Financial turmoil is becoming a fact of life in Latin America. The 1990s have been characterized by enormous volatility in the magnitude and cost of capital flows. The correlation of capital swings across disparate countries suggests that the quality of emerging market policies in addition to...

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity...

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...

This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...

Der Untersuchungsgegenstand der Arbeit ist die Darstellung der wichtigsten Anlegermotive bei Marktübertreibungen. Es wird dabei auf Konzepte der verhaltensorientierten Kapitalmarktforschung zurückgegriffen. Basierend auf den gewonnenen Erkenntnissen werden Lösungsansätze zur Vermeidung von...

We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal sub- stitution. Aggregate productivity and...

This paper studies the effects of heterogeneity in planning propensity on wealth inequality and asset prices. I consider an economy populated by attentive and inattentive agents. Attentive agents plan their consumption period by period, while inattentive agents plan every other period....

We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity and distribution risk are shared among these...