We examine the role of global and country-specific factors for the Swiss franc exchange rate in the period 1990–2009. Simple asset pricing theory would predict that exchange rates reflect relative movements in national discount factors and that systematic departures from uncovered interest...

"Fixed frequency effect models" represent a powerful tool for analyzing time series exhibiting strong periodicities. However, in spite of their appeal to the practitioner, their use has been constrained by ignorance about their statistical properties. This paper attempts to oer a comparison...

This paper documents a marked increase in international consumption risk sharing throughout the recent globalization period. Unlike earlier studies that have found it difficult to document a consistent effect of financial globalization on international consumption comovements, we make use of the...

The paper contributes to a recent empirical and theoretical literature that suggests that proprietors are an important group of stockholders and that entrepreneurial risk could therefore help explain time-varying risk premia on the aggregate stock market. I use the intertemporal budget...

This paper empirically investigates the relationship between public infrastructure and international capital flows. Out of a sample of thirty countries a cross-sectional econometric model is constructed to estimate the effects. Different components of infrastructure variables are tested in...

In spite of two decades of financial globalization, consumption-based indicators do not seem to signal more international risk sharing. We argue that the fraction of idiosyncratic consumption risk that gets shared among industrialized countries has actually increased considerably over the period...

This paper investigates the hypothesis that in a small open economy flexible exchange rates act as a 'shock absorber' and mitigate the effects of external shocks more effectively than fixed exchange rate regimes. Using a sample of 42 developing countries, the paper assesses whether the responses...

This paper examines to what extent the build-up of 'global imbalances' since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates...

We provide an analysis that might help distinguish rationally justified movements in house prices from potentially non-rational movements, using a two-sector business cycle model, in which investment in housing is subject to collateral constraints. A large portion of the evolution of U.S. house...