange Rates and Equity Prices
Matsumoto, A., P. Cova, M. Pisani & A. Rebucci (2008)

Changes in the international comovement of stock returns and asymmetric macroeconomic shocks   ScienceDirect Required
Kizys, R. & C. Pierdzioch (2008)

Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence   ScienceDirect Required
Rapach, D.E. & M.E. Wohar (2009)

International Currency Portfolios | Published   ScienceDirect Required
Kumhof, M. (2009/18)

Opening a stock exchange   ScienceDirect Required
Minier, J. (2009)

International stock markets interactions and conditional correlations   ScienceDirect Required
Savva, C.S. (2009)

The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?
Roache, S.K. & M. Rossi (2009)

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
Nowak, S., J.R. Andritzky, A. Jobst & N.T. Tamirisa (2009)

The Exchange Rate Effect of Multi-Currency Risk Arbitrage
Hau, H. (2009)

Counterparty Risk, Impact on Collateral Flows and Role for Central Counterparties
Singh, M. & J. Aitken (2009)

Global private information in international equity markets   ScienceDirect Required
Albuquerque, R., G.H. Bauer & M. Schneider (2009)

Explaining international stock correlations with CPI fluctuations and market volatility   ScienceDirect Required
Cai, Y., R.Y. Chou & D. Li (2009)

Is international diversification really beneficial?   ScienceDirect Required
You, L. & R.T. Daigler (2009)

International diversification strategies: Revisited from the risk perspective   ScienceDirect Required
Bai, Y. & C.J. Green (2009)

International equity flows and country funds   ScienceDirect Required
Tsai, P-J. (2009)

Foreign Bank Entry and Credit Allocation in Emerging Markets
Degryse, H., O. Havrylchyk, E.M. Jurzyk & S. Kozak (2009)

Exchange Rates and Stock Prices in the Long Run and Short Run   Acrobat Required
Morley, B. (2009)

Costly Portfolio Adjustment   Acrobat Required
Bonaparte, Y. & R. Cooper (2009)

Inflation risk and international asset returns   ScienceDirect Required
Moerman, G.A. & M.A. van Dijk (2010)

Mean–variance convergence around the world   ScienceDirect Required
Eun, C.S. & J. Lee (2010)

The Predictive Content of Commodity Futures
Chinn, M.D. & O. Coibion (2010)

Robust International Portfolio Management   Acrobat Required
Fonseca, R.J., W. Wiesemann & B. Rustem (2010)

Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets   Acrobat Required
Wdowinski, P. & M. Malecka (2010)

World market risk, country-specific risk and expected returns in international stock markets   ScienceDirect Required
Bali, T.G. & N. Cakici (2010)

Foreign Bond Markets and Financial Market Development: International Perspectives
Batten, J.A., W.P. Hogan & P.G. Szilagyi (2010)

Rationalizing Trading Frequency and Returns
Bonaparte, Y. & R. Cooper (2010)

Dependence structure between the equity market and the foreign exchange market–A copula approach   ScienceDirect Required
Ning, C. (2010)

Currency Hedging for International Portfolios
Schmittmann, J.M. (2010)

Evolution of earnings-to-price ratios: International evidence   ScienceDirect Required
Eun, C.S. & J. Lee (2010)

The use of technical analysis by fund managers: International evidence   ScienceDirect Required
Menkhoff, L. (2010)

International equity portfolio allocations and transaction costs   ScienceDirect Required
Thapa, C. & S.S. Poshakwale (2010)

World Markets for Mergers and Acquisitions   Acrobat Required
Erel, I., R.C. Liao & M.S. Weisbach (2010)

The role of exchange rates in intertemporal risk–return relations   ScienceDirect Required
Bali, T.G. & L. Wu (2010)

U.S. Monetary Shocks and Global Stock Prices
Laeven, L. & H. Tong (2010)

Additions to Market Indices and the Comovement of Stock Returns Around the World
Claessens, S. & Y. Yafeh (2011)

Commodity Prices and Markets
Ito, T. (editor) (2011)

Financial Cycles: What? How? When?
Claessens, S., M.A. Kose & M. Terrones (2011)

Information asymmetries and institutional investor mandates
Didier, T. (2011)

International diversification with frontier markets   ScienceDirect Required
Berger, D., K. Pukthuanthong & J.J. Yang (2011)

Oil Shocks in a Global Perspective: Are they Really that Bad?
Rasmussen, T.N. & A. Roitman (2011)

Institutional Cash Pools and the Triffin Dilemma of the U.S. Banking System
Pozsar, Z. (2011)

Joint dynamics of foreign exchange and stock markets in emerging Europe   ScienceDirect Required
Ülkü, N. & E. Demirci (2011)

Is momentum really momentum?   ScienceDirect Required
Novy-Marx, R. (2012)

Explaining foreign bank entrance in emerging markets   ScienceDirect Required
Althammer, W. & R. Haselmann (2011)

International Diversification During the Financial Crisis: A Blessing for Equity Investors?   Acrobat Required
Vermeulen, R. (2011)

Mean reversion in international stock markets: An empirical analysis of the 20th century   ScienceDirect Required
Spierdijk, L., J.A. Bikker & P. van den Hoek (2012)

How Firms Use Domestic and International Corporate Bond Markets
Gozzi, J.C., R. Levine, M.S> Martinez Peria & S.L. Schmukler (2012)

Competing on Speed
Pagnotta, E. & T. Philippon (2012)

Semi-transparency, dealership market, and foreign exchange market quality   ScienceDirect Required
Ding, L., H. Zou & V. Addona (2012)

A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns   ScienceDirect Required
Kamstra, M.J., L.A. Kramer & M.D. Levi (2012)

Can Rare Events Explain the Equity Premium Puzzle?
Ghosh, A. & C. Julliard (2012)

The week-of-the-year effect: Evidence from around the globe   ScienceDirect Required
Levy, T. & J. Yagil (2012)

Diversification evidence from international equity markets using extreme values and stochastic copulas   ScienceDirect Required
Bhatti, M.I. & C.C. Nguyen (2012)

Understanding commonality in liquidity around the world   ScienceDirect Required
Karolyi, G.A., K-H. Lee & M.A. van Dijk (2012)

Estimation of an agent-based model of investor sentiment formation in financial markets   ScienceDirect Required
Lux, T. (2012)

Size, value, and momentum in international stock returns   ScienceDirect Required
Fama, E.F. & K.R. French (2012)

Recent trends in relative performance of global equity markets   ScienceDirect Required
Galagedera, D.U.A. (2012)

The Differential Effects of Oil Demand and Supply Shocks on the Global Economy
Cashin, P., K. Mohaddes & M. Raissi (2012)

Securitization   REVIEW PAPER
Gorton, G. & A. Metrick (2012)

The Golden Dilemma
Erb, C.B. & C.R. Harvey (2013)

International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective   ScienceDirect Required
Jiang, C., Y Ma & Y. An (2013)

Long-Term Return Reversal: Evidence from International Market Indices   ScienceDirect Required
Malin, M. & G. Bornholt (2013)

Stock and Foreign Exchange Market Linkages in Emerging Economies   Acrobat Required
Andreou, E., M. Matsi & A. Savvides (2013)

A Revisit to the Dependence Structure between the Stock and Foreign Exchange Markets: A Dependence-Switching Copula Approach   ScienceDirect Required
Wang, Y-C., J-L. Wu & Y-H. Lai (2013)

The Volatility Effect in Emerging Markets   ScienceDirect Required
Blitz, D., J. Pang & P. van Vliet (2013)

The asset growth effect: Insights from international equity markets   ScienceDirect Required
Watanabe, A., Y. Xu, T. Yao & T. Yu (2013)

High-Frequency Trading   ScienceDirect Required   SURVEY PAPER
Chordia, T., A. Goyal, B.N. Lehmann & G. Saar (2013)

Financial markets forecasts revisited: Are they rational, stubborn or jumpy?   ScienceDirect Required
Fujiwara, I., H. Ichiue, Y. Nakazono & Y. Shigemi (2013)

Empirical properties of the foreign exchange interdealer market   Acrobat Required
Lallouache, M. & F. Abergel (2013)

Carry
Koijen, R.S.J., T.J. Moskowitz, L.H. Pedersen & E.B. Vrugt (2013)

When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices?   ScienceDirect Required
Yamadaa, H. & G. Yoon (2013)

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets   ScienceDirect Required
Filimonova, V., D. Bicchetti, N. Maystre, & D. Sornette (2013)

The diversity of high-frequency traders   ScienceDirect Required
Hagströmer, B. & L. Nordén (2013)

Implications of Domestic Price Insulation for Global Food Price Behavior   ScienceDirect Required
Ivanic, M. & W. Martin (2013)

Variable Long-Term Trends in Mineral Prices: The Ongoing Tug-of-War between Exploration, Depletion, and Technological Change   ScienceDirect Required
Cuddington, J.T. & G. Nülle (2013)

Currency Devaluation and Stock Market Response: An Empirical Analysis   ScienceDirect Required
Patro, D.K., J.K. Wald & Y. Wu (2013)

A spatial analysis of international stock market linkages   ScienceDirect Required
Asgharian, H., W. Hess & L. Liu (2013)

Does high frequency trading affect technical analysis and market efficiency? And if so, how?   ScienceDirect Required
Manahov, V., R. Hudson & B. Gebka (2013)

High Frequency Trading and Price Discovery
Brogaard, J., T. Hendershott & R. Riordan (2014)

Asset liquidity and international portfolio choice   ScienceDirect Required
Geromichalos, A. & I. Simonovska (2014)

Momentum in global equity markets in times of troubles: Does the economic state matter?   ScienceDirect Required
Grobys, K. (2014)

Understanding international commodity price fluctuations   ScienceDirect Required
Arezki, R., P. Loungani, R. van der Ploeg & A.J. Venables (2014)

