This paper investigates the relationship between wages and prices in the UK using a VECM formulation and generalized impulse response functions and persistence profiles. Because of significant feedbacks, it finds that fluctuations in wage growth cannot be used directly to predict fluctuations in...

This paper investigates whether lead-lag patterns similar to those found in the US hold between small and large firm portfolios from the London stock exchange. On finding that such patterns do exist, it then investigates the dynamic linkages between the portfolios using some recently developed...

This paper presents estimates of a reduced-form unemployment equation for the UK using annual data from 1958 to 1992. It extends previous work by using modern time series econometrics, by focusing on variables that bring about fluctuations around the natural rate as well as variables that...

Using daily data on the London Stock Exchange's FT-SE industry baskets, this paper subjects the market model to a set of rigorous specification tests designed to assess its statistical adequacy in the face of possible model non-linearity and autocorrelation, heteroscedasticity and, in...

This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE 100, Mid 250 and 350 indices, and the accompanying industry baskets, for the period January 1986 to October 1992. Our results broadly support similar evidence found for many countries concerning stock...

This letter confirms that annual UK output suffers a break in trend in 1918 as suggested by Duck (1992). It then goes on to show that a segmented trend model with two breaks, in 1918 and 1921, with trend growth of approximately 2% and 2.25% per annum before and after these breaks, and with a...

Event studies are increasingly found in the applied finance literature. They are employed to analyse the market reaction to events and thus to investigate market efficiency. The paper is concerned with misspecification testing of the single-index market model which is conventionally employed to...

In an almost unreferenced article Carmichael (1928), writing of the period around the First World War, noted that “During the past twelve years many economic series have undergone what appears to be a permanent change in level.” These are prescient words that are widely applicable today....

The development of the methods of correlation and regression analysis at the turn of the 20th century, led to their use in attempting to identify relationships between economic variables. However, caution was soon expressed that correlating series with ‘secular’ trends was likely to be...