This paper explores dynamic correlation and interdependence of five global REIT markets using multivariate wavelet methods. United States, Hong Kong, Belgium, South Africa and Australia’s daily REITs returns are used as proxies for North America, Asia, Europe, Africa and the Oceania...

We test the predictability of international (sub-) sector industry returns using common fundamental ratios. For the majority of sector returns we find pervasive predictive relationships using the global price to cash-flow ratio. Furthermore, we stress the cross-dependencies between sectors and...

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...

The authors 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, they analyze the dynamics of co-movement and compare recent...

We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP,...

Currency carry trading presents a widespread trading strategy and refers to the forward premium puzzle. Investors borrow low-yielding currencies with the aim to invest in high-yielding ones in order to benefit from arbitrage opportunities. This implies that a one-to-one relationship does not...

This study compares two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect local volatility by changing its persistence over time....