Risk premia in crude oil futures prices   ScienceDirect Required
Hamilton, J.D. & J.C. Wu (2014)

Quantifying the speculative component in the real price of oil: The role of global oil inventories   ScienceDirect Required
Kilian, L. & T.K. Lee (2014)

Effects of speculation and interest rates in a "carry trade" model of commodity prices   ScienceDirect Required
Frankel, J.A. (2014)

Demand effects and speculation in oil markets: Theory and evidence   ScienceDirect Required
Dvir, E. & K. Rogoff (2014)

Rating Agencies   Acrobat Required
Cooley, T. & H. Cole (2014)

Agriculture in the Global Economy
Alston, J.M. & P.G. Pardey (2014)

Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?   ScienceDirect Required
Breloer, B., H. Scholz & M. Wilkens (2014)

Uncovered Equity Parity and Rebalancing in International Portfolios | Published   ScienceDirect Required
Curcuru, S.E., C.P. Thomas, F.E. Warnock & J. Wongswan (2014)

Can Institutions and Macroeconomic Factors Predict Stock Returns in Emerging Markets?   ScienceDirect Required
Narayan, P.K., S. Narayan & K. Thuraisamy (2014)

Is the Investment Factor a Proxy for Time-Varying Investment Opportunities? The U.S. and International Evidence   ScienceDirect Required
Huang, L. & Z. Wang (2014)

Cross-market index with Factor-DCC   ScienceDirect Required
Aboura, S. & J. Chevallier (2014)

Capital Market Financing, Firm Growth, Firm Size Distribution
Didier, T., R. Levine & S.L. Schmukler (2014)

Degreasing the Wheels of Finance   Wiley Interscience Required
Berentsen, A., S. Huber & A. Marchesiani (2014)

Stocks for the long run? Evidence from emerging markets   ScienceDirect Required
Spierdijk, L. & Z. Umar (2014)

Does PIN affect equity prices around the world?   ScienceDirect Required
Lai, S., L. Ng & B. Zhang (2014)

Does global liquidity drive commodity prices?   ScienceDirect Required
Beckmann, J., A. Belke & R. Czudaj (2014)

No Price Like Home: Global House Prices, 1870-2012 | Published
Knoll, K., M. Schularick & T.M. Steger (2014/17)

Prices, debt and market structure in an agent-based model of the financial market   ScienceDirect Required
Fischer, T. & J. Riedler (2014)

Economic Relevance of Hidden Factors in International Bond Risk Premia   Acrobat Required
Tiozzo Pezzoli, L. (2014)

The Term Structures of Co-entropy in International Financial Markets   Acrobat Required
Chabi-Yo, F. & R. Colacito (2014)

Why do term structures in different currencies co-move?   ScienceDirect Required
Jotikasthira, C., A. Le & C. Lundblad (2014)

The Risky Capital of Emerging Markets
David, J.M., E. Henriksen & I. Simonovska (2014)

Trading on Sunspots
Jovanovic, B. & V. Tsyrennikov (2014)

Financial crises and the global value premium: Revisiting Fama and French   ScienceDirect Required
Yamani, E.A. & P.E. Swanson (2014)

Long-run Bulls and Bears | Published   ScienceDirect Required
Albuquerque, R., M. Eichenbaum, D. Papanikolaou & S. Rebelo (2015)

Credit Default Swaps: Has the GFC Influenced Perceptions of their Utility for Banks?   Wiley Interscience Required   SURVEY PAPER
Dias, R. (2015)

The role of inventories and speculative trading in the global market for crude oil   Wiley Interscience Required
Kilian, L. & D.P. Murphy (2015)

Foreign currency borrowing and knowledge about exchange rate risk   ScienceDirect Required
Beckmann, E. & H. Stix (2015)

Price discovery on Bitcoin exchanges   ScienceDirect Required
Brandvold, M., P. Molnar, K. Vagstad & O.C.A. Valstad (2015)

Trends and convergence in global housing markets   ScienceDirect Required
Yunus, N. (2015)

Quantifying Confidence   Recommended!
Angeletos, G-M., F. Collard & H. Dellas (2015)

Abstract: We enrich workhorse macroeconomic models with a mechanism that proxies strategic uncertainty and that manifests itself as waves of optimism and pessimism about the short-term economic outlook. We interpret this mechanism as variation in "confidence" and show that it helps account for many salient features of the data; it drives a significant fraction of the volatility in estimated models that allow for multiple structural shocks; it captures a type of fluctuations in "aggregate demand" that does not rest on nominal rigidities; and it calls into question existing interpretations of the observed recessions. We complement these findings with evidence that most of the business cycle in the data is captured by an empirical factor which is unlike certain structural forces that are popular in the literature but similar to the one we formalize here.

(How) has the market become more efficient?   ScienceDirect Required
Bertone, S., I. Paeglis & R. Ravi (2015)

Gold Returns   Wiley Interscience Required
Barro, R.J. & S. Misra (2015)

High frequency market microstructure   ScienceDirect Required
O'Hara, M. (2015)

Time-varying international stock market interaction and the identification of volatility signals   ScienceDirect Required
Strohsal, T. & E. Weber (2015)

What explains the dynamics of 100 anomalies?   ScienceDirect Required
Jacobs, H. (2015)

The long and the short of the risk-return trade-off   ScienceDirect Required
Bonomo, M., R. Garcia, N. Meddahi & R. Tedongap (2015)

Uncertainty and International Banking   Acrobat Required
Tonzer, L., C.M. Buch & M. Buchholz (2015)

What moves international stock and bond markets? | Published   Acrobat Required   ScienceDirect Required
Cenedese, G. & E. Mallucci (2015)

The illiquidity premium: International evidence   ScienceDirect Required
Amihud, Y., A. Hameed, W. Kang & H. Zhang (2015)

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility   MIT Press Subscription Required
Patton, A.J. & K. Sheppard (2015)

The Predictive Power of the Yield Curve Across Countries and Time   Wiley Interscience Required
Chinn, M. & K. Kucko (2015)

Keeping up with the Joneses and optimal diversification   ScienceDirect Required
Levy, M. & H. Levy (2015)

Should you globally diversify or let the globally diversified firm do it for you?   ScienceDirect Required
Farooqi, J., D. Huerta & T. Ngo (2015)

Capital Market Financing, Firm Growth, and Firm Size Distribution
Didier, T., R. Levine & S.L. Schmukler (2015)

Analyzing Food Price Trends in the Context of Engel's Law and the Prebisch-Singer Hypothesis
Baffes, J. & X.L. Etienne (2015)

Sources of Volatility during Four Oil Price Crashes
Baffes, J. & V. Kshirsagar (2015)

Trends and cycles in historical gold and silver prices   ScienceDirect Required
Gil-Alana, L.A., G.C. Aye & R. Gupta (2015)

World Asset Markets and the Global Financial Cycle
Miranda-Agrippino, S. & H. Rey (2015)

Global Liquidity and Commodity Prices   Wiley Interscience Required
Kang, H., B-K. Yu & J. Yu (2015)

Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?
Beckers, B. & S. Beidas-Strom (2015)

The U.S. Oil Supply Revolution and the Global Economy
Mohaddes, K. & M. Raissi (2015)

An Equilibrium Model of Institutional Demand and Asset Prices
Koijen, R.S.J. & M. Yogo (2015)

The dynamic relationship between stock, bond and foreign exchange markets   ScienceDirect Required
Kal, S.H., F. Arslaner & N. Arslaner (2015)

Trades in commodities, financial assets, and currencies: A triangle of arbitrage, hedging and speculative designs   ScienceDirect Required
Ghosh, D.K., A. Arize & D. Ghosh (2015)

Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis   ScienceDirect Required
Do, H.X., R. Brooks & S. Treepongkaruna (2015)

Volatility spillovers between oil prices and the stock market under structural breaks   ScienceDirect Required
Ewing, B.T. & F. Malik (2016)

US term structure and international stock market volatility: The role of the expectations factor and the maturity premium   ScienceDirect Required
Li, M.C. (2016)

Post-crisis International Banking: An Analysis with New Regulatory Survey Data
Ichiue, H. & F. Lambert (2016)

Understanding the Decline in the Safe Real Interest Rate
Hall, R.E. (2016)

Intermediary Asset Pricing: New Evidence from Many Asset Classes
He, Z., B. Kelly & A. Manela (2016)

Indexing and active fund management: International evidence   ScienceDirect Required
Cremers, M., M.A. Ferreira, P. Matos & L. Starks (2016)

Can hedge funds time global equity markets? Evidence from emerging markets   ScienceDirect Required
Aiken, A.L., O. Kilic & S. Reid (2016)

Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample   ScienceDirect Required
Apergis, N. & S. Eleftheriou (2016)

Has the pricing of stocks become more global?
Petzev, I., A. Schrimpf & A.F. Wagner (2016)

On time-varying predictability of emerging stock market returns   ScienceDirect Required
Auer, B.R. (2016)

Linkages in the term structure of interest rates across sovereign bond markets   ScienceDirect Required
Sowmya, S., K. Prasanna & S. Bhaduri (2016)

Itchy feet vs cool heads: Flow of funds in an agent-based financial market   ScienceDirect Required
Palczewski, J., K.R. Schenk-Hoppé & T, Wang (2017)

The Holders and Issuers of International Portfolio Securities
Galstyan, V., P.R. Lane, C. Mehigan & R. Mercado (2016)

Equity is Cheap for Large Financial Institutions: The International Evidence   Acrobat Required
Gandhi, P., H.N. Lustig & A. Plazzi (2016)

The Holders and Issuers of International Portfolio Securities   Acrobat Required
Galstyan, V., P.R. Lane, C. Mehigan & R. Mercado (2016)

