A vector error-correction Model (VECM) that Forecasts inflation between the current quarter and eight quarters ahead is found to privide significant leading information about inflation. The model focusses on th effects of deviations of M1 from its long-run demand but also includes, among other...

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 constructs a composite index of coincident economic indicators (CEI), which tracks the state of the Spanish economy better than real GDP, and provides a rigorous dating of the Spanish business cycle turning points.

The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983:1 -1996:6.Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential...

Using a small closed economy model Ball (1987) showed that nominal GDP targeting can lead to instability. This paper extends Ball ; s model to uncover the role inflation expectations play in generating this instability.

The liquidity effect, defined as a decrease in nominal interest rates in response to a monetary expansion, is a major stylized fact of the business cycle. This paper seeks to understand under what conditions such an effect can be explained in a general equilibrium model with sticky prices and...

This paper re-examines the findings of Alogoskoufis and Smith (1991), who argue that sharp increases in inflation persistence can be attributed to changes in the exchange rate regime. Using long time series data from the United Kingdom, the United States, Canada and Sweden, we suggest that these...

This paper re-examines the findings of Alogoskoufis and Smith (1991), who argue that sharp increases in inflation persistence can be attributed to changes in the exchange rate regime. Using long time series data from the United Kingdom, the United States, Canada and Sweden, we suggest that these...