We examine the relationship between interest rates and inflation rates for ten countries during the period 1974- 1995. We find evidence of a unique cointegrating relationship between nominal interest rates of EMS countries, the U.S. and Canada, and the U.S., Germany, and Japan. No similar...

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

We apply recently developed tests of information sufficiency in structural VARs to extract fundamental structural shocks to the yield curve. A medium-scale specification properly augmented with information on inflation expectations improves the sufficiency test for all specifications we...