This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate...

This paper develops an arbitrage-free macroeconomic model of the yield curve and uses this to explain the behaviour of the UK Treasury bond market. Unlike previous models of this type, which assume a homoscedastic error process I develop a general affine model which allows volatility to be...

In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...

The growth of the Internet and e-commerce raises some interesting questions for those interested in the monetary system. Is a new Internet-based digital transactions medium likely to evolve and what would the consequences of this be for taxation, monetary and financial stability? This article...

This paper develops a macro-finance model of the Brazilian economy and its sovereign debt markets that allows for domestic and international macroeconomic influences as well as swings in investor confidence. It finds significant evidence of common trends in the US and Brazilian economies and...

This note shows that there is an error in the mathematical argument deployed by J. L. Ford, W. S. Peng, and A. W. Mullineux (1992). Once this is corrected, the author sees that, remarkably, the standard opportunity cost based weighting system remains appropriate even in the face of nonneutral...