In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...

In this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to "boom"...

In this paper, we investigate the dynamic link between the scarcity of housing collateral and economic recessions in the US. At first, we use vector error-correction models to identify negative transitory shocks to collateralizable housing wealth, which are used as proxies of housing collateral...

In this paper, we empirically investigate the relationship between the convenience yield of government bonds and the real exchange rates using monthly data spanning from 1999 to 2018. We extend the conventional models, based on present-value relationship between real exchange rate and economic...

This article considers the long-run relationship between nominal exchange rates and fundamentals from a different perspective. We apply a long-horizon regression approach proposed by <link rid="b20">Fisher and Seater (1993)</link> and find evidence supporting the explanatory power of exchange rate models. In...