We compare forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we use a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We use statistical criteria, a utility-based criterion, and an...

Empirical evidence suggests that the link between exchange rate movements and stock returns may be nonlinear. This evidence could reflect fundamental economic effects like, for example, transaction costs in international goods market arbitrage. It could also reflect market inefficiencies if...

We used Swiss data to examine the link between stock returns and exchange rate movements. Our evidence indicates that the link between stock returns and exchange rate movements is nonlinear and strengthens in periods of central bank interventions in the foreign exchange market. Consistent with...