We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitr[...]

The data and programs replicate tables and figures from "A macroeconomic model of an epidemic with silent transmission and endogenous self-isolation", by Diez de los Rios[...]

I study the interaction between epidemics and economic decisions in a model where: (i) agents allocate their time to market and home production and social and home leisur[...]

This article proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models. This new estimator is an asymptotic least-square esti[...]

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further[...]

This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator i[...]

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[...]

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of tr[...]

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estima[...]

This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime[...]