The Elusive Predictive Ability of Global Inflation?   Wiley Interscience Required
Medel, C.A., M. Pedersen & P.M. Pincheira (2016)

Global price of risk and stabilization policies
Adrian, T., D. Stackman & E. Vogt (2016)

Spatial Dependence and Data-Driven Networks of International Banks
Craig, B. & M. Saldías (2016)

Non-renewable resources in the long run   ScienceDirect Required
Hart, R. (2016)

U.S. Monetary Policy Normalization and Global Interest Rates
Caceres, C., Y. Carriere-Swallow, I. Demir & B. Gruss (2016)

House Valuations and Economic Growth: Some International Evidence
Aizenman, J., Y. Jinjarak & H. Zheng (2016)

An Index of Global Economic Policy Uncertainty
Davis, S.J. (2016)

Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day   ScienceDirect Required
Harvey, D.I., N.M. Kellard, J.B. Madsen & M.E. Wohar (2016)

Heterogeneity in decentralized asset markets   Acrobat Required
Weill, P-O., B. Lester & J. Hugonnier (2016)

The fossil episode   ScienceDirect Required
Hassler, J. & H-W. Sinn (2016)

Oil Prices and the Global Economy: Is It Different This Time Around?
Mohaddes, K. & M. Hashem Pesaran (2016)

Commodities momentum: A behavioral perspective   ScienceDirect Required
Bianchi, R.J., M.E. Drew & J.H. Fan (2016)

Do exchange rate changes have symmetric or asymmetric effects on stock prices?   ScienceDirect Required
Bahmani-Oskooee, M. & S. Saha (2016)

Should we be afraid of the dark? Dark trading and market quality   ScienceDirect Required
Foley, S. & T.J. Putnis (2016)

Decomposing Global Yield Curve Co-Movement
Byrne, J.P.; S. Cao & D. Korobilis (2016)

Portfolio concentration and performance of institutional investors worldwide   ScienceDirect Required
Choi, N., M. Fedenia, H. Skiba & T. Sokolyk (2016)

Oil Prices and the Global Economy
Matsumoto, A., A. Nurbekyan, D. Laxton, H. Wang, J. Yao, R. Arezki &anmp; Z. Jakab (2017)

Impact of Oil Price Fluctuations on Financial Markets Since 2014
Nguyen, H., H. Nguyen & A. Pham (2017)

Currency Matters: Analyzing International Bond Portfolios
Burger, J.D., F.E. Warnock & V.C. Warnock (2017)

Terms-of-Trade and House Price Fluctuations: A Cross-Country Study   Acrobat Required
Corrigan, P. (2017)

International tests of a five-factor asset pricing model   ScienceDirect Required
Fama, E.F. & K.R. French (2017)

Institutional investors' allocation to emerging markets: A panel approach to asset demand   ScienceDirect Required
Bonizzi, B. (2017)

Sovereign wealth funds investment effects on target firms' competitors   ScienceDirect Required
Boubakri, N., J-C. Cosset & J. Grira (2017)

The Time Value of Housing: Historical Evidence on Discount Rates   Wiley Interscience Required
Bracke, P., E.W. Pinchbeck & J. Wyatt (2017)

Emerging markets: Is the trend still your friend?   ScienceDirect Required
Conover, C.M., G.R. Jensen, R.R. Johnson & A.C. Szakmary (2017)

The term structure of returns: Facts and theory   ScienceDirect Required
van Binsbergen, J.H. & R.S.J. Koijen (2017)

International Illiquidity   Acrobat Required
Malkhozov, A., P. Mueller, A. Vedolin & G. Venter (2017)

Black swan events and safe havens: The role of gold in globally integrated emerging markets   ScienceDirect Required
Bekiros, S., S. Boubaker, D.K. Nguyen & G.S. Uddin (2017)

Do Foreign Investors Underperform? An Empirical Decomposition into Style and Flows
Pedraza, A., F. Pulga & J. Vasquez (2017)

Long-Run Biological Interest Rate for Pay-As-You-Go Pensions in Advanced and Developing Countries
Nozaki, M. (2017)

Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
Bacchetta, P. & E. van Wincoop (2017)

The shortage of safe assets in the US investment portfolio: Some international evidence   ScienceDirect Required
Huber, F. & M.T. Punzi (2017)

International house price cycles, monetary policy and credit   ScienceDirect Required
Bauer, G.H. (2017)

Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility?   Acrobat Required
Mohaddes, K. amp; M. Raissi (2017)

Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals   UChicago Journals Required
Bekaert, G. & E. Engstrom (2017)

Riding the Energy Transition: Oil Beyond 2040
Cherif, R., F. Hasanov & A. Pande (2017)

Robust Bond Risk Premia
Bauer, M.D. & J.D. Hamilton (2017)

Complex Asset Markets
Eisfeldt, A.L., H. Lustig & L. Zhang (2017)

Asset prices and economic fluctuations: The implications of stochastic volatility   ScienceDirect Required
Chen, J., X. Xiong, J. Zhu & X. Zhu (2017)

The cross-section and time series of stock and bond returns   ScienceDirect Required
Koijen, R.S.J., H. Lustig & S. Van Nieuwerburgh (2017)

What Are the Best Liquidity Proxies for Global Research?   Oxford Journals Required
Fong, K.Y.L., C.W. Holden & C.A. Trzcinka (2017)

The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets   Oxford Journals Required
Georgopoulou, A. & J. Wang (2017)

Global Banking: Recent Developments and Insights from Research   Oxford Journals Required
Claessens, S. (2017)

Returns to Hedge Fund Activism: An International Study   Oxford Journals Required
Becht, M., J. Franks, J. Grant & H.F. Wagner (2017)

The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets   ScienceDirect Required
Fang, L., H. Yu & L. Li (2017)

The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets   ScienceDirect Required
Cepni, O., D. Kucuksarac & M.H. Yilmaz (2017)

Relative Optimism and the Home Bias Puzzle   Oxford Journals Required
Solnik, B. & L. Zuo (2017)

Analyst coverage network and stock return comovement in emerging markets   ScienceDirect Required
Marcet, F. (2017)

Asset price volatility, price markups, and macroeconomic fluctuations   ScienceDirect Required
Iraola, M.A. & M.S. Santos (2017)

Financialization in Commodity Markets
Chari, V.V. & L. Christiano (2017)

Demographic change and house prices: Headwind or tailwind?   ScienceDirect Required
Jäger, P. & T. Schmidt (2017)

Anomalies Abroad: Beyond Data Mining
Lu, X., R.F. Stambaugh & Y. Yuan (2017)

An extrapolative model of house price dynamics   ScienceDirect Required
Glaeser, E.L. & C.G. Nathanson (2017)

The role of jumps and leverage in forecasting volatility in international equity markets   ScienceDirect Required
Buncic, D. & K.I.M. Gisler (2017)

Capturing the value premium - global evidence from a fair value-based investment strategy   ScienceDirect Required
Woltering, R-O., C. Weis, F. Schindler & S. Sebastian (2017)

Corporate Debt Maturity in Developing Countries: Sources of Long- and Short-Termism
Cortina, J.J., T. Didier & S.L. Schmukler (2017)

Gold and inflation(s) - A time-varying relationship   ScienceDirect Required
Lucey, B.M., S.S. Sharma & S.A. Vigne (2017)

A note on modeling world equity markets with nonsynchronous data   ScienceDirect Required
Resnick, B.G. & G.L. Shoesmith (2017)

Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?   ScienceDirect Required
Gilbert, T., C. Scotti, G. Strasser & C. Vega (2017)

Is economic uncertainty priced in the cross-section of stock returns?   ScienceDirect Required
Bali, T.G., S.J. Brown & Y. Tang (2017)

All about fun(ds) in emerging markets? The case of equity mutual funds   ScienceDirect Required
Wagner, M. & D. Margaritis (2017)

The Rate of Return on Everything, 1870-2015 | Published   Oxford Journals Required   Recommended!
Jorda, O., K. Knoll, D. Kuvshinov, M. Schularick & A.M. Taylor (2017/19)

Abstract: What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new and comprehensive data set for all major asset classes, including housing. The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new findings and puzzles.

International Tail Risk and World Fear | Published   Acrobat Required   ScienceDirect Required
Nguyen, D.B.B., M. Prokopczuk & C .Wese Simen (2017/19)

Pricing Assets in a Perpetual Youth Model
Farmer, R. (2018)

Are Interest Rates Really Low?
Feenberg, D.R., C. Tepper & I. Welch (2018)

Asset Co-movements: Features and Challenges   Acrobat Required
Gospodinov, N. (2017)

Four centuries of return predictability   ScienceDirect Required
Golez, B. & P. Koudijs (2018)

Unit roots, flexible trends, and the Prebisch-Singer hypothesis   ScienceDirect Required
Winkelried, D. (2018)

Alpha or beta in the eye of the beholder: What drives hedge fund flows?   ScienceDirect Required
Agarwal, V., T.C. Green & H. Ren (2018)

Behavioral uncertainty and the dynamics of traders' confidence in their price forecasts   ScienceDirect Required
Hanaki, N., E. Akiyama & R. Ishikawa (2018)

A Mechanism for LIBOR   Oxford Journals Required
Coulter, B., J. Shapiro & P. Zimmerman (2018)

Are Product Spreads Useful for Forecasting Oil Prices? An Empirical Evaluation of the Verleger Hypothesis   Cambridge Online Required
Baumeister, C., L. Kilian & X. Zhou (2018)

Oil Price Forecasts for the Long Term: Expert Outlooks, Models, or Both?   Cambridge Online Required
Bernard, J-T., L. Khalaf, M. Kichian & C. Yelou (2018)

How Does Stock Market Volatility React to Oil Price Shocks?   Cambridge Online Required
Bastianin, A. & M. Manera (2018)

