A number of empirical studies have reported the result that exchange rates show a delayed overshooting in response to monetary policy shocks. This result is puzzling. Economic theory suggests that the overshooting should occur immediately after the shock, not with a delay. This paper uses a...

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central...

We develop a simple two-country model to trace out conditions under which countries join the international fight against doping. We show that the support for an internationally coordinated anti-doping policy depends on the extent to which the rules of the anti-doping fight, as formulated by the...

We use a real-time forecasting approach to study the predictability of excess returns on a benchmark Euro Area real-estate index. The real-time forecasting approach accounts for the fact that, in real time, an investor forecasts returns under conditions of model instability and model...

The US subprime mortgage crisis has led to increased interest in the decoupling-recoupling hypothesis, according to which the international comovement of financial markets has strengthened since the US subprime mortgage crisis has gathered steam. We study whether the decoupling-recoupling...

Drawing on recent empirical research, we study whether the international business cycle, as measured in terms of the output gaps of the G7 countries, has out-of-sample predictive power for gold-price fluctuations. To this end, we use a real-time forecasting approach that accounts for model...

We investigate the impact of good and bad news on stock market volatility. To this end, we utilize a novel data set of banks’ buy and sell recommendations for the German DAX30 stock market index and estimate an EGARCH(1,1) model which features these recommendations as well as several other...

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization ("size") and book-to-market value ("value") to output growth in the United States. We estimate a state-space model to analyze the sensitivity of portfolio betas to output growth. We measure...

We used a two-country optimizing "new-open-economy macroeconomics" model to analyze the implications of financial market integration for the fiscal multiplier. The fiscal multiplier measures the accumulated effect of fiscal policy on output. Our model features a labor-market friction in the form...

Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative...