In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...

This paper documents a strong association between stock-bond (SB) correlations and monetary policy regimes for a sample of 10 developed markets. Negative stock-bond correlations are associated with periods of accommodating monetary policy, but only in times of low inflation. Irrespective of the...

The cyclical behaviour of prices in the U.K. is investigated using a sample of annual observations covering the period 1886-1993. A structural time series model relating consumer prices to output is estimated over four sub-periods. The results indicate that prices were procyclical in the...

This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to...

This paper studies the impact of shocks to banks’ balance sheets on real economic activity. The sample consists of 18 OECD countries observed annually from 1979 to 2003. Using the Rajan–Zingales method, I find that industries that depend more heavily on external finance respond more strongly...

Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...

This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near term, while high macroeconomic uncertainty stretches...

This paper presents estimates of short and medium frequency cycles for eight key economic and financial variables of the Greek economy and explores their characteristics. Five alternative techniques are used: turning point analysis; bandpass filters; the Hodrick-Prescott filter; univariate...

In this paper we examine the empirical features of both the business and financial cycles in Italy. We employ univariate and multivariate trend-cycle decompositions based on unobserved component models. Univariate estimates highlight the different cyclical properties (persistence, duration and...

This paper evaluates the role that sectoral comovement plays in the propagation of monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented vector autoregressive model with heterogeneous regime-switching factor loadings, denoted as MS2-FAVAR, that allows us to...