This paper offers additional insights on the interactions between economics and politics in Portugal. We use an unexplored data set consisting of monthly polls on vote intentions for the main political parties in Portugal, since 1986. Results indicate that: (1) socialist governments had less...

In this paper, we show, from the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and government bond yields. We use data for several OECD countries and find that when agents...

The goal of thes paper is to analyze predictability of future asset returns in the context of model uncertainty. Using data for the euro area, the US and the U.K., we show that one can improve the forecasts of stock returns using a Bayesian Model Averaging (BMA) approach, and there is a large...

I show that when the ratio of asset wealth to human wealth falls, investors become more exposed to idiosyncratic shocks and demand higher stock and government bond risk premia. I find that the residuals from the cointegrating vector among asset wealth and labour income, wy, predict both future...

In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence...

In this paper, we show, using the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that,...

This paper estimates money demand equations for the euro area, the US and the UK using three different econometric methodologies: (i) a linear model based on a dynamic ordinary least squares (DOLS); (ii) a nonlinear technique based on a quantile regression framework; and (iii) a nonlinear model...

This paper assesses the importance of nonlinearity in estimating the wealth effects on consumption for the US, the UK and the Euro area. We look at the impact of both (i) aggregate wealth and (ii) disaggregate wealth, namely, by comparing financial wealth effects with housing wealth effects. We...

This paper aims at estimating money demand for the euro area, the US and the UK using a dynamic ordinary least squares estimator (DOLS). Our findings show that: (i) wealth effects on money demand are important in the euro area and the UK; (ii) the impact of changes in the interest rate on real...

I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.