This paper uses a vector autoregressive model to decompose excess stock and 10‐year
bond returns into changes in expectations of future stock dividends, inflation, short‐term real …

We examine the relationships between credit default swap (CDS) premiums and bond yield
spreads for nine emerging market sovereign borrowers. We find that these two measures of …

We analyze how interest rates affect cross-border portfolio investments. Data on US bond
holdings by foreign investors from 31 countries for the period 2003–2016 and a large variety in …

The risk-taking effects of low interest rates, now prevailing in many advanced countries,"
search-for-yield," can be hard to analyze due to both a paucity of data and challenges in …

This article develops a new framework for measuring financial and real economic linkages
between countries. Using United States and United Kingdom data from 1957 to 1989, we find …

This paper examines periods of pronounced rises and falls of real house prices since 1970
in eighteen major industrial countries, with particular focus on the lessons for monetary policy…

This paper analyzes intraday changes in firm‐level equity prices around interest rate
announcements to assess the transmission of US monetary policy to the global economy. We …

Using a comprehensive data set of all US investment in foreign equities, we find that the
single most important determinant of the amount of US investment a foreign firm receives is …

This note presents a broad-brush overview of some of the salient issues on this topic and
provides our sense of the answers to some key questions. We start by sketching out a simple …

We examine differences in default rates by sector and obligor domicile. We find evidence
that credit ratings have been imperfectly calibrated across issuer sectors in the past. …