This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistance cannot be sustained once allowance is made for a structural break in the...

This paper presents new evidence about the information contained in the term structure about future inflation. Although the general finding in the literature is that the greater the time horizon the more information the term structure possesses about inflation, in this paper we show that the...

The blame for the recent financial crisis has been attributed to modern macroeconomic theory rather than banking and finance. This article defends modern macroeconomics against its critics arguing that the critics have missed the point of why macroeconomics is carried out in the way it is. It...

We examine the relation between US stock market returns and the US business cycle for the period 1960-2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the...

Previous empirical studies of international CAPM models have not found much supporting evidence. In this paper we suggest reasons why this might have happened and perform new tests using improved models and data. A range of monthly CAPM models are estimated for 1973-1987 for aggregate equities...

We examine the relation between US stock market returns and the US business cycle for the period 1960-2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the...