Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, 24 April 2018

During 2016-17, market analysts and policymakers grappled with the puzzling coexistence of subdued market volatility and heightened policy uncertainty and geopolitical risk. The rise in world growth expectations can explain some but by no means all of the decline in market volatility during this period. This column argues that excess optimism about future growth prospects might have fuelled the decline in volatility. This would imply that gradual unwinding of such expectations could bring more bursts of market volatility, as we have begun to witness since the start of 2018.

Gino Cenedese, Richard Payne, Lucio Sarno, Giorgio Valente, 17 July 2015

Various theories suggest that exchange rate fluctuations and stock returns are linked. In this column, the authors find little evidence of a relationship between the two. Thus, a simple trading strategy that invests in countries with the highest expected equity returns and shorts those with the lowest generates substantial risk-adjusted returns.

Anne-Laure Delatte, Claude Lopez, 14 July 2013

This paper proposes to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that the authors do not do not impose the dependence structure but let the data select it.

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