The expectation hypothesis suggests there exists long run equilibrium of interest rate term structure. Two theoretical approaches proposed by Campbell and Shiller (1987) and Hall el al. (1992) suggest that the term spread of long-term and short-term interest rates should be a stationary I(0)...

In response to equity concerns surrounding the spatial distribution of CO2 emissions and the assumptions of CO2 convergence within some climate models, this paper examines the convergence of CO2 emissions within the OECD over the period 1870-204. More specifically, using the Local Whittle...

This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the...

This paper pursues the idea that the relevant distributional moments for the Capital Asset Pricing Model (CAPM) are the conditional, rather than the unconditional, covariances of returns. Thus, asset Betas may be time-varying and random rather than constant. The model is parameterized and...

This paper assesses a new technique for producing high-frequency data from lower frequency measurements subject to the full set of identities within the data all holding. The technique is assessed through a set of Monte Carlo experiments. The example used here is gross domestic product (GDP)...

This paper derives a model of the stocks plan based on optimal behavior by the firm when facing adjustment costs with forward-looking expectations formation. Estimates of the model are reported for manufacturing, using three alternative expectations mechanisms for determining expected sales:...