The VAR methodology of J. Y. Campbell and R. J. Shiller (1989) is employed under four different assumptions regarding equilibrium expected returns to assess the efficiency of the U.K. stock market. In the authors' first model, equilibrium expected (real) returns are assumed to be constant, while...

Using a high-quality weekly data set, the author provides several tests of the expectations hypothesis using the vector autoregression and cointegration methodologies, for several maturities between one-week and twelve-months, for the U.K. interbank market. On the basis of the Johansen...

The authors examine the determinants of inventory holding by the U.K. manufacturing sector over the period 1968-89. They find that inventory levels respond positively to output and its conditional variance and negatively to the level of gearing. Tehnological innovation in the form of...

M. Friedman (1956) suggests that the demand for money should be analyzed in terms of consumer demand theory, although often the interpretation of empirical results from studies using aggregate data appears to be in terms of the "motives approach" (i.e., transactions, precautionary, and...

This paper presents and estimates a model of the demand for money which explicitly incorporates foward-looking behavior. A multiperiod, rational expectations, quadratic costs of adjustment problem is solved using the discrete time calculus of variations to yield a money demand equation which is...