150 Years of Boom and Bust: What Drives Mineral Commodity Prices?   Cambridge Online Required
Stuermer, M. (2018)

Discerning Trends in Commodity Prices   Cambridge Online Required
Dimitropoulos, D. & A. Yatchew (2018)

How News and Its Context Drive Risk and Returns Around the World | Published   ScienceDirect Required
Calomiris, C.W. & H. Mamaysky (2018/19)

A New Partial-Segmentation Approach to Modeling International Stock Returns   Cambridge Online Required
Karolyi, G.A. & Y. Wu (2018)

Oil shocks and stock return volatility   ScienceDirect Required
Bachmeier, L.J. & S.R. Nadimi (2018)

The Effect of Monetary Policy on Global Fixed Income Covariances   Acrobat Required
Wohlfarth, P. (2018)

International portfolio diversification and the structure of global production   ScienceDirect Required
Steinberg, J.B. (2018)

Deep Learning for Predicting Asset Returns   Acrobat Required
Feng, G., J. He & N.G. Polson (2018)

Global Portfolio Diversification for Long-Horizon Investors
Viceira, L.M. & Z.K. Wang (2018)

Are the Fama-French factors really compensation for distress risk?   ScienceDirect Required
de Groot, W. & J. Huij (2018)

The mean-variance relation and the role of institutional investor sentiment   ScienceDirect Required
Wang, W. (2018)

Investor Experiences and Financial Market Dynamics
Malmendier, U., D. Pouzo & V. Vanasco (2018)

Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns   ScienceDirect Required
Kaeck, A., P. Rodrigues & N.J. Seeger (2018)

Interactions between stock, bond and housing markets   ScienceDirect Required
Dieci, R., N. Schmitt & F. Westerhoff (2018)

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics   ScienceDirect Required
Flaschel, P., M. Charpe, G. Galanis, C.R. Proaño & R. Veneziani (2018)

Stock market effects of ECB's Asset Purchase Programmes: Firm-level evidence   ScienceDirect Required
Henseler, K. & M.S. Rapp (2018)

Limited Risk Sharing and International Equity Returns
Zhang, S. (2018)

The History of the Cross-Section of Stock Returns   Oxford Journals Required   Recommended!
Linnainmaa, J.T. & M.R. Roberts (2018)

Abstract: Using data spanning the twentieth century, we show that the majority of accounting-based return anomalies, including investment, are most likely an artifact of data snooping. When examined out-of-sample by moving either backward or forward in time, the average returns and Sharpe ratios of most anomalies decrease, whereas their volatilities and correlations with other anomalies increase. The few anomalies that do persist out-of-sample correlate with the shift from investment in physical capital to intangible capital and the increasing reliance on debt financing over the twentieth century.

The Return Expectations of Institutional Investors   Acrobat Required
Andonov, A. & J.D. Rauh (2018)

Volatility spillover shifts in global financial markets   ScienceDirect Required
BenSaïda, A., H. Litimi & O. Abdallah (2018)

Time-Varying Risk Premia in Large International Equity Markets
Chaieb, I., H. Langlois & O. Scaillet (2018)

Credit Supply and Housing Speculation
Mian, A. & A. Sufi (2018)

Gambling, Risk Appetite and Asset Pricing   Acrobat Required
Viana de Carvalho, C., D. Cordeiro, R. Ribeiro & E. Zilberman (2018)

Unknown Unknowns: Uncertainty About Risk and Stock Returns   Cambridge Online Required
Baltussen, G., S. van Bekkum & B. van der Grient (2018)

Can economic policy uncertainty predict stock returns? Global evidence   ScienceDirect Required
Phan, D.H.B., S.S. Sharma & V.T. Tran (2018)

Model-Free International Stochastic Discount Factors s
Sandulescu, M., F. Trojani & A. Vedolin (2018)

Asset Price Dynamics in Partially Segmented Markets   Oxford Journals Required
Greenwood, R., S.G. Hanson & G.Y. Liao (2018)

Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity   ScienceDirect Required
Chen, Y., G.W. Eaton & B.S. Paye (2018)

Modeling International Stock Price Comovements with High-Frequency Data   Cambridge Online Required
Ben Ameur, H., F. Jawadi, W. Louhichi & A.I. Cheffou (2018)

Oil volatility risk and expected stock returns   ScienceDirect Required
Christoffersen, P. & X. Pan (2018)

Measuring the Effects of US Unconventional Monetary Policy on International Financial Markets   Acrobat Required
Ilabaca, F. (2018)

Asymmetric linkages among the fear index and emerging market volatility indices   ScienceDirect Required
Badshah, I., S. Bekiros, B.M. Lucey & G.S. Uddin (2018)

House Price Synchronicity, Banking Integration, and Global Financial Conditions
Alter, A., J. Dokko & D. Seneviratne (2018)

Economic policy uncertainty effects for forecasting future real economic activity   ScienceDirect Required
Junttila, J. & J. Vataja (2018)

Long-Horizon Returns   Oxford Journals Required
Fama, E.F. & K.R. French (2018)

Media Sentiment and International Asset Prices | Published   ScienceDirect Required
Fraiberger, S.P., D. Lee, D. Puy & R. Rancière (2018/21)

Low Inflation: High Default Risk AND High Equity Valuations
Bhamra, H.S., C. Dorion, A. Jeanneret & M. Weber (2018)

Cross-sectional seasonalities in international government bond returns   ScienceDirect Required
Zaremba, A. (2018)

Investor Myopia and the Momentum Premium across International Equity Markets   Cambridge Online Required
Docherty, P. & G. Hurst (2018)

Demographic transition and asset prices: Evidence from developing countries   Wiley Interscience Required
Singh, B. (2019)

Global equity investing: An efficient frontier approach   Wiley Interscience Required
Abuaf, N., T. Ayala & D. Sinclair (2019)

The role of trading frictions in financial markets   ScienceDirect Required
Huber, S. & J. Kim (2019)

Global Price of Risk and Stabilization Policies
Adrian, T., D. Stackman & E. Vogt (2019)

Indexing and stock market serial dependence around the world   ScienceDirect Required
Baltussen, G., S. van Bekkum & Z. Da (2019)

The Total Risk Premium Puzzle
Jordà, O., M. Schularick & A.M. Taylor (2019)

Foster-Hart optimization for currency portfolios   De Gruyter Journals Required
Kurosaki, T. & Y.S. Kim (2019)

How the Wealth Was Won: Factors Shares as Market Fundamentals
Greenwald, D.L., M. Lettau & S.C. Ludvigson (2019)

Country-level analyst recommendations and international stock market returns   ScienceDirect Required
Berkman, H. & W. Yang (2019)

Oil and macro-financial linkages: Evidence from the GCC countries   ScienceDirect Required
Ibrahim, M.H. (2019)

Asymmetric impact of oil prices on exchange rate and stock prices   ScienceDirect Required
Kumar, S. (2019)

Financial asset valuations: The total demand approach   ScienceDirect Required
Žukauskas, V. & J.G. Hülsmann (2019)

Nominal stock price anchors: A global phenomenon?   ScienceDirect Required
Bae, K-H., U. Bhattacharya, J. Kang & S.G. Rhee (2019)

Stocks and bonds: Flight-to-safety for ever?   ScienceDirect Required
Boucher, C. & S. Tokpavi (2019)

Home country interest rates and international investment in U.S. bonds   ScienceDirect Required
Ammer, J., S. Claessens, A. Tabova & C. Wroblewski (2019)

Combining the minimum-variance and equally-weighted portfolios: Can portfolio performance be improved?   ScienceDirect Required
Jiang, C., J. Du & Y. An (2019)

Cross-asset relations, correlations and economic implications   ScienceDirect Required
McMillan, D.G. (2019)

Cross-border portfolio diversification under trade linkages   ScienceDirect Required
Khalil, M. (2019)

Effectiveness of developed and emerging market FX options in active currency risk management   ScienceDirect Required
Vohra, S. & F.J. Fabozzi (2019)

Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses
Calomiris, C.W., M. Larrain, S.L. Schmukler & T. Williams (2019)

US Monetary Policy and International Bond Markets
Gilchrist, S., V. Yue & E. Zakrajšek (2019)

A Demand System Approach to Asset Pricing   UChicago Journals Required
Koijen, R.S.J. & M. Yogo (2019)

Security Analysis: An Investment Perspective
Hou, K., H. Mo, C. Xue & L. Zhang (2019)

International Financial Connection and Stock Return Comovement
Ando, A. (2019)

Global downside risk and equity returns   ScienceDirect Required
Atilgan, Y., T.G. Bali, K.O. Demirtas & A.D. Gunaydin (2019)

Can ambiguity about rare disasters explain equity premium puzzle?   ScienceDirect Required
Wang, Y. & C. Mu (2019)

Financial sector debt bias   ScienceDirect Required
Luca, O. & A.F. Tieman (2019)

Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns   Acrobat Required
Fuess, R., M. Guidolin & C. Koeppel (2019)

Real Estate as a Common Risk Factor in the Financial Sector: International Evidence
Coen, A., B. Carmichael & A. Coen (2019)

Stock vs. Bond yields and demographic fluctuations   ScienceDirect Required
Gozluklu, A. & A. Morin (2019)

Listing Advantages Around the World
Ueda, K. & S. Sharma (2019)

The Leverage Factor: Credit Cycles and Asset Returns
Davis, J. & A.M. Taylor (2019)

Capitalization rates and transaction activity in international office markets: A global perspective   ScienceDirect Required
Devaney, S., N. Livingstone, P. McAllister & A. Nanda (2019)

The risk and return of private equity real estate funds   ScienceDirect Required
Farrelly, K. & S. Stevenson (2019)

The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r*
Davis, J., C. Fuenzalida & A.M. Taylor (2019)

