This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VAR) to examine the links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL) and Simultaneous Equations Models (SEM). In particular, it emphasises the...

This paper considers the solution of nonlinear rational expectations models resulting from the optimality conditions of a finite-horizon intertemporal optimisation problem satisfying Bellman's principle of optimality (and possibly involving inequality constraints). A backward recursive procedure...

This paper extends the model of Heston and Rouwenhorst (1994) to investigate the effects of size, value, industry, and country factors on the volatility of stock returns in international stock markets. Country factors dominate the other factors in explaining the return variation. The second most...

This paper is concerned with the relationship between microsimulation models and policy debate. It seeks to highlight some of the ways in which these models can contribute to debate, both in answering questions and in posing new ones. As an illustration, the authors consider a case study of the...

This paper uses semiparametric time-series methods to model the effects of weather variations on the output growth rate of the construction sector. The paper also employs structural time-series methods to model the cyclical paths of weather variables and uses this information to evaluate the...

This paper assesses the redistributive effects of two recent adjustments of indirect taxes in Italy, in 1995 and in 1997, in view of the convergence to a two-rate VAT structure. Although reducing the number of tax rates from four to three in 1997, we find that the two adjustments did not cause...

This paper examines the extent to which social interactions affect optimal consumption decisions in peer groups. To this purpose, a standard life-cycle model with quadratic utility is augmented to allow for three different forks of social interaction, namely, conformism, altruism, and jealousy....

A small quarterly macroeconometric model of the UK is estimated over the period 1965Q1 to 1995Q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest...

The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of...

Age-specific death rates for males and females are compared for a sample of mid- Victorian registration districts. Excess female mortality is defined relative to the normal relationship between male and female mortality observed in the data, and then modelled as the outcome of economic,...