This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four 'new' European countries (Poland, Czech Republic, Slovakia and Hungary). 'Old' western European countries (UK, France, Italy and Germany) are...

Examining US data, this study uses techniques of cointegration analysis to test whether real estate investment trusts (REITs) are a useful hedge against inflation. Johansen tests seem to indicate that REITs are cointegrated with the general price level. This is true for a broad REIT index as...

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...