This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different...

We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...

Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss...

This study is the first of its kind to focus on the effect of interest-rate tiers on aggregate measures of the monetary services flow. We address the role and impact of measurement errors in building monetary index numbers directly. Using a unique data set obtained from Barclays Bank plc, we...

This paper uses qualitative and quantitative methods to develop a mathematical framework for the analysis of strategic entry deterrence. Through a case study analysis, qualitative research is integrated with a pre-existing model based on game theory to gain a greater understanding of an entry...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...

We test for the existence of a long-run money demand relationship for the UK involving household-sector Divisia and simple sum monetary indexes for the period from 1977 to 2008. We construct our Divisia index using non-break-adjusted levels and break-adjusted flows following the Bank of England....

This paper examines the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes in the growth rates of individual goods and the subsequent economy-wide rate of growth of consumer prices. Granger causality tests robust to structural breaks are...