Josh Davis, Alan M. Taylor, 02 January 2020

Investor experience and academic research since the Global Crisis reflects a growing realisation that credit conditions can affect future macroeconomic outcomes. This column investigates whether credit booms throughout history have had any explanatory power to account for future asset class returns. It finds that credit booms tend to systematically predict poor returns in the near future for equities in absolute terms, and relative to bonds. An investor who had tilted their portfolio allocations based on a credit boom signal would have been able to improve portfolio performance. The contribution of the credit boom signal is meaningful when compared to other well-established signals such as momentum and value.

Michalis Haliassos, Vimal Balasubramaniam, 01 June 2018

The Third CEPR European Workshop on Household Finance took place on 11 and 12 May in London. This column describes the papers that were presented at the workshop.

Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, Alan M. Taylor, 02 January 2018

The rate of return on capital plays a pivotal role in shaping current macroeconomic debates. This column presents findings from a new dataset covering returns of major asset classes in the advanced economies over the last 150 years. The data offer new insights on several long-standing puzzles in economics, and uncover new relationships that seem at odds with some fundamental economic tenets. 

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