In September 2002, a new market in %u201CEconomic Derivatives%u201D was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are...

The term "carry" has been primarily studied and explored within currency markets where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant...

The COVID-19 pandemic has impacted the social as well as professional lives of individuals. The COVID-19 pandemic pushed economies into a Lockdown. However, it generated the worst recession since the Great Depression. This paper concentrates primarily on the most contributing factors to the...

Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...

Using a multi-country regime-switching vector autoregressive (VAR) model we document the existence of two regimes in the volatility of interest rates at which emerging economies borrow from international financial markets, and study the statistical relationship of such regimes with episodes of...

In this paper, we investigate the relationship between balance sheet size and leverage (i.e., leverage pro-cyclicality) and the pro-cyclicality of systemic risk using three systemic risk measures such as DCoVaR (Adrian & Brunnermeier, 2016), MES (Acharya et al., 2017), SRISK (Brownlees & Engle,...

We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...

Flekenstein, Longstaff and Lustig (2014) find mispricing between Treasury bonds and Treasury Inflation-Protected Securities (TIPS) in the United States, suggesting that Treasury bonds are expensive relative to TIPS. I examine the existence of a mispricing in the Israeli government bond market, a...

Using the Johansen cointegration technique, we find empirical evidence of long run co-movements between five national stock market indexes and measures of aggregate real activity including the real oil price, real consumption, real money, and real output. Real returns on these indexes are...

We hypothesize that local economic discomfort influences investors’ risk aversion, leading to cross-sectional variation in risk premia in segmented equity markets. To test this assertion, we employ the misery index (MI)—which aggregates both unemployment and inflation rates—as a gauge of...