This paper examines the roles of domestic and international variables in predicting expansion and recession regimes of the growth rate cycle for Germany, France, Italy and the UK over the period 1972 to 2003, using a range of real and financial variables as leading indicators. The output gap,...

We test for a change in the volatility of 214 US macroeconomic time series over the period 1959-1999. We find that about 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean,...

We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for...

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle...

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be...

This paper studies monthly RPIX inflation in the UK in the context of the change to inflation targeting in 1992. Our empirical models take account of the strong and changing seasonal pattern of inflation, while also focusing on inflation persistence and Phillips curve explanations. In both...

Recent literature has uncovered asymmetries in the response of real output to monetary policy variables. Nevertheless, it remains unclear whether such asymmetries relate to different responses to monetary policy or to the business cycle. This paper uses nonlinear models to examine the issues in...