This paper develops a noisy-information equilibrium model to study how subjective expectations shape the joint dynamics of equity and bond yields. In our framework, movem[...]

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statis[...]

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of s[...]

Forward guidance is one of the policy tools that a central bank can implement if it seeks to provide additional monetary stimulus when it is operating at the effective lo[...]

Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, us[...]

I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confide[...]

Standard Gaussian term structure models impose the Markov property: the conditional mean is a function of the risk factors. We relax this assumption and consider models w[...]

This paper tests the hypothesis that movements in the prime rate are dependent upon the interest rate regime. We find that the responsiveness of prime to changes in the F[...]

This paper proposes an arbitrage-free model to extract the information that the term structure of forward premia contains for forecasting future spot exchange rates. Usin[...]

Using a rich dataset on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal inter[...]