This study pursues two addenda to the practitioner and academic literature on the effect of monetary policy on asset prices. First, this paper applies cointegration theory and, second, relaxes the stringent assumption in the literature that changes in 10-year Treasury yields, stock returns, and...

Several empirical studies report violations of the asset-pricing model of Sharpe (1964), Lintner (1965), and Black (1972). But, there is no consensus on specification in this literature, as such studies typically consider only a limited number of explanatory variables and do not satisfactorily...

Several studies report an empirical link between changes in monetary policy and short- as well as long-run stock market performance in the United States. Such findings are germane both to the study of market anomalies and to monetary policy transmission mechanisms. Previous univariate...

Econometrics produce a jaundiced view of the 'golden constant', which lauds gold as an inflation hedge. Valuation errors based on price-level benchmarks correct at a snail’s pace, if at all, and lagged errors affect the variance more than the mean of gold returns, as overvaluation corresponds...

This study outlines an affine term structure model (ATSM) of TIPS that decomposes yields into real expected rates, real term premiums, and liquidity premiums. The estimation incorporates an observable liquidity factor that more comprehensively captures limits to arbitrage implied by yield curve...

Optimizations given historical data unsurprisingly produce sizeable allocations to Bitcoin (XBT). But further analyses of risks raise questions, even abstracting from expected returns. GARCH-based measures of dynamic XBT volatility and covariance suggest optimal weights change over time. Also,...

This study plumbs the limits of U.S. Treasuries (USTs) as a “safe asset” through lens neglected in the literature on the correlation between bond and equity returns. An asymmetric M-GARCH model confirms a shift from positive to negative correlations in recent decades. However, the variance...

In contrast to the empirical literature's focus on foreign direct investment (FDI), this study examines the effects of foreign portfolio investment (FPI) and "other" foreign investment (OFI) on economic growth using data on 88 countries from 1977 through 2000. Most measures suggest that FPI has...

Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...