The Granger-causal relationship between the size and dispersion of fluctuations in sub-components of the U.S. Consumer Price Index (CPI) is examined using both in-sample and post- sample tests and data from January 1968 to December 2008. Strong in-sample evidence is found for feedback between...

The volatility clustering frequently observed in financial/economic time series is often ascribed to GARCH and/or stochastic volatility models. This paper demonstrates the usefulness of re- conceptualizing the usual definition of conditional heteroscedasticity as the (h = 1) special case of...

We consider competitive markets for multiple commodities with endogenous formation of one- or two-person households. Within each two-person household, externalities from the partner’s commodity consumption and unpriced actions are allowed. Each individual has two types of traits:...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. But post-sample model testing requires an often-consequential a priori partitioning of the data into an 'in-sample' period...

The literature on the relationship between real output growth and the growth rate in the price of oil, including an allowance for asymmetry in the impact of oil prices on output, continues to evolve. Here we show that a new technique, which allows us to control for both this asymmetry and also...

This paper uses information contained in the cross-country yield curves to test the asset-pricing approach to exchange rate determination, which models the nominal exchange rate as the discounted present value of its expected future fundamentals. Research on the term structure of interest rates...

Despite nearly three decades of revolutionary government rule, poverty and inequality remain the central issues of political debate in Iran. The unexpected electoral victory of Ahmadinejad, the populist candidate in the 2005 presidential election, has been widely attributed to rising poverty and...