Published Articles and Papers

Real estate exposures to bond and equity return drivers
We evaluate listed and unlisted real estate asset classes from the perspective of an investor holding a diversified equity and fixed …
Michael Chin, Pavol Povala
Aug 18, 2024
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Simulating long-horizon returns on government bonds
We outline a macro-finance model for simulating long-horizon returns on government bonds. We show how the determinants of return …
Michael Chin, Pavol Povala
Mar 31, 2024
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Understanding international long-term interest rate comovement
Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those …
Michael Chin, Ferre De Graeve, Thomai Filippeli, Konstantinos Theodoridis
Sep 1, 2022
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Financial market volatility, macroeconomic fundamentals and investor sentiment
In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor …
Michael Chin, Jeremy Chiu, Richard Harris, Evarist Stoja
Jul 1, 2018
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A joint affine model of commodity futures and US Treasury yields
We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. …
Michael Chin, Zhuoshi Liu
Mar 1, 2015
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A forecast evaluation of expected equity return measures
Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to …
Michael Chin, Christopher Polk
Jan 1, 2015
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