Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition....

This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.

We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996–2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP...

This article estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated...

This paper uses U.S. monthly industrial production employment data between 1964 and 2000 to examine the dynamic labor adjustments of production workers and nonproduction workers in both the short and long-run. The results from the short-run analysis show that the dynamic adjustment of production...

This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a...