Recent Basel Committee on Banking Supervision standards on interest rate risk in the banking book require the consideration of macroeconomic variables for modeling client behaviors, while no ...

Seeking Alpha article used statistical approach to estimate S&P 500 P/E market multiple based on macroeconomic variables. Treasury yield and federal spending to GDP ratio are significant variables ...

Some recent research has suggested that macroeconomic variables, such as output and inflation, can improve interest rate forecasts. However, the evidence for this puzzling result is based on ...

In this speech, I will lay out a path to modeling macrofinancial dynamics using a recent approach that I have worked on, and illustrate the usefulness of this avenue with a term structure application.

History suggests that extreme run-ups in the cyclically adjusted price-earnings ratio are a signal that the stock market may be overvalued. A simple regression model using a small set of macroeconomic ...