#2008-010B "Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?"
by Massimo Guidolin, Stuart Hyde, David McMillan, and Sadayuki Ono
April 2008
Revised January 2009

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. More...

#2008-006C "The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate: Evidence from Disaggregated Data"
by Nikola Gradojevic, and Christopher J. Neely
February 2008
Revised August 2009

We explore the relationship between disaggregated trading flows, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements with a novel data set of unprecedented breadth and length. Data Appendix. More...

#2008-005A "Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK"
by Massimo Guidolin, and Stuart Hyde
January 2008

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. More...

PUBLISHED: Journal of Multinational Financial Management, October 2008, 18(4), pp. 293-312

#2007-052B "The Microstructure of the U.S. Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
December 2007
Revised April 2008

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. More...

PUBLISHED: in Robert A. Meyers, ed., Encyclopedia of Complexity and Systems Science, 2009, New York: Springer-Verlag

#2007-044C "Lending to Uncreditworthy Borrowers"
by Rajdeep Sengupta
October 2007
Revised November 2009

How might a low cost of funds prompt lenders to include uncreditworthy borrowers in their loan portfolio? This paper presents a theoretical study into how lender competition can affect borrower quality, especially when the cost of funds is low. Appendix More...

#2007-034A "Accounting for Changes in the Homeownership Rate"
by Matthew Chambers, Carlos Garriga, and Don Schlagenhauf
August 2007

After three decades of being relatively constant, the homeownership rate increased over the period 1994 to 2005 to attain record highs. More...

PUBLISHED: International Economic Review, August 2009, 50(3), pp. 677-726

#2007-032D "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007
Revised August 2009

We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to U.S. macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. More...

FORTHCOMING: Journal of Applied Econometrics

#2007-030A "Managing International Portfolios with Small Capitalization Stocks"
by Massimo Guidolin, and Giovanna Nicodano
August 2007

In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis. Because of this feature, a power utility investor ought to hold a well-diversified portfolio, despite the high risk premium and Sharpe ratios offered by small capitalization stocks. More...

#2007-020A "Monetary Policy and Stock Market Booms and Busts in the 20th Century"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2007

This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. More...

#2007-019A "Multivariate Contemporaneous Threshold Autoregressive Models"
by Michael J. Dueker, Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo
May 2007

In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. More...