How the financial market can dampen the effects of commodity price shocks   ScienceDirect Required
Kim, M. (2019)

The Effect of FOMC Votes on Financial Markets   MIT Press Subscription Required
Madeira, C. & J. Madeira (2019)

Gold and inflation: Expected inflation effect or carrying cost effect?   Wiley Interscience Required
Xu, Y., Z-X. Liu, C-W. Su & J. Ortiz (2019)

An Event Long-Short Index: Theory and Applications
Fisman, R. & E. Zitzewitz (2019)

Anomalies across the globe: Once public, no longer existent?   ScienceDirect Required
Jacobs, H. & S. Müller (2019)

Macroeconomic Drivers of Bond and Equity Risks   UChicago Journals Required
Campbell, J.Y., C.E. Pflueger & L.M. Viceira (2020)

Heterogeneity and Asset Prices: A Different Approach
Gârleanu, N.B. & S. Panageas (2020)

Home currency issuance in international bond markets   ScienceDirect Required
Hale, G.B., P.C. Jones & M.M. Spiegel (2020)

A critical review on evolution of risk factors and factor models   Wiley Interscience Required   SURVEY PAPER
Maiti, M. (2020)

Googling Investor Sentiment around the World   Cambridge Online Required
Gao, Z., H. Ren & B. Zhang (2020)

Household Debt and House Prices-at-risk: A Tale of Two Countries
Alter, A. & E.M. Mahoney (2020)

Transitory and Permanent Shocks in the Global Market for Crude Oil
Rebei, N. & R. Sbia (2020)

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Envrionment
Chami, R., T.F. Cosimano, C. Rochon & J. Yung (2020)

One Central Bank to Rule Them All   Oxford Journals Required
Brusa, F., P. Savor & M. Wilson (2020)

Global currency hedging with common risk factors   ScienceDirect Required
Opie, W. & S.J. Riddiough (2020)

Comparing Cross-Section and Time-Series Factor Models   Oxford Journals Required
Fama, E.F. & K.R. French (2020)

International Housing Markets, Unconventional Monetary Policy, and the Zero Lower Bound   Cambridge Online Required
Huber, F. & M.T. Punzi (2020)

Stock Price Movements: Business-Cycle and Low-Frequency Perspectives   Oxford Journals Required
Lan, C. (2020)

Dynamics of the global fine art market prices   ScienceDirect Required
Le Fur, E. (2020)

A No-Arbitrage Perspective on Global Arbitrage Opportunities
Augustin, P., M. Chernov, L. Schmid & D. Song (2020)

Social Proximity to Capital: Implications for Investors and Firms
Kuchler, T., Y. Li, L. Peng, J. Stroebel & D. Zhou (2020)

The search theory of OTC markets
Weill, P-O. (2020)

Factor Investing for the Long Run   ScienceDirect Required
Lioui, A. & A. Tarelli (2020)

Uncertainty and Downside Risk in International Stock Returns
Aslanidis, N., C. Christiansen & G. Kouretas (2020)

Global Capital and Local Assets: House Prices, Quantities, and Elasticities   Acrobat Required
Gorback, C.S. & B.J. Keys (2020)

Financial Market Risk Perceptions and the Macroeconomy   Oxford Journals Required
Pflueger, C., E. Siriwardane & A. Sunderam (2020)

Cross market predictions for commodity prices   ScienceDirect Required
Ding, S. & Y. Zhang (2020)

How Global is Your Mutual Fund? International Diversification from Multinationals

Published   Oxford Journals Required
Demirci, I., M.A. Ferreira, P. Matos & C. Sialm (2020/22)

Peak China Housing
Rogoff, K.S. & Y. Yang (2020)

Low Interest Rates, Policy, and the Predictive Content of the Yield Curve
Bordo, M.D. & J.G. Haubrich (2020)

Global Market Inefficiencies | Published   ScienceDirect Required
Bartram, S.M. & M. Grinblatt (2020/21)

CDS Returns   ScienceDirect Required
Augustin, P., F. Saleh & H. Xu (2020)

Social media, news media and the stock market   ScienceDirect Required
Jiao, P., A. Veiga & A. Walther (2020)

A reappraisal of luck versus skill in the cross-section of mutual fund returns   ScienceDirect Required
Huang, R., D. Asteriou & W. Pouliot (2020)

Can policy and financial risk predict stock markets?   ScienceDirect Required
Emblem Helseth, M.A., S.O. Krakstad, P. Molnár & K-M. Norlin (2020)

What Explains the COVID-19 Stock Market?
Cox, J., D.L. Greenwald & S.C. Ludvigson (2020)

Risk and return in international corporate bond markets   Acrobat Required
Bekaert, G. & R.A. De Santis (2020)

Identifying oil price shocks and their consequences: The role of expectations in the crude oil market   Wiley Interscience Required
Fueki, T., J. Nakajima, S. Ohyama & Y. Tamanyu (2020)

Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out   ScienceDirect Required
Perras, P. & N. Wagner (2020)

World dividends and tax shocks   ScienceDirect Required
Herron, R. & K. Platt (2021)

An explanation for momentum with a rational model under symmetric information - Evidence from cross country equity markets   ScienceDirect Required
Koziol, C. & J. Proelss (2021)

ESG activities and banking performance: International evidence from emerging economies   ScienceDirect Required
Azmi, W., M.K. Hassan, R. Houston & M.S. Karim (2021)

Financial and nonfinancial global stock market volatility shocks   ScienceDirect Required
Kang, W., R.A. Ratti & J. Vespignani (2021)

Stock earnings and bond yields in the US 1871-2017: The story of a changing relationship   ScienceDirect Required
Zakamulin, V. & J.A. Hunnes (2021)

Free trade and the efficiency of financial markets   ScienceDirect Required
Baig, A.S., B.M. Blau & N. Sabah (2021)

How do sovereign risk, equity and foreign exchange derivatives markets interact?   ScienceDirect Required
Ibhagui, O. (2021)

Correlation regimes in international equity and bond returns   ScienceDirect Required
Aslanidis, N. & O. Martinez (2021)

Mispricing and Uncertainty in International Markets
Sandulescu, M. & P. Schneider (2021)

Macroeconomic Fluctuations with HANK & SAM: an Analytical Approach   Oxford Journals Required
Ravn, M.O. & V. Sterk (2021)

Liquidity and the cross-section of international stock returns   ScienceDirect Required
Cakici, N. & A. Zaremba (2021)

Is Currency Risk Priced in Global Equity Markets?   Oxford Journals Required
Karolyi, G.A. & Y. Wu (2021)

When Are Stocks Less Volatile in the Long Run?   Cambridge Online Required
Jondeau, E., Q. Zhang & X. Zhu (2021)

Information processing on equity prices and exchange rate for cross-listed stocks   ScienceDirect Required
Scherrer, C.M. (2021)

Credit default swaps around the world | Published   Oxford Journals Required
Bartram, S.M., J. Conrad, J. Lee & M.G. Subrahmanyam (2021/22)

Factors and risk premia in individual international stock returns   ScienceDirect Required
Chaieb, I., H. Langlois & O. Scaillet (2021)

Microstructure in the Machine Age   Oxford Journals Required
Easley, D., M. López de Prado, M. O'Hara & Z. Zhang (2021)

In search of distress risk in emerging markets   ScienceDirect Required
Asis, G., A. Chari & A. Haas (2021)

High-frequency trading: Definition, implications, and controversies   Wiley Interscience Required   SURVEY PAPER
Zaharudin, K.Z., M.R. Young & W-H. Hsu (2021)

International Portfolio Choice with Frictions: Evidence from Mutual Funds | Published   Oxford Journals Required
Bacchetta, P., S. Tièche & E. van Wincoop (2021/23)

The Real Explanation of Nominal Bond-Stock Puzzles
Chernov, M., L.A. Lochstoer & D. Song (2021)

The Macroeconomic Uncertainty Premium in the Corporate Bond Market   Cambridge Online Required
Bali, T.G., A. Subrahmanyam & Q. Wen (2021)

Sentiment: The bridge between financial markets and macroeconomy   ScienceDirect Required
Chen, Z., D. Lien & Y. Lin (2021)

How is Liquidity Priced in Global Markets?   Oxford Journals Required
Chaieb, I., V. Errunza & H. Langlois (2021)

What Drives House Price Cycles? International Experience and Policy Issues   SURVEY PAPER
Duca, J.V., J. Muellbauer & A. Murphy (2021)

Predicting the Oil Market
Calomiris, C.W., H. Mamaysky & N.C. Melek (2021)

Global factor premiums   ScienceDirect Required
Baltussen, G., L. Swinkels & P.V. Vliet (2021)

Does it pay to follow anomalies research? Machine learning approach with international evidence   ScienceDirect Required
Tobek, O. & M. Hronec (2021)

Long-term international diversification of equities   ScienceDirect Required
Mukherji, S. & J-G. Jeong (2021)

Long-run reversal in commodity returns: Insights from seven centuries of evidence   ScienceDirect Required
Zaremba, A., R.J. Bianchi & M. Mikutowski (2021)

The Time-Frequency Relationship between Oil Price, Stock Returns and Exchange Rate   SpringerLink Required
Das, S. (2021)

How Does Private Firm Disclosure Affect Demand for Public Firm Equity? Evidence from the Global Equity Market
Kim, J. & M. Olbert (2021)

Risk-free interest rates   ScienceDirect Required
van Binsbergen, J.H., W.F. Diamond & M. Grotteria (2021)

Stocks for the long run? Evidence from a broad sample of developed markets   ScienceDirect Required
Anarkulova, A., S. Cederburg & M.S. O'Doherty (2021)

Sparse and Stable International Portfolio Optimization and Currency Risk Management | Published   ScienceDirect Required
Burkhardt, R. & U. Ulrych (2021/23)

