This paper applies the Campbell-Shiller (1988) methodology to estimate a price dividend model with volatility and inflation risk, extending existing models in this field. The model fits the data well over the period 1979-2002 for the Euro Area, but less so for the U.S. The latter is interpreted...

We estimate monetary policy reaction functions for France, Germany, Italy, the United Kingdom, and the United States using a Markov-switching model that incorporates switching in the monetary policy regime as well as an independent switching process for shifts in the state of the economy....