We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings than when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...

I present simple estimators for the expected returns of stocks and bonds and compare them to the standard historical, or sample mean, estimator. I show that as a result of a capital gains constraint that stocks and bonds must satisfy, the historical estimator can be acutely biased. I further...

An economic tracking portfolio is a portfolio of assets with returns that track an economic variable. Monthly returns on stocks and bonds are useful in forecasting post-war U.S. output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns. These...

In this paper, we aim at the introduction of an additional macroeconomic sector defined as a broad accounting category in the stock-flow consistent framework developed by Lavoie and Godley. Starting from the idea that many financial services supplied by commercial banks today do not fit into the...

This paper seeks to measure international currency crisis. It has taken the case of the A5 countries in 1997 and has developed a methodology meant to measure and explain currency crisis. The study uses Jha amp; Murthy (2006) approach for constructing composite indices for capturing the causes -...

We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...

In Austria, the share of foreign currency mortgages in total household debt has been increasing since the late 1990s. Today about one-third of household credit debt is denominated in foreign currency, mostly in Swiss francs. A major issue with regard to the resulting implications for financial...

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...