This letter reappraises some recently reported tests for asymmetries in UK consumers' expenditure relative to trend. In particular, we consider the disaggregation of consumers' expenditure into broad categories of durable and non-durable goods and services, and according to 13 specific...

This letter reports details of tests for the presence of conditional variance asymmetries in the growth rates of monthly international industrial production series using exponential-GARCH and threshold-GARCH generalizations. We find evidence of asymmetries of EGARCH form for US industrial...

This paper examines the time series properties of the monthly black-market dollar exchange rates of the Bulgarian lev, Czech koruna, East German mark, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble over the period 1955-1990. All series other than the mark exhibit a unit root in...

Recent evidence has suggested an asymmetric effect in US equity return dynamics on the basis of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding periods. The results of...

This paper tests for the presence of nonlinear dependence in the black-market Polish zloty-dollar exchange rate. Using the GARCH-M model, we illustrate use of the Marquardt (Journal of the Society of Industrial and Applied Mathematics, 2, 1963) alternative to the Berndt (Annals of Economical...

This paper reconsiders the time-series properties of inter-war pound-franc and pound-dollar exchange rate returns in the context of a smooth transition variant of the threshold autoregressive model. It is found that autoregressive structure in returns is largely confined to values in proximity...

This paper examines the nature of stochastic volatility in the deutschemark/dollar and French franc/dollar exchange rates. In particular using a multivariate random walk stochastic volatility model the study examined whether volatility in each series can be ascribed to a single common trend....

Results of recent studies for the USA, Canada and Australia have suggested that the term structure of interest rates contains predictive power for real GDP growth, and that this result is robust to the inclusion of additional variables, such as stock market indicators and lagged growth rates....

The trade-off between the variability of inflation and that of output is estimated for the UK, using several different approaches to obtain the output gap, and then for a range of other countries; in all cases the trade-off retains the 'sharp turning point' found for the UK and US by other authors.