This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their dependencies (under the IID assumption) are explicitly...

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....

We present conditions for the emergence of singularities in DGE models. We distinguish between slow-fast and impasse singularity types, review geometrical methods to deal with both types of singularity and apply them to DGE dynamics. We find that impasse singularities can generate new types of...

We present conditions for the emergence of singularities in DGE models. We distinguish between slow-fast and impasse singularity types, review geometrical methods to deal with both types of singularity and apply them to DGE dynamics. We find that impasse singularities can generate new types of...

Households may migrate between jurisdictions to secure preferred mixes of collectively sup-plied services and taxation. But devolution of taxes to sub-national jurisdictions could reduce expected tax revenue if some move to lower tax regimes, constraining devolved government policy. This paper...

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their dependencies (under the IID assumption) are explicitly...

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....

While a good deal of research in simultaneous equation models has been conducted to examine the small sample properties of coefficient estimators there has not been a corresponding interest in the properties of estimators for the associated variances. In this paper we build on Kiviet and...

In this paper we investigate the role of news shocks in aggregate fluctuations by comparing the empirical performance of models with and without the feature of the news shocks. We found a trivial difference between the two models. That is, the model with news shocks explains the variation as...

We propose a new type of test. Its aim is to test subsets of the structural equations of a DSGE model. The test draws on the statistical inference for limited information models and the use of indirect inference to test DSGE models. Using Monte Carlo experiments on two subsets of equations of...