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International Business Cycles
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International Business Cycles (2009)International Business CyclesWhy do term structures in different currencies co-move? (2014)Why do term structures in dif…Global implications of national unconventional policies (2013)Global implications of nation…The sources of macroeconomic fluctuations in oil exporting countries: A comparative study (2006)The sources of macroeconomic …Business cycle transmission from the US to Germany—A structural factor approach (2006)Business cycle transmission f…Are European business cycles close enough to be just one? 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(1998)Sources and propagation of in…International evidence on equity prices, interest rates and money (1998)International evidence on equ…Time-Series-Based Econometrics (1996)Time-Series-Based EconometricsThe Sources of Macroeconomic Fluctuations in Developing Countries: Brazil and Korea (1996)The Sources of Macroeconomic …Stock returns and real activity: A structural approach (1995)Stock returns and real activi…Output, inflation, and stabilization in a small open economy: Evidence from Mexico (1995)Output, inflation, and stabil…Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The role of macroeconomic factors in growth (1993)China's Growth and Integration into the World Economy: Prospects and Challenges (2004)The role of oil price shocks on China's real exchange rate (2006)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)International Real Business Cycles (1992)A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey (2006)Portfolio investment flows to Asia and Latin America: Pull, push or market sentiment? (2006)Foreign Portfolio Investment Flows to India: Determinants and Analysis (2014)Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries (1990)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries (2015)Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19 (2021)The relationship among oil prices volatility, inflation rate, and sustainable economic growth: Evidence from top oil importer and exporter countries (2022)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Macroeconomic Forecasting Using Diffusion Indexes (2002)Regional business cycle synchronization in Europe? (2008)Stock market synchronization and monetary integration (2010)Measuring coherence of output gaps with an application to the euro area (2011)Permanent and Temporary Components of Stock Prices (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Macro shocks and real stock prices (2001)The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations (2002)Monetary Policy, Asset Prices and Macroeconomic Conditions : A Panel-Var Study (2010)Real Business Cycles (1983)Production, growth and business cycles (1988)Is public expenditure productive? (1989)Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes (2003)International business cycles with domestic and foreign lenders (2006)What do asset prices have to say about risk appetite and uncertainty? (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)Yield Curve Predictors of Foreign Exchange Returns (2010)Global Asset Pricing (2011)Discretion versus policy rules in practice (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)International Bond Risk Premia (2012)The Term Structure of Currency Carry Trade Risk Premia (2019)Exchange Rates and Asset Prices in a Global Demand System (2020)The Purchasing Power Parity Puzzle (1996)Determining the Number of Factors in Approximate Factor Models (2002)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model (2009)Dynamic factor models with infinite-dimensional factor spaces: One-sided representations (2014)Expectations and the neutrality of money (1972)Interpreting the macroeconomic time series facts (1992)Asset Prices, Exchange Rates and the Current Account (2008)Monetary Policy and the Housing Market: A Structural Factor Analysis (2013)Macroeconomic Factors and Microlevel Bank Behavior (2014)
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  • 2006Are European business cycles close enough to be just one?221 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 2006The sources of macroeconomic fluctuations in oil exporting countries: A comparative study164 cited
  • 1998Sources and propagation of international output cycles: Common shocks or transmission?155 cited
  • 2006Business cycle transmission from the US to Germany—A structural factor approach142 cited
  • 1998International evidence on equity prices, interest rates and money137 cited
  • 2014Why do term structures in different currencies co-move?128 cited
  • 2000Causes of capital flows in developing countries124 cited
  • 1996The Sources of Macroeconomic Fluctuations in Developing Countries: Brazil and Korea123 cited
  • 2002On the sources of business cycles in the G-7122 cited
  • 2013Global implications of national unconventional policies122 cited
  • 1995Stock returns and real activity: A structural approach107 cited
  • 1995Output, inflation, and stabilization in a small open economy: Evidence from Mexico106 cited
  • 1996Time-Series-Based Econometrics103 cited

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Residential Investment, Non‐residential Investment and GDP
95 cited
  • 1999International Trade and the Business Cycle95 cited