In this article we investigate the long-run link between inflation and money growth in the United States since 1960. A measure of the long-run inflation trend is constructed, which bears the interpreation of 'monetary' inflation rate and is directly related to the excess nominal money growth...

We propose a measure of core inflation which is derived from a Markov switching ARFIMA model. The Markov switching ARFIMA model generalises the standard ARFIMA model allowing mean reversion to take place with respect to a changing unconditional mean. By imposing a coswitching restriction for...

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...

In this paper we analyze the effects of regulatory activity--specifically periodic price reviews in the English and Welsh water industry--using information on share price volatility. In controlling for different volatility components we identify and discuss general market, industry and firm...

In this paper the time series properties of the Fama-French factor returns volatility processes are studied. Among the original findings of this paper, structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market...

In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which are associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model...

This study introduces a new frequency domain principal components estimator of the cointegration space and the loading matrix for the common factors for fractionally cointegrated long memory processes. A Monte Carlo simulation exercise reveals that the proposed estimator has already good...