Richard T. Baillie and Tim Bollerslev (1989) have recently argued that nominal dollar spot exchange rates are cointegrated. Here the authors examine an immediate implication of their finding, namely, that cointegration implies an error-correction representation yielding forecasts superior to...

The relationship between wholesale and retail interest rates since deregulation is of substantial interest to economists and policymakers, because the predictability of the monetary aggregates and their relationship to bank reserves depend on adjustment patterns in the wholesale and retail...

The authors propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. They use bootstrap algorithms to evaluate the...