We derive a framework (and provide a software toolkit) which allows the dynamic general equilibrium modeller to specify what variables are in households' information sets, and the degree to which these variables are measured with error. We apply this framework to a canonical real business cycle...

Information is "market-consistent" if agents only use market prices to infer the underlying states of the economy. This paper applies this concept to a stochastic growth model with incomplete markets and heterogeneous agents. The economy with market-consistent information can never replicate the...

A range of monthly series are currently available giving indications of short-term movements in output in the UK. The main aim of this paper is to suggest a formal and coherent procedure for grossing these monthly data up to represent the whole of GDP. Although the resultant estimates of GDP...

M. C. Jensen (1978) describes a market as efficient if it is impossible to make economic profits by trading on the basis of available information. On this criterion, the bond markets of the United States, the United Kingdom, and Germany are all inefficient. Trading rules that switch between...

This paper investigates the use of alternative measures of dividend yields to predict US aggregate stock returns. Following <link rid="b30">Miller and Modigliani</link> ["Journal of Business" (1961), Vol. 34, pp. 411-433] we construct a cashflow yield that includes both dividend and non-dividend cashflows to...

This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in...

Any non-stationary series can be decomposed into permanent (or "trend") and transitory (or "cycle") components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic...