This paper provides a new analysis of index-linked debt in the U.K.. I begin by clarifying the theoretical links between the observed prices of conventional and index-linked debt, and the term structure of real interest rates. Based on this analysis, I then describe a new empirical methodology...

This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state...

We examine how medium-term movements in real exchange rates and GDP vary with international financial conditions. For this purpose, we study the international transmission of productivity shocks across a variety of IRBC models that incorporate different assumptions about the persistence of...

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for...

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...

This paper studies the high frequency behavior of the interbank foreign exchange market with a newly created data set that provides the most comprehensive picture of activity across the market in existence. My analysis indicates that trade activity within the interbank market is distinct from...

This paper examines alternative methods for making inferences about the value and dynamics of (unobserved) credit quality from market prices. Using data on Brady bonds issued by Mexico, Venezuela, and Costa Rica, we show that estimates of credit quality from of a simple model (often used by...

This paper examines how the theoretical and empirical implications of asset pricing models are affected by the presence of a quot;peso problem;quot; a situation where the potential for discrete shifts in the distribution of future shocks to the economy affects the rational expectations held by...

Since 2013 regulators have been investigating the activities of some of the world's largest banks around the setting of daily benchmarks for forex prices. These benchmarks are a key linchpin of world financial markets, providing standardize prices used to value global equity and bond portfolios,...