This paper provides an explanation for an important institutional feature of staggered time-dependent adjustment rules assumed in a number of macroeconomic models (Fischer, 1977; taylor, 1980; Blanchard, 1986).

Implications of factor-based asset pricing models for estimation of expecte d returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of this...

This paper investigates the predictions of a simple optimizing model of nominal price rigidity for the aggregate price level and the dynamics of inflation. The author compares the model's predictions with those of a perfectly competitive, flexible price 'benchmark' model (corresponding to the...

This paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the...