We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of lagged volatility, lagged[...]

This article analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open econo[...]

This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynam[...]

We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived a[...]

This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptio[...]

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor p[...]

We evaluate three alternative predictors of house price corrections: anticipated tightenings of monetary policy, deviations of house prices from fundamentals, and rapid c[...]

Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure[...]

Existing studies using low-frequency data have found that macroeconomic shocks contribute little to international stock market covariation. However, these papers have not[...]

Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not accou[...]