Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...

This paper investigates the macroeconomic sources of time-varying risk premia in Turkish REIT industry within the arbitrage pricing theory framework. Turkish REIT industry differs substantially from the global REIT market as Turkish REITs do not have to pay out dividends, yet enjoy the exemption...

Based on a vector autoregressive model, this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent...

Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011....

We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

This paper studies the dynamic behavior of stock price index of Karachi Stock Exchange (KSE). We use annual data from 1973-2008 to capture the long run and short run relationships of stock prices with various macroeconomic variables such as real interest rate, investment, money supply and...

We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices, and create bubbles. We show how leverage can be endogenously determined in equilibrium, and how it depends on volatility. We describe the...

Our study considers whether ethical investments are also good investments. In contrast with previous studies, we utilize long-run event study methodology to examine abnormal returns associated with firms being included in, and dropped from, the MSCI KLD400 Social Index (MSCI KLD400). We find...