Empirical studies of tax discounting usually assume that the relationship between private consumption and government debt reflects permanent and stable characteristics of consumer preferences. Using data for aggregate consumption over the 1953-87 period in Belgium, the author shows that this...

It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of the proposed likelihood ratio test statistic depends on which parameter is considered under the...

The authors analyze the determinants of Norwegian households' consumption expenditure, using quarterly data for the period 1966(1)-1989(4). Expenditure, income and a broad measure of households wealth appear to form a cointegrating relationship. Likelihood ratio tests do not disprove that the...

Published comparisons of real exchange rate volatility have concentrated on the dispersion of monthly or quarterly movements. If volatility is to be a measure of the potential for misalignment, account must also be taken of the persistence of such movements. A simple measure of long-run...

This paper investigates the efficiency of Australian options market using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed.option prices should be efficient...

Augmenting a first-order dynamic regression model by adding particular redundant regressors gives a least-squares estimator of the lagged-dependent variable coefficient that is independent of nuisance parameters under a null hypothesis. This estimator and its t ratio have finite sample null...

The paper examines the relevance of the Lucas critique for the demand for broad money (M4) in the UK. The authors adopt the methodology proposed by Engle and Hendry (1989) for testing superexogeneity. After presenting a conditional ECM model for M4, they construct marginal models for three...

This paper presents an econometric analysis of the interaction between regional unemployment and regional earnings in Britain. A two-equation error-correction model of regional earnings and unemployment determination is estimated on data for 1972 to 1988 inclusive. The wage equation relates...