This paper examines the roles of domestic and international variables in predicting classical business cycle regimes in Germany, France, Italy and the UK over the period 1970 to 2001. A range of real and financial variables are used as leading indicators in domestic models, with these variables...

This paper tests some empirical implications of a theoretical model which proposes that the relationship between growth and its uncertainty depends fundamentally on whether the stochastic shocks causing fluctuations are real or nominal and on the presence of nominal rigidities in the economy....

This paper investigates the nature of nonlinearities in the monetary policy rule of the US Fed using the flexible approach of Hamilton (2001). We find that while there is significant evidence of nonlinearity for the period to 1979, there is little such evidence for the subsequent period....

We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for...

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle...