Historical precursor of Abenomics

Warwick professor Nicolas Crafts notes that the UK’s exit from recession and deflation in 1930s has similarities to Japan’s current expansionary policy. At the...

Updated summary: U.S. non-conventional monetary policy

The arrival of short-term interest rates at the zero bound has changed U.S. monetary policy irrevocably. The Fed's asset purchases have exceeded a quarter...

Japan’s new policies and the threat of rising yields

A large rise in bond yields would threaten Japan's sovereign solvency and banking system stability (view post here). New IMF econometric estimates suggest that...

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Crashes in safe asset markets

A new theoretical paper illustrates the logic behind runs and crashes in modern safe asset markets. Safe assets are characterized by stable value and...

Copulas and trading strategies

Reliance on linear correlation coefficients and joint normal distribution of returns in multi-asset trading strategies can be badly misleading. Such conventions often overestimate diversification...

Trend following: combining market and macro information

Classic trend following is based on market prices or returns. Market trends are relatively cheap to produce, popular, and plausibly generate value in the...

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