Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We employ a multi-level factor model to estimate global and sectoral factors separately and show that (i)the real factors possess most important predictive power existing in the panel;...

Standard consumption-investment theory predicts counter-cyclical (pro-cyclical) behavior of household (corporate) credit whereby households' consumption smoothing and firms' investment motives are aligned. Counter to the theoretical symbiosis consistent with U.S. data, we demonstrate not only in...

Cross-country estimates of Taylor rules suggest that higher data uncertainty is associated with a more inertial behavior of interest rates. Data uncertainty is measured by the volatility of differences between real-time data and their revisions. Using a simple structural model with Kalman filter...

This paper introduces a comprehensive dataset examining wage inequality and returns to education across 40 countries, revisiting earlier studies on the effects of economic development, trade openness, and returns to skill on wage inequality. Our findings include: (i) the presence of Kuznets'...

We study the coupling of the United States and Canada's industrial production indices using a non-linear autoregressive model. Estimating the exponential smooth transition autoregressive (ESTAR) model in the literature is improved with an expanded set of specifications. We identify the dynamic...