Purpose: To investigate the complex relationship between inflation, inflation uncertainty and equity returns. Design/methodology/approach: This paper uses a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model to investigate the relationship between inflation, inflation uncertainty and equity...

Purpose – To test the Feldstein-Horioka hypothesis that the investment-to-output ratio moves one-for-one with the saving-to-output ratio, suggesting international capital mobility. Design/methodology/approach – The paper uses the econometric framework developed by Fisher and Seater,...

Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)-type model to capture the time-varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH-type models allow the conditional variance to depend on...

Purpose – The purpose of this paper is to investigate productivity growth and technical progress bias in the USA. Design/methodology/approach – Following the work of Kohli in 1978 and Diewert and Wales in 1992, the paper estimates output supply and input demand functions in the context of a...

Purpose – The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach – The paper uses the econometric framework developed by Elder in the context of a multivariate framework...

Purpose – The purpose of this paper is to revisit the evidence for purchasing power parity (PPP) using long, low-frequency data (over 100 years) for 23 organization for economic co-operation and development (OECD) countries against each of four different base currencies – the Deutsch mark,...

Purpose – The purpose of this paper is to investigate productivity growth and technical progress bias in the USA. Design/methodology/approach – Following the work of Kohli in 1978 and Diewert and Wales in 1992, the paper estimates output supply and input demand functions in the context of a...

Purpose – To test the Feldstein‐Horioka hypothesis that the investment‐to‐output ratio moves one‐for‐one with the saving‐to‐output ratio, suggesting international capital mobility. Design/methodology/approach – The paper uses the econometric framework developed by Fisher and...

Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)‐type model to capture the time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH‐type models allow the conditional variance to...

Purpose – The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach – The paper uses the econometric framework developed by Elder in the context of a multivariate framework...