Following King and Plosser's (1984) suggestion, we use the growth of four real natural resource prices to proxy post-war supply shocks and assess their importance in a VAR which controls for aggregate demand influences on real output. We find that these supply shock proxies are able to account...

The volatility of Mexican inflation throughout the 1980s' debt crisis and the 1994 tequila crisis provides an interesting backdrop to test for structural breaks and inflation stationarity in a developing country context. By allowing for multiple breaks, four inflationary regimes are identified...

A time series measure of expectations is used to demonstrate the existence of an inverse relationship between inflation and real stock prices, even after controlling for output shocks. This provides some evidence against Fama's famous conjecture (Fama, E., 1981, Stock returns, real activity,...

Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of...