#2008-012A "Inflation, Monetary Policy and Stock Market Conditions"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2008

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. More...

#2008-010A "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

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...

#2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
by Nikola Gradojevic, and Christopher J. Neely
February 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. 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...

#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...

#2007-044A "Lending to Uncreditworthy Borrowers"
by Rajdeep Sengupta
October 2007

This paper models entry and competition in "high-risk" credit markets. An incumbent lender’s advantage over any outside bank derives from its knowledge of (i) the risk profile of its (creditworthy) clients and (ii) uncreditworthy types in the borrower population. 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...

FORTHCOMING: International Economic Review

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

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. More...

#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...