This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performances of...

We investigate for 26 OECD economies whether their current account imbalances to GDP are driven by stochastic trends. Regarding bounded stationarity as the more natural counterpart of sustainability, results from Phillips-Perron tests for unit root and bounded unit root processes are contrasted....

To infer on functional dependence of regression parameters, a new, factor based bootstrap approach is introduced that is robust under various forms of heteroskedastic error terms. Modeling the functional coefficient parametrically, the bootstrap approximation of an F-statistic is shown to hold...

What does the saving-investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to...