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This paper compares the ability of alternative consumption‐wealth ratios, based on constant parameter (cay), Markov‐switching (cayMS), and time‐varying parameter (cayTVP) cointegration estimation of the consumption function, for predicting in‐ and out‐of‐sample movements of quarterly excess returns of U.S. government bonds over 1953:Q2 to 2015:Q3. Our findings show that after controlling for standard...
In this paper, we forecast local currency debt of five major emerging market countries (Brazil, Indonesia, Mexico, South Africa, and Turkey) over the period January 2010 to January 2019 (with an in‐sample period: March 2005 to December 2009). We exploit information from a large set of economic and financial time series to assess the importance not only of “own‐country” factors (derived from principal...
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