An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides (DMP) model. Loglinearization understates the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the...

The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis. Expected returns vary cross-sectionally, depending on firms' investment, profitability, and expected investment growth. Empirically, many anomaly variables predict future changes in...

In this paper we present a new data set on bank credit in four categories: home mortgages, consumer credit, bank loans to non-bank financials, and loans to non-financial business, for 74 economies over 1990–2013. We offer a full description of sources and methods of data collection and...