I develop and estimate a general equilibrium model for the term structures of nominal and real interest rates in the UK that incorporates Markov-switching. The model allows for non- neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia - features that are all...

We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premium for holding real long-term bonds, or the real duration premium, the excess returns of nominal long-term bonds over real bonds which reflects (3) expected inflation and (4) inflation risk, and...

We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premium for holding real long-term bonds, or the real duration premium, the excess returns of nominal long-term bonds over real bonds which reflects (3) expected inflation and (4) inflation risk, and...

In this paper I study how exogenous monetary policy impulses jointly transmit to the US macroeconomy and term structure. I estimate a Macro-Affine Term Structure Model similar to Joslin, Priebsch and Singleton (2010), and use this framework to identify monetary policy shocks and term premia. My...

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

When the global economy hit the wall in 2007-08 (i.e. sub-prime mortgage debacle in 2006 followed by the 2008 global credit mayhem, originated in the U.S. before spreading to Europe as sovereign debt crisis), an extensive research by economists, scholars and academia compared and contrasted the...

Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations, transaction volumes and user bases react substantially to news about regulatory actions. The impact depends on the specific regulatory category to which the news relates: events...

Increasing financial and political turmoil in the 1970s and 1980s coupled with oil shock prompted Governors of the G-10 countries to engage in cooperation and financial collaboration that eventually paved the road for the establishment of the Basel Committee on Banking Supervision in 1974. After...