Estimating the response of asset prices to changes in monetary policy is complicated by the
endogeneity of policy decisions and the fact that both interest rates and asset prices react to …

This paper investigates the divergence of environmental, social, and governance (ESG) ratings
based on data from six prominent ESG rating agencies: Kinder, Lydenberg, and Domini (…

This paper develops a method for solving the identification problem that arises in
simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks. For …

We estimate the interrelationships among economic institutions, political institutions, openness,
and income levels, using identification through heteroskedasticity (IH). We split our cross…

Movements in the stock market can have a significant impact on the macroeconomy and are
therefore likely to be an important factor in the determination of monetary policy. However, …

Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion
is defined as a significant increase in market comovement after a shock to one country, …

… Osmel Manzano Roberto Rigobon Working Paper8390 http://www.nber.org/p … Osmel
Manzano Roberto Rigobon … Roberto Rigobon Unidad de Estudios Económicos …

We show, using novel data on currency and prices for US imports, that even conditional on
a price change, there is a large difference in the exchange rate pass-through of the average …

The 1990’s has been punctuated by a series of severe financial and currency crises: the
Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East …

Understanding the complexity of the financial transmission process across various assets—domestically
as well as within and across asset classes—requires the simultaneous …