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Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
Efficiency and productivity of the US banking industry, 1998-2005: evidence f...
This paper provides estimates of bank efficiency and productivity in the United States, over the period from 1998 to 2005, using (for the first time) the globally flexible... -
Annual miles drive used car prices (replication data)
This paper investigates whether the net benefits from owning a vehicle, proxied by annual miles driven, explain the price declines observed over a vehicle's life. We first model... -
International output convergence: evidence from an autocorrelation function a...
This paper uses an autocorrelation function (ACF) approach to develop a new testing procedure for international output convergence. We define convergence in terms of sample ACFs... -
Hours per capita and productivity: evidence from correlated unobserved compon...
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated... -
Market fundamentals versus rational bubbles in stock prices: a Bayesian persp...
Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals... -
Extreme US stock market fluctuations in the wake of 9/11 (replication data)
We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value-at-risk and extremal linkages were significantly altered by... -
The performance of heteroskedasticity and autocorrelation robust tests: a Mon...
This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and... -
Structural breaks and GARCH models of exchange rate volatility (replication d...
We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant... -
Multivariate partial adjustment of financial ratios: a Bayesian hierarchical ...
In this paper we propose a multivariate extension of the partial adjustment model of financial ratios. To that end, we use a dynamic factor model which assumes that financial... -
A unified approach to standardized-residuals-based correlation tests for GARC...
In this paper, we propose a unified approach to generating standardized-residuals-based correlation tests for checking GARCH-type models. This approach is valid in the presence... -
International dynamic risk sharing (replication data)
In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Expectation horizon and the Phillips Curve: the solution to an empirical puzz...
Estimates of the slope of the Phillips curve reported in the literature cover a range from roughly ? 0.6 to zero depending on specification. Forward-looking specifications,... -
Robust optimal monetary policy in a forward-looking model with parameter and ...
This paper characterizes a robust optimal policy rule in a simple forward-looking model, when the policymaker faces uncertainty about model parameters and shock processes. We... -
Unravelling financial market linkages during crises (replication data)
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during... -
Exploring the international linkages of the euro area: a global VAR analysis ...
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific... -
An evaluation of the forecasts of the federal reserve: a pooled approach (rep...
The Federal Reserve Greenbook forecasts of real GDP, inflation and unemployment are analysed for the period 1974-1997. We consider whether these forecasts exhibit systematic... -
The transmission mechanism in a changing world (replication data)
The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European... -
Nonlinear autoregressive leading indicator models of output in G-7 countries ...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term...
