Davis, E Philip; Henry, S G B; Pesaran, B - In: The Manchester School of Economic & Social Studies 62 (1994) 4, pp. 374-94
The issues of interpretation and estimation of VAR models of output which use financial spreads as indicators are reviewed and new empirical evidence is provided using U.K. data. The principal extensions to the existing U.S. literature are estimation of the role of spreads in the context of a...