The relationship between Treasury bond returns and stock market returns is key to managing risk in classic institutional portfolios. During the past two decades the exposure of the U.S. Treasury bonds to the stock market has been consistently negative providing a high degree of diversification...

This paper explores global and local determinants of the popularity of Bitcoin. Using data of Bitcoin Google searches for the January 2010 to November 2021 period in a set of 22 countries. Our estimations corroborate that economic policy uncertainty at the country level does not play a...

This article analyses the evolution over time of perceived corruption for a large set of countries worldwide. To proxy corruption, we use the recently proposed Bayesian Corruption Index (Standaert, S. (2015). Divining the level of corruption: A bayesian state space approach, Journal of...

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes into persistent and transitory...

The classic relationship between deposit rates and interest rate derivatives has been fractured since August 2007. Uncertainty in the interbank money market has increased the risk premia differentials on unsecured deposits rates of different tenors, such as Euribor, leading to a new pricing...