This paper tests the portfolio-balance approach to exchange rate determination in a new way. Past work on portfolio balance in foreign exchange falls into two groups: (1) tests using measures of asset supply and (2) tests using measures of central-bank asset demand. We address the demand side,...

This paper addresses international financial integration in a new way. We focus on informational integration, specifically, the importance of information conveyed by order flow in major currencies for pricing minor currencies. We develop a multi-currency model of portfolio allocation in the...

This paper analyses the Government's proposals contained in A New Contract for Welfare: Partnership in Pensions. It examines the position of low paid workers and the potential of the proposals to protect individuals from means-tested old age. The paper identifies that the Green Paper's proposals...

This CASEbrief summarises the responses to 'The pensions Green Paper - A new contract for welfare: partnership in pensions' made by members of CASE in CASEpaper 23, 'Tightropes and tripwires: New Labour's proposals and means-testing in old age' by Katherine Rake, Jane Falkingham and Martin...

This paper analyses the proposals contained in the Government GreenPaper, A New Contract for Welfare: Partnership in Pensions for low paidworkers and the potential of the new rules to guarantee a decent incomein old age. It discusses the general principles inherent in the design ofthe British...

In 2005, the Ministry of Social Development (MSD) commissioned research to review international evaluation methodology and literature to help in the preparation of evaluation of the Working for Families (WFF) policy, introduced in 2004 to assist working low- and middle-income families in New...

We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central...

We address the exchange rate determination puzzle by examining how information is aggregated in a dynamic general equilibrium (DGE) setting. Unlike other DGE macro models, which enrich either preference structures or production structures, our model enriches the information structure. The model...

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...