Our paper examines conditional risk-return relations in a cross-section of currency portfolios, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk: investors require a positive risk...

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and...

We evaluate stock return predictability using a fully flexible Bayesian framework, which explicitly allows for different degrees of time-variation in coefficients and in forecasting models. We believe that asset return predictability can evolve quickly or slowly, based upon market conditions,...

This paper performs a number of tests to estimate convergence in total factor productivity (TFP) among Italian regions during the period 1970-2001. We generate the regional TFP series using growth accounting methodologies, and then apply a range of panel unit root tests to analyse the process of...

If asset price risk-return relations vary over time based upon changing economic states, standard unconditional models may "wash out" state dependence and fail to identify that additional risk is contingently compensated with higher return. We address this matter by considering conditional...

This paper performs a number of tests to estimate convergence in total factor productivity (TFP) among Italian regions during the period 1970-2001. We generate the regional TFP series using growth accounting methodologies, and then apply a range of panel unit root tests to analyse the process of...

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and...

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such...

In this paper, we examine whether UK inflation is characterized by aggregation bias using three sets of increasingly disaggregated inflation data and a battery of univariate and panel unit root tests. Our results support the existence of aggregation bias since while the unit root hypothesis...