In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

Economic theory considers economic growth and wage costs as crucial determinants in the process of job creation. In this paper, we try to quantify the relationship that exists between these variables in Belgium. Our objective being mainly the use of the empirical model for forecasting purposes,...

The objective of this paper is to analyze the link between inflation expectations and actual inflation in the New EU Member States (NMS). To achieve this goal, the results of a qualitative consumer survey were transformed into a quantitative measure of inflation expectations using the...

The paper concerns macro-prudential analysis. It uses an unrestricted VAR model to empirically investigate transmission involving a set of macroeconomic variables describing the development of the Czech economy and the functioning of its credit channel in the past eleven years. Its novelty lies...

Since the seminal article of Bates and Granger (1969), a large number of theoretical and empirical studies have shown that pooling different forecasts of the same event tends to outperform individual forecasts in terms of forecast accuracy. However, the results remain heterogenous regarding the...

The Czech Republic has undergone a profound political, economical and social transformation in the past few decades. The changes that have occurred in society showed strongly in the change in the demographic behaviour of society and the change in the general population climate. The transition to...

Monetary conditions and economic activity in the euro area. With a VAR model, we show that the economies of the euro area are strongly dependent on the monetary conditions (short term interest rate, exchange rate). In the long-run, the industrial activity of the area enters in a co-integrating...

Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact' in post war US data. Using long-term data, covering more than 80 years from the US and three European countries, we revisit this stylized fact, and we also report results on return predictability. We find...