In this paper we argue that measured (RPI) inflation is conceptually mismatched with core inflation: the difference is more than just `measurement error'. We propose a technique for measuring core inflation based on an explicit long-run economic hypothesis. Core inflation is defined as that...

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

This paper analyzes the macroeconomic effects on the U.S. economy of news about oil supply by estimating a VAR. Information contained in daily quotations of oil futures contracts is exploited to estimate the dynamic path of oil prices following a shock. Hence, differently from the VAR literature...

This study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate...

BRICs development financing flows have increased significantly and are expected to become more prominent in the post-crisis era. We investigate the potential implications on the country-allocation of loan commitments and the degree of concessionality using a panel vector autoregression model and...

Independent realization is a commonly used shortcut for deriving forecast properties. It is also an unrealistic assumption in many empirical applications. In this paper we consider the effect of the assumption when deriving the properties of panel data forecasts. To do so, we derive and compare...

The purpose of this paper is to provide objective statistical evidence on the effectiveness of nontraditional monetary policy. The quantitative easing monetary policy, adopted by the Bank of Japan for the period from March 2001 to March 2006, had a stimulating effect on investment and production...

Purpose – Investments in intellectual capital (IC) are often linked to competitive advantages that improve economic profit and increase the value of a company. However, this effect is reciprocal: companies that generate higher cash flow can invest more in IC. The purpose of this paper is to...