During the last two decades, the degree of openness of national financial systems has increased substantially. At the same time, asymmetries in information and other financial market frictions have remain prevalent. We study both empirically and theoretically the implications of the opening up...

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central...

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central...

We study the predictability of stock returns using an iterative model-building approach known as quantile boosting. Examining alternative return quantiles that represent normal, bull and bear markets via recursive quantile regressions, we trace the predictive value of extensively studied...

We use multivariate random forests to compute out-of-sample forecasts of a vector of returns of four precious metal prices (gold, silver, platinum, and palladium). We compare the multivariate forecasts with univariate out-of-sample forecasts implied by random forests independently fitted to...

This paper proposes an iterative model-building approach known as quantile boosting to trace out the predictive value of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and sentiment-based variables, we examine the predictive value of...

We use a machine-learning algorithm known as boosted regression trees (BRT) to implement an orthogonality test of the rationality of aggregate stock-market forecasts. The BRT algorithm endogenously selects the predictor variables used to proxy the information set of forecasters so as to maximize...