This paper introduces a new dataset of French investments in foreign securities.  This is the most detailed data available to date.  The data is used to study the composition, valuation, and total return of the French portfolio of non-sovereign foreign securities on the 34 years before World...

Many oil exporters accumulate large sovereign wealth funds, though their portfolio allocation does not take into account below-ground assets, like oil. Similarly, the above-ground portfolio does not affect the decision to extract oil. This paper shows that subsoil oil wealth should change a...

This paper addresses the problem of estimating the aggregate international demand schedule for emerging market (EM) securities as an asset class. The standard ‘push-pull’ model of capital flows is modified by reference to recent work on portfolio choice in the context...

We present a model for Financial fragility in which banks are risk-averse portfolio managers and there is uncertainty over risk management parameters. There is a danger of heightened risk aversion and projects in small economies are assumed to be riskier than those in large economies. In this...

We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling.  Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions.  We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

We develop forecast-error taxonomies when there are unmodeled variables, forecast 'off-line'.  We establish three surprising results.  Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in...

Although a general unrestricted model may under-specify the data generation process, especially when breaks occur, model selection can still improve over estimating a prior specification.  Impulse-indicator saturation (IIS) can 'correct' non-constant intercepts induced by location shifts in...

The new-Keynesian Phillips curve (NKPC) includes expected future inflation as a major feedforward variable to explain current inflation.  Models of this type are regularly estimated by replacing the expected value by the actual future outcome, then using Instrumental Variables or Generalized...

The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel...