Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We and strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange...

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

The embrace of ad hoc capital controls to address temporary market inefficiencies on a case-by-case basis, while pragmatic, perpetuates the view that each capital crisis is an isolated example of failed financial institutions.

The run-up in oil prices after 2004 coincided with a growing flow of investment to commodity markets and an increased price comovement between different commodities. We analyze whether speculation in the oil market played a key role in driving this salient empirical pattern. We identify oil...

All of the attention given to raising the debt ceiling this past summer might lead some to believe that spending by the federal government only recently became unsustainable. Hardly. We've been on this path a long time.

Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial integration has progressed significantly worldwide,...

Whenever the price at the pump climbs week after week, people start pointing fingers at investment banks, hedge funds and other speculators. This article quantifies the role that speculation played in the rise of oil prices during the past decade.

Disentangling the true drivers of oil prices is a critical first step for allocating resources and designing good policy.

Ultimately, covered bonds and ABS are complements, not substitutes.