Dissecting the yield curve: The international evidence   ScienceDirect Required
Berardi, A. & A. Plazzi (2021)

The Term Structure of the Excess Bond Premium: Measures and Implications   Acrobat Required
Gilchrist, S., B. Wei, V.Z. Yue & E. Zakrajšek (2021)

Quantifying the High-Frequency Trading "Arms Race"   Oxford Journals Required
Aquilina, M., E. Budish & P. O'Neill (2022)

Co-skewness and expected return: Evidence from international stock markets   ScienceDirect Required
Dong, L., H.W. Kot, K.S.K. Lam & M. Liu (2022)

Is there a home field advantage in global markets?   ScienceDirect Required
Jagannathan, M., W. Jiao & G.A. Karolyi (2022)

A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes   Cambridge Online Required
Cooper, I., A. Mitrache & R. Priestley (2022)

Local, Regional, or Global Asset Pricing?   Cambridge Online Required
Hollstein, F. (2022)

Does inter-region portfolio diversification pay more than the international diversification?   ScienceDirect Required
Ahmad, N., M.U. Rehman, X.V. Vo & S.H. Kang (2022)

Liquidity measurement: A comparative review of the literature with a focus on high frequency   Wiley Interscience Required   SURVEY PAPER
Guloglu, Z.C. & C. Ekinci (2022)

High-frequency trading: Definition, implications, and controversies   Wiley Interscience Required
Zaharudin, K.Z., M.R. Young & Q-H. Hsu (2022)

Portfolios for Long-Term Investors   Oxford Journals Required
Cochrane, J.H. (2022)

The Correlation Risk Premium: International Evidence   ScienceDirect Required
Faria, G., R. Kosowski & T. Wang (2022)

The conditional impact of investor sentiment in global stock markets: A two-channel examination   ScienceDirect Required
Wang, W., C. Su & D. Duxbury (2022)

Intermediaries and Asset Prices: International Evidence since 1870   Oxford Journals Required
Baron, M. & T. Muir (2022)

A Global Version of Samuelson's Dictum
Xiao, Y., H. Yan & J. Zhang (2022)

Time-varying risk of nominal bonds: How important are macroeconomic shocks?   ScienceDirect Required
Ermolov, A. (2022)

International asset pricing with strategic business groups   ScienceDirect Required
Massa, M., J. O'Donovan & H. Zhang (2022)

The big bang: Stock market capitalization in the long run   ScienceDirect Required
Kuvshinov, D. & K. Zimmermann (2022)

Getting to the Core: Inflation Risks Within and Across Asset Classes
Fang, X., Y. Liu & N. Roussanov (2022)

A Structural Dynamic Factor Model for Daily Global Stock Market Returns   Acrobat Required
Linton, O.B., H. Tang & J. Wu (2022)

Beyond Home Bias: International Portfolio Holdings and Information Heterogeneity   Oxford Journals Required
De Marco, F., M. Macchiavelli & R. Valchev (2022)

Risk capacity, portfolio choice and exchange rates
Hofmann, B., I. Shim & H.S. Shin (2022)

A unified model of distress risk puzzles   ScienceDirect Required
Chen, Z., D. Hackbarth & I.A. Strebulaev (2022)

The Trilemma for Low Interest Rate Macroeconomics   Acrobat Required
Michau, J-B. (2022)

Dynamic asset allocation strategy using a state-dependent Markov model: Applications to international equity markets   ScienceDirect Required
Hematizadeh, R., R. Tajaddini & T. Hallahan (2022)

Asset Safety versus Asset Liquidity   UChicago Journals Required
Geromichalos, A., L. Herrenbrueck & S. Lee (2022)

What explains the benefits of international portfolio diversification?   ScienceDirect Required
Attig, N., O. Guedhami, G. Nazaire & O. Sy (2023)

International Yield Comovements   Cambridge Online Required
Bekaert, G. & A. Ermolov (2023)

Market Development, Information Diffusion, and the Global Anomaly Puzzle   Cambridge Online Required
Cai, C.X., K. Keasey, P. Li & Q. Zhang (2023)

High Inflation: Low Default Risk and Low Equity Valuations   Oxford Journals Required
Bhamra, H.S., C. Dorion, A. Jeanneret & M. Weber (2023)

Frequency heterogeneity of tail connectedness: Evidence from global stock markets   ScienceDirect Required
Jian, Z., H. Lu, Z. Zhu & H. Xu (2023)

Safe Asset Carry Trade   Oxford Journals Required
Ballensiefen, B. & A. Ranaldo (2023)

International capital markets with interdependent preferences: Theory and empirical evidence   ScienceDirect Required
Curatola, G. & I. Dergunov (2023)

Forward Return Expectations
Gandhi, M., N.J. Gormsen & E. Lazarus (2023)

Emerging equity markets in a globalized world   ScienceDirect Required
Bekaert, G., C.R. Harvey & T. Mondino (2023)

Enhanced Global Asset Pricing Factors   Cambridge Online Required
Zimmermann, L. (2023)

Machine learning goes global: Cross-sectional return predictability in international stock markets   ScienceDirect Required
Cakici, N., C. Fieberg, D. Metko & A. Zaremba (2023)

Foreign bias in institutional portfolio allocation: The role of social trust   ScienceDirect Required
Drobetz, W., M. Mönkemeyer, I. Requejo & H. Schröder (2023)

International stock market volatility: A data-rich environment based on oil shocks   ScienceDirect Required
Lu, X., F. Ma, T. Wang & F. Wen (2023)

Global financial stress index and long-term volatility forecast for international stock markets   ScienceDirect Required
Liang, C., Q. Luo, Y. Li & L.D.T. Huynh (2023)

Return predictability with endogenous growth   ScienceDirect Required
Bandi, F.M., L. Bretscher & A. Tamoni (2023)

Asset home bias in debtor and creditor countries   ScienceDirect Required
Zhang, N. (2023)

Equity Home Bias in a Capital Market Union   SpringerLink Required
Sihvonen, M. (2023)

What explains equity home bias? Theory and evidence at the sector level   ScienceDirect Required
Hu, C. (2023)

International Portfolio Rebalancing and Fiscal Policy Spillovers   Acrobat Required
Alpanda, S., U. Aysun & S. Kabaca (2023)

Exportweltmeister- Germany's Foreign Investment Returns in International Comparison   Acrobat Required
Hunnekes, F., M. Konradt, M. Schularick, C. Trebesch & J. Wingenbach (2023)

The use of asset growth in empirical asset pricing models   ScienceDirect Required
Cooper, M., H. Gulen & M. Ion (2024)

Changes in shares outstanding and country stock returns around the world   ScienceDirect Required
Long, H., M. Chiah, A. Zaremba & Z. Umar (2024)

Diversification with globally integrated US stocks   ScienceDirect Required
Conlon, T., J. Cotter & I. Ropotos (2024)

Cross-country factor momentum   ScienceDirect Required
Fieberg, C., D. Metko & A. Zaremba (2024)

International stock market volatility: A global tail risk sight   ScienceDirect Required
Lu, X., Q. Zeng, J. Zhong & B. Zhu (2024)

Does the left-digit bias affect prices in financial markets?   ScienceDirect Required
Heraud, F. & L. Page (2024)

Belief Overreaction and Stock Market Puzzles   UChicago Journals Required
Bordalo, P., N. Gennaioli, R. La Porta & A. Shleifer (2024)

Across the borders, above the bounds: a non-linear framework for international yield curves   Acrobat Required
Coroneo, L., I. Kaminska & S. Pastorello (2024)

Energy-related uncertainty and international stock market volatility   ScienceDirect Required
Salisu, A.A., A.E. Ogbonna, R. Gupta & E. Bouri (2024)

Crowding of international mutual funds   ScienceDirect Required
Gonzalez, T.A., T. Dyakov, J. Inhoffen & E. Wipplinger (2024)

Leveraged trading and stock returns: Evidence from international stock markets   ScienceDirect Required
Chen, Z., P. Li, Z. Wang & B. Zhang (2024)

Revisiting international house price convergence using house price level data   ScienceDirect Required
André, C., C. Christou & R. Gupta (2024)

Exchanges: infrastructures, power and the differential organisation of capital markets   Acrobat Required
Petry, J. (2024)

The Internationalization of China's Equity Markets   SpringerLink Required
Cortina, J.J.., M.S. Martinez Peria, S.L. Schmukler & J. Xiao (2024)

The asymmetric and persistent effects of Fed policy on global bond yields
Adrian, T., G. Gelos; Nora Lamersdorf; Emanuel Moench (2024)

Elephants in Equity Markets
Rey, H., A.R. Planat, V. Stavrakeva & J. Tang (2024)

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Macroeconomics

Fifteen Fatal Fallacies of Financial Fundamentalism: A Disquisition on Demand Side Economics
Vickrey, W. (1996)

Thinking about the Liquidity Trap
Krugman, P. (1999)

A Critical View of Inflation Targeting: Crises, Limited Sustainability, and Aggregate Shocks   Acrobat Required
Kumhof, M. (2000)

Bank-Based or Market-Based Financial Systems: Which is Better?   Acrobat Required
Levine, R. (2000)

Abstract: This paper presents a critical appraisal of inflation targeting as a monetary policy regime for emerging markets. It is shown that this policy, if understood as a strict commitment to a CPI inflation target, shares many features with exchange rate targeting and is quite different from inflexible exchange rates under money growth rules. Inflation targets are vulnerable to speculative attacks, although less so than exchange rate targets. They perform worse than exchange rate targets when policy sustainability is limited. And their relative performance under exogenous shocks, not surprisingly, depends on the nature and direction of those shocks. Given this lack of an obvious advantage over exchange rate targets, the real attraction of inflation targets may be that they give the policymaker discretion. This, in the context of many emerging markets, has to be a cause for concern.

