Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parametrization concerns, difficulties in ensuring identification and computational...

The delays in the release of macroeconomic variables such as GDP mean that policymakers do not know their current values. Thus, nowcasts, which are estimates of current values of macroeconomic variables, are becoming increasingly popular. This paper takes up the challenge of nowcasting Scottish...

The time-series dynamics of short-term interest rates are important as they are a key input into pricing models of the term structure of interest rates. In this paper we extend popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian...

We examine the causal relationship between crude oil and gold spot prices before and after the recent financial crisis. In the pre-crisis period, causality is linear and unidirectional, running from oil to gold. In the post-crisis period, a bidirectional nonlinear causality relationship emerges....

It is sometimes alleged that collective bargaining coverage in Germany is understated because uncovered firms ‘orient’ themselves toward sectoral agreements. In fact, although orientation has grown as sectoral bargaining has declined, their joint frequency has fallen. Further, where...

More than low default rates, lenders are interested in the expected return on their loans. In this paper, we consider a number of other measures of repayment and nonpayment that are likely to be of direct interest to lenders. Using data from the Baccalaureate and Beyond Longitudinal Study, we...

This paper aims at investigating how the pricing strategy of European airline carriers is affected by code-share agreements on international routes. Our data cover several routes linking the main UK airports to largest European destinations and includes posted fares collected at different days...

We study the economic structure of the life of Harry Potter and his co-actors as an economic model that governs the social organization of their economic activities. Our goal is to study and understand the internal consistency of the Potterian economic model and explore the relationships between...

In this paper we attempt to provide empirical evidence on the issue of business cycle synchronization within Europe. The issue of business cycle convergence is important and very topical as it is a prerequisite for the implementation of an effective and successful monetary policy within a...

This paper proposes a flexible way of modeling dynamic heterogeneous covariance breakdowns in multivariate GARCH (MGARCH) models. During periods of normal market activity, volatility dynamics are governed by an MGARCH specification. A covariance breakdown is any significant temporary deviation...