In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function;...

This paper studies the effect of correlation in the retional beliefs of agents on the volatility of asset prices.

We analyse a change in the degree of transparency of MTS, the electronic inter-dealer market for Italian Government bonds, namely the July 1997 move to the anonymity of quotes.

We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle.

What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...