Recent empirical evidence on the direct link of inflation targeting and inflation volatility is at best mixed. However, comparing inflation volatility across alternative monetary policy regimes within a country based on conventional ways, used in previous studies, begs the question. The question...

Credit portfolio managers must be able to identify the interdependencies between exposures in a portfolio and be able to relate credit risk to tangible portfolio effects on which action could be taken. To these ends, this paper draws on the macroeconometric vector error correcting model (VECM)...

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S&P 500 data covering the period from August 1791 to August...