Why the Japanese Economy is Not Growing
McKinsey Global Institute (2000)

A Critical Evaluation of the Barro-Gordon Approach with Special Reference to Monetary Issues in the EU   REVIEW PAPER   Acrobat Required
Gundermann, M. (2001)

Abstract: This is a survey paper of the credibility literature. In a critical analysis the policy implications are investigated, especially in relation to EU monetary issues.

Financial stability, deflation, and monetary policy   Acrobat Required
Goodfriend, M. (2001)

Exchange rates and wages   Acrobat Required
Goldberg, L. & J. Tracy (2001)

The pass-through from depreciation to inflation : a panel study   Acrobat Required
Goldfajn, I. & S.R.C. Werlang (2001)

Abstract: The paper studies the relationship between exchange rate depreciations and inflation using a sample of 71 countries in the period 1980-1998. The main determinants of the extent of inflationary pass-through of the depreciations (appreciations) are the cyclical component of output, the extent of initial overvaluation of the real exchange rate (RER), the initial rate of inflation, and the degree of openness of the economy. The paper finds that the pass-through coefficients increase the larger is the horizon measured, with its peak at 12-months. It also finds that RER misalignment is the most important determinant of inflation for emerging markets while the initial inflation is the most important variable for developed countries. Using the estimated model, the paper predicts somewhat higher inflation than actually observed in several well known large depreciation cases, even if one takes into account existing measures of exchange rate expectations. This suggests that policy makers should use caution when using past models to predict future inflation in the aftermath of large depreciations.

Economic Growth in East Asia Before and After the Financial Crisis
Barro, R.J. (2001)

Monetary Policy Under the Zero Interest Rate Constraint and Balance Sheet Adjustment   Acrobat Required
Shirakawa, M. (2001)

Monetary Policy under Flexible Exchange Rates: An Introduction to Inflation Targeting   Acrobat Required
Agenor, P.R. (2001)

One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know?
Mishkin, F.S. & K. Schmidt-Hebbel (2001)

Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation   Acrobat Required
Kibritcioglu, A. (2001)

Abstract: Turkey has experienced high and persistent inflation for more than twenty years. This paper attempts firstly to survey the extremely broad literature on theories of inflation, in order to be able to classify, understand and discuss the dynamics of inflation more carefully. It is mainly argued that inflation may be interpreted as a net result of sophisticated and continuous interactions of demand-side (or monetary) shocks, supply-side (or real) shocks, price-adjustment (or inertial) factors and political processes (or institutional factors). The second aim of the paper is to compare the existing empirical studies on Turkish inflation, by considering their sample period, data frequency, empirical methods, modeled macroeconomic variables and main results. Most of the studies reviewed here seem to have focused primarily on demand-side determinants (e. g., monetary growth and budget deficits), and partially on some supply-side factors (e. g., nominal exchange rates and oil prices). On the other hand, the components, degree and effects of inflation inertia need to be investigated in more detail. It is also noted that, in the future, the modeling attempts of the inflationary dynamics in Turkey would profit from the so-called 'new political macroeconomics' because the role of the political process and institutions is not a weak explanatory factor of inflation that is easily ignored.

An Empirical Comparison of Bundesbank and ECB Monetary Policy Rules
Faust, J., J. Rogers & J.H. Wright (2001)

Monetary policy and exchange rate pass-through   Acrobat Required
Gagnon, J.E. & J. Ihrig (2001)

Monetary Policy with a Touch of Basel
Chami, R. & T. Cosimano (2001)

From Monetary Targeting to Inflation Targeting: Lessons from Industrialized Countries
Mishkin, F.S. (2001)

Islamic Financial Intermediation: Economic and Prudential Considerations   Acrobat Required
Honohan, P. (2001)

The financial crisis in Japan during the 1990s: how the Bank of Japan responded and the lessons learnt
BIS Nov 16, 2001

Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?
Campa, J.M. & L.S. Goldberg (2002)

Financial Innovation and Monetary Transmission
FRBNY Economic Policy Review Volume 8, Number 1 (May 2002)

Modern Hyper- and High Inflations
Fischer, S., R. Sahay & C. Vegh (2002)

The Effectiveness of Fiscal Policy in Stimulating Economic Activity--A Review of the Literature   REVIEW PAPER
Hemming, R., M.S. Kell & S. Mahfouz (2002)

Financial Integration: A New Methodology and an Illustration
Flood, R.P. & A.K. Rose (2003)

Currency competition in a fundamental model of money   Adobe Acrobat Required
Camera, G., B. Craig & C.J. Waller (2003)

Nowcasting
Banbura, M., D. Giannone & L. Reichlin (2010)

Lumpy Investment, Lumpy Inventories
Bachmann, R. & L. Ma (2012)

Uncertainty Traps
Fajgelbaum, P., E. Schaal & M. Taschereau-Dumouchel (2014)

Really Uncertain Business Cycles | Published   Acrobat Required   Wiley Interscience Required
Bloom, N., M. Floetotto, N. Jaimovich, I, Saporta-Eksten & S.J. Terry (2014/18)

The Macroeconomics of Shadow Banking
Moreira, A. & A. Savov (2014)

Investment Hangover and the Great Recession | Published   Acrobat Required
Rognlie, M., A. Shleifer & A. Simsek (2014/18)

Sentiments, Financial Markets, and Macroeconomic Fluctuations
Benhabib, J., X. Liu & P. Wang (2015)

Financial business cycles   ScienceDirect Required
Iacoviello, M. (2015)

Macro, Money and Finance: A Continuous Time Approach
Brunnermeier, M.K. & Y. Sannikov (2016)

International Evidence on Long Run Money Demand
Benati, L., R.E. Lucas, J.P. Nicolini & W. Weber (2016)

Macro-Finance | Published   Oxford Journals Required
Cochrane, J.H. (2016/17)

Demographics and real interest rates: Inspecting the mechanism   ScienceDirect Required
Carvalho, C., A. Ferrero & F. Nechio (2016)

Money and Credit: Theory and Applications
Wang, L., L.Q. Liu & R. Wright (2017)

A Model of Secular Stagnation: Theory and Quantitative Evaluation | Published
Eggertsson, G.B., N.R. Mehrotra & J.A. Robbins (2017/19)

The Algebraic Galaxy of Simple Macroeconomic Models: A Hitchhiker's Guide
Tanner, E.C. (2017)

The Rise of Market Power and the Macroeconomic Implications | Published   Recommended!   Oxford Journals Required
De Loecker, J. & J. Eeckhout (2017/20)

Abstract: We document the evolution of market power based on firm-level data for the U.S. economy since 1955. We measure both markups and profitability. In 1980, aggregate markups start to rise from 21% above marginal cost to 61% now. The increase is driven mainly by the upper tail of the markup distribution: the upper percentiles have increased sharply. Quite strikingly, the median is unchanged. In addition to the fattening upper tail of the markup distribution, there is reallocation of market share from low- to high-markup firms. This rise occurs mostly within industry. We also find an increase in the average profit rate from 1% to 8%. Although there is also an increase in overhead costs, the markup increase is in excess of overhead. We discuss the macroeconomic implications of an increase in average market power, which can account for a number of secular trends in the past four decades, most notably the declining labor and capital shares as well as the decrease in labor market dynamism.

The Rise of Human Capitalists   Acrobat Required
Eisfeldt, A., A. Falato & M.Z. Xiaolan (2017)

Level and volatility factors in macroeconomic data   ScienceDirect Required
Gorodnichenko, Y. & S. Ng (2017)

Resolving China's Zombies: Tackling Debt and Raising Productivity
Lam, W.R., A. Schipke, Y. Tan & Z. Tan (2017)

Learning to forecast, risk aversion, and microstructural aspects of financial stability
Biondo, A.E. (2017)

Uncertainty Shocks and Balance Sheet Recessions   UChicago Journals Required
Di Tella, S. (2017)

How Well Do Economists Forecast Recessions? | Published   Wiley Interscience Required
An, Z., J. Tovar Jalles & P. Loungani (2018)

Liquidity in the repo market   ScienceDirect Required
Fuhrer, L.M. (2018)

Interest rate volatility, the yield curve, and the macroeconomy   ScienceDirect Required
Joslin, S. & Y. Konchitchki (2018)

Bank liquidity creation and recessions   ScienceDirect Required
Chatterjee, U.K. (2018)

Stagnation Traps   Oxford Journals Required
Benigno, G. & L. Fornaro (2018)

The Tail that Keeps the Riskless Rate Low   Acrobat Required
Kozlowski, J., L. Veldkamp & V. Venkateswaran (2018)

What are uncertainty shocks?   ScienceDirect Required
Kozeniauskas, N., A. Orlik & L. Veldkamp (2018)

The Microeconomic Foundations of Aggregate Production Functions
Baqaee, D. & E. Farhi (2018)

Low Interest Rates, Market Power, and Productivity Growth | Published   Wiley Interscience Required   Recommended!
Liu, E., A. Mian & A. Sufi (2019/22)

Abstract: This study provides a new theoretical result that a decline in the long-term interest rate can trigger a stronger investment response by market leaders relative to market followers, thereby leading to more concentrated markets, higher profits, and lower aggregate productivity growth. This strategic effect of lower interest rates on market concentration implies that aggregate productivity growth declines as the interest rate approaches zero. The framework is relevant for antitrust policy in a low interest rate environment, and it provides a unified explanation for rising market concentration and falling productivity growth as interest rates in the economy have fallen to extremely low levels.

