Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns evolves through time, providing clear...

This paper investigates Germany's vulnerability to the ongoing Euroland crisis. In 2010-11, Germany experienced a strong rebound from the global financial crisis of 2008-09. The Euroland crisis then meant record low interest rates and a depressed euro that boosted German extra-area exports. But...