Utilising a unique data set on monthly private cross-border portfolio gross and net flows to and from Denmark 1984-2004 the paper analyses the short-term relationship between capital flows related to portfolio investments and changes in the Danish nominal krone rate vis-à-vis the euro (D-mark...

Forecasting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations doesn't have any predictive power. This article addresses some problems of exchange rate macroeconomic...

Japan's macroeconomic problem has yet to be properly diagnosed. Throughout the 1990s, policy makers could not decide on the proper macro economic measures to combat the country's severe economic slump. We propose a unified explanation, with deep historical roots, of why aggregate private demand...

Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices...

The paper finds that simple econometric specifications yield surprising rich and complex dynamics -- relative prices respond to the nominal exchange rate and pass-through effects, import and export volumes respond to relative price changes, and the trade balance responds to changes in import and...