Taxes, Incorporation, and Productivity
Barro, R.J. & B. Wheaton (2019)

Is Inflation Just Around the Corner? The Phillips Curve and Global Inflationary Pressures
Coibion, O., Y. Gorodnichenko & M. Ulate (2019)

Instability, imprecision and inconsistent use of equilibrium real interest rate estimates   ScienceDirect Required
Beyer, R.C.M. & V. Wieland (2019)

Quantile coherency networks of international stock markets   Acrobat Required
Baumöhl, E. & S.J.H. Shahzad (2019)

The Four Equation New Keynesian Model
Sims, E.R. & J.C. Wu (2019)

The Macroeconomic Impact of Microeconomic Shocks: Beyond Hulten's Theorem   Wiley Interscience Required
Baqaee, D.R. & E. Farhi (2019)

On Secular Stagnation in the Industrialized World
Rachel, L. & L.H. Summers (2019)

Financial Frictions and Fluctuations in Volatility   UChicago Journals Required
Arellano, C., Y. Bai & P.J. Kehoe (2019)

Unemployment Cycles
Eeckhout, J. & I. Lindenlaub (2019)

Cash and the Economy: Evidence from India's Demonetization   MIT Press Subscription Required
Chodorow-Reich, G., G. Gopinath, P. Mishra & A. Narayanan (2019)

The corporate saving glut   ScienceDirect Required
Saibene, G. (2019)

21st Century Macro
Kocherlakota, N.R. (2020)

What Do We Learn From Cross-Regional Empirical Estimates in Macroeconomics?
Guren, A., A. McKay, E. Nakamura & J. Steinsson (2020)

Dynamic Debt Deleveraging and Optimal Monetary Policy (#10)
Benigno, P., G.B. Eggertsson & F. Romei (2020)

The Fall of the Labor Share and the Rise of Superstar Firms   Oxford Journals Required   Recommended!
Autor, D., D. Dorn, L.F. Katz, C. Patterson & J. Van Reenen (2020)

Abstract: The fall of labor’s share of GDP in the United States and many other countries in recent decades is well documented but its causes remain uncertain. Existing empirical assessments typically rely on industry or macro data, obscuring heterogeneity among firms. In this article, we analyze micro panel data from the U.S. Economic Census since 1982 and document empirical patterns to assess a new interpretation of the fall in the labor share based on the rise of “superstar firms.” If globalization or technological changes push sales toward the most productive firms in each industry, product market concentration will rise as industries become increasingly dominated by superstar firms, which have high markups and a low labor share of value added. We empirically assess seven predictions of this hypothesis: (i) industry sales will increasingly concentrate in a small number of firms; (ii) industries where concentration rises most will have the largest declines in the labor share; (iii) the fall in the labor share will be driven largely by reallocation rather than a fall in the unweighted mean labor share across all firms; (iv) the between-firm reallocation component of the fall in the labor share will be greatest in the sectors with the largest increases in market concentration; (v) the industries that are becoming more concentrated will exhibit faster growth of productivity; (vi) the aggregate markup will rise more than the typical firm’s markup; and (vii) these patterns should be observed not only in U.S. firms but also internationally. We find support for all of these predictions.

The Porpagation of Uncertainty Shocks: Rotemberg vs. Calvo   Wiley Interscience Required
Oh, J. (2020)

Interest Rates under Falling Stars
Bauer, M.D. & G.D. Rudebusch (2020)

Wall Street vs. Main Street QE
Sims, E.R. & J.C. Wu (2020)

Real Credit Cycles
Bordalo, P., N. Gennaioli, A. Shleifer & S.J. Terry (2021)

Macro risks and the term structure of interest rates   ScienceDirect Required
Bekaert, G., E. Engstrom & A. Ermolov (2021)

A Goldilocks Theory of Fiscal Deficits
Mian, A.R., L. Straub & A. Sufi (2022)

Does the yield curve signal recessions? New evidence from an international panel data analysis   ScienceDirect Required
Hasse, J-B. & Q. Lajaunie (2022)

u* = (uv)^1/2
Michaillat, P. & E. Saez (2022)

Comparing Past and Present Inflation   Oxford Journals Required
Bolhuis, M.A., J.N.L. Cramer & L.H. Summers (2022)

It's Baaack: The Surge in Inflation in the 2020s and the Return of the Non-Linear Phillips Curve
Benigno, P. & G.B. Eggertsson (2023)

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Microeconomics

Marketing Myopia   Recommended!
Levitt, T. (1960)

Abstract: In order to ensure continued company growth, executives must define their industries broadly and take advantage of growth opportunities. Four conditions usually guarantee the self-deceiving cycle of bountiful expansion and undetected decay: the belief that an expanding and more affluent population assures growth; the belief that no competitive substitute exists for the industry's major product; too much faith in mass production and in the advantages of rapidly declining unit costs as output rises; and preoccupation with a product that lends itself to carefully controlled scientific experimentation, improvement, and manufacturing cost reduction.

Chaos, Cheating and Cooperation: Potential Solutions to the Prisoner's Dilemma   REVIEW PAPER
Brembs, B. (1996)

Inflation Targeting as a Monetary Policy Rule
Svensson, L.E.O. (1998)

Human Capital Convergence: International Evidence   Acrobat Required
Sab, R. & Smith, S.C. (2001)

Why Do Multinational Firms Exist?
Chung, J. (2000)

The Risk and Return of Venture Capital
Cochrane, J. (2001)

Intra-Firm Adoption Decisions   Acrobat Required
Van Everdingen, F.M. & B. Wierenga (2001)

Abstract: The subject of this paper is intra-firm adoption decisions, a relatively unexplored research area in the marketing literature. In particular, we investigate which factors influence the intra-firm adoption decisions regarding the common European currency of the treasury, purchasing and sales departments of European companies. Two sets of independent variables were hypothesized to influence the intra-firm adoption decisions, i.e. (1) variables known from the inter-firm diffusion literature, (2) variables specifically relevant for intra-firm analyses of innovation acceptance. The hypotheses are tested using data from treasury, purchasing and sales managers (441 respondents in total) from companies located in five different European countries. The results of logistic regression show that the proposed intra-firm variables are indeed important explanatory variables that should be included in intra-firm analyses. Moreover, for the inter-firm variables we found differences in the effects between departments, which demonstrates the very need for an intra-firm analysis.

General-Equilibrium Approaches to the Multinational Firm: a Review of Theory and Evidence
Markusen, J.R. & K.E. Maskus (2001)

Exchange-Rate Exposure of Multinationals: Focusing on Exchange-Rate Issues
Ihrig, J. (2001)

Abstract: This paper examines exchange-rate exposure of multinationals (MNEs) in light of detailed exchange rate data. Specifically, using MNE-specific exchange rates and accounting for the possibility that exchange-rate crises may impact a firm differently than periods of normal fluctuations, estimates suggest ¼ of all MNEs had significant exchange rate exposure between 1995 and 1999. On average, significant exposure is estimated to be 0.68, indicating that a firm’s monthly return falls, on average, by 0.68 percentage points when the dollar appreciates one percent. This encompasses periods where there are normal fluctuations in the exchange rate and the average exposure is estimated to be 0.55, as well as crisis periods where the average exposure is estimated to be 2.8. Finally, results illustrate that MNEs operating in more than 20 countries (having more than 30 subsidiaries) have twice the exposure of MNEs operating in one country (having one subsidiary).

Measuring the Stress of Financial Traders
Lo, A. & D. Repin (2002)

Abstract: Emotional responses are a significant factor in the real-time processing of financial risks, even among the most rational investors in the economy.

Foreign exchange exposure of exporting and importing firms   ScienceDirect Required
Pritamani, M.D., D.K. Shome & V. Singal (2004)

Linear and nonlinear exchange rate exposure   ScienceDirect Required
Priestley, R. & B.A. Ødegaard (2007)

The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets | Published   ScienceDirect Required
Lane, P.R. & J.C. Shambaugh (2009)

Resolving the exposure puzzle: The many facets of exchange rate exposure   ScienceDirect Required
Bartram, S.M., G.W. Brown & B.A. Minton (2009)

A three-factor model investigation of foreign exchange-rate exposure   ScienceDirect Required
Huffman, S.P., S.D. Makar & S.B. Beyer (2010)

The Genetics of Investment Biases?   ScienceDirect Required
Cronqvist, H. & S. Siegel (2014)

Misallocation and the Distribution of Global Volatility
Eden, M. (2017)

Macro and Micro Dynamics of Productivity: From Devilish Details to Insights
Foster, L.S., C.A. Grim, J. Haltiwanger & Z. Wolf (2017)

Building Macro SAMs from Cross-Country Databases: Method and Matrices for 133 Countries
Cicowiez, M. & H. Lofgren (2017)

Global Evidence on Economic Preferences | Published   Oxford Journals Required
Falk, A., A. Becker, T. Dohmen, B. Enke, D.B. Huffman & U. Sunde (2017/18)

Optimism, Pessimism, and Short-Term Fluctuations
Di Bella, G. & F. Grigoli (2018)

Ancient Origins of the Global Variation in Economic Preferences
Becker, A., B. Enke & A. Falk (2018)

Financial complexity and trade   ScienceDirect Required
Galanis, S. (2018)

Organizational Equilibrium with Capital
Bassetto, M., Z. Huo & J-V. Ríos-Rull (2018)

Measuring Aggregate Price Indices with Taste Shocks: Theory and Evidence for CES Preferences   MIT Press Subscription Required
Redding, S.J. & D.E. Weinstein (2019)

Do coalitions matter in designing institutions?   ScienceDirect Required
Korpela, V., M. Lombardi & H. Vartiainen (2019)

Is time preference different across incomes and countries?   ScienceDirect Required
De Lipsis, V. (2021)

Revisiting speculative hyperinflations in monetary models   ScienceDirect Required
Obstfeld, M. & K. Rogoff (2021)

Universalism: Global Evidence
Cappelen, A.W., B. Enke & B. Tungodden (2022)

The economic efficiency of aid targeting   ScienceDirect Required
BenYishay, A., M. DiLorenzo & C. Dolan (2022)

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