We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Inequality measures are powerful tools of applied welfare analysis. However, to use the tools effectively one has to take into account the characteristics of the data with which one usually has to work. These raise a number of common statistical problems which are addressed here for both...

It has been known with time that no single transmission mechanism is enough to understand the monetary policy stance of that country. The objective of this paper is combine two transmission channel, interest rate and exchange rate so as to construct monetary condition index (MCI) for the gulf...

Investor sentiment and behavior play an important role in financial markets. Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that...