The main purpose of this paper is to develop generalized 'State Dependent Models' (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater...

The present paper investigates the cyclical nature of Consumer Sentiments Indices (CSIs) for the US and UK. Using Threshold Autoregressive (TAR) models the empirical analysis indicates that the US CSI is mean reverting but adjusts asymmetrically and downwardly rigid.

The present paper outlines a theoretical model of agent-based learning. An agent ‘anchors’ his subjective expectations (or forecasts) to another agent’s subjective expectations. The former believes the latter has a better information set and, therefore, able to make better subjective...

This paper tests whether there exists any significant difference in the responsiveness of UK government expenditure policy to changes in national income and unemployment in pre- and post-election periods. The absence of such a political effect would see the national income and unemployment...

In the 1970s and 1980s the USA and European economies experienced unemployment rates that persistently drifted upwards. The present paper captures this phenomenon by a simple extension of the hysteresis approach to the natural rate hypothesis of unemployment using a ratchet model. The impact of...