In periods of global stress there are large movements in exchange rates and assets prices. Currencies of developed economies appreciate, with the US dollar appreciating the most. Global stock markets fall, but the fall is smaller for the US market than other markets. Richer countries have...

We first discuss performance evaluation using stochastic discount factors and relate it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the properties of various general method of moment (GMM) estimators. The test statistics are fairly well behaved although...

The currency market features a relatively small cross-section and conditional expected returns can be characterized by only a few signals - interest differentials, trend, and mean-reversion. We exploit these properties to construct a conditional projection of the stochastic discount factor onto...

The authors compare estimation of spot and implied forward interest rates from Swedish Treasury bill and government bond yields with two functional forms, the simple Nelson and Siegel (NS) and the complex Longstaff and Schwartz (LS). Monetary policy rather than financial analysis is in focus,...