We analyze real interest rate convergence among six industrialized countries in between 1975M1-2011M3 within a multi-country framework by means of a dynamic latent factor model. The real interest rates are decomposed into permanent and transitory factors, and country-specific components....

The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...