There is a large literature that tests the univariate time series properties of the real output series following the seminal work of Nelson and Plosser (1982). Whether or not real output is characterized by a unit root process has important implications. A unit root in real output, for instance,...

In this paper we examine the relative importance of permanent and transitory shocks in explaining variations in income, consumption and investment at business cycle horizons for Australia. We use the common trend-common cycle restrictions to estimate a variance decomposition of shocks, and find...

We address bond, equity, gold as well as oil markets, and examine their lagged interactions including market volatility and consumer prices. Apart from considering returns, we also address the cyclic component of price levels. Study of the monthly lag structure during January 1950 to June 2015...

In this paper, we propose a simple extension to a Keynesian type macro model by augmenting it with energy consumption. We show the relationship between energy consumption and output in a macroeconomic setting and ask the question: Do permanent shocks dominate changes in energy consumption and...

The goal of this paper is to examine the relative importance of permanent and transitory shocks in explaining variations in macroeconomic aggregates for the UK at business cycle horizons. Using the common trend-common cycle restrictions, we estimate a variance decomposition of shocks, and find...