ABSTRACT This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure‐based cash‐flow‐at‐risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve liquidity risk management...

In this paper, we embed the Taylor interest rate rule in a simple macroeconomic model with Calvo contracts. We contrast this with the case in which the interest rate is determined by the conventional LM curve along with a fixed value for the monetary aggregate. We derive conditions under which...

This paper uses an asymmetric multivariate model to investigate asymmetries in employment and pricing behaviour by firms. This generalises the approach of Granger and Lee (1989) and also exploits the cross equation restrictions on the equations for prices and employment implied by a restricted...

This paper uses the Layard and Nickell model of the labour market to examine the determinants of employment at a sectoral level for the interwar UK economy. Sectoral level data permits examination of the differing responses to changes in the determinants of employment. Estimation of employment...

The idea of optimal policy design using an explicit loss function was a natural consequence of the development of econometric models of the macroeconomy. Since the economic theory underlying these was, at first the comparative static Keynesian model the techniques used tended to be static also....

This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to confusion in the specification of the deterministic terms included in the vector error...