Previous analyses have concluded that expectations of future excess stock returns rather than future real dividend growth or real interest rates are responsible for most of the volatility in stock prices. In this paper, we employ a state-space model to model the dynamics of the log...

This paper examines the Prebisch-Singer Hypothesis employing new time se- ries procedures that are robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Speci…cally, the proce- dures allow consistent estimation of the number of...

Recent energy price increases have revitalized interest in energy's impact on state economies. Moreover, lackluster economic growth in most states prompted some to suspend gas tax collections to stimulate economic activity. Given such interest, surprisingly few studies have quantified the effect...