We assess whether the global decline in inflation expectations together with increased fear of recession explain the fall in nominal government bond yields and the stock price dynamics of six major economies from 1988 to 2019. Fear of recession is the economic mechanism that drives asset prices...

This paper assesses whether the global fall in inflation expectations together with increased fear of recession, the economic mechanism that drives asset prices in a model with consumption habits, help to explain the downward trajectory in nominal government bond yields and the stock price...

We analyse spillovers from European Central Bank (ECB) policy sur-prises to asset markets outside the euro area using Switzerland as a case study. Our results suggest that Swiss asset price responses to ECB policy surprises are significant. They depend on the type and nature of the surprise and...

The failure to empirically prove uncovered interest rate parity conditions seems to be related to the presence of risk premia on foreign currencies. Recent studies suggest that either consumption- or currency-return-based pricing factors explain the cross section of foreign currency portfolio...