Past empirical research on the effects of monetary policy in closed and open economies found evidence of several anomalies, such as the 'liquidity', 'price', 'exchange rate' and 'forward discount bias' puzzles. In this paper, we develop an approach that provides a solution to these empirical...

In this paper, I analyze the comovement of US prices and output in the postwar period. I use a new set of statistics to characterize the comovement between variables. The statistics capture important information about the dynamics in the system. The estimation procedure does not require...

In this paper we analyze the West German labour market by means of a cointegrated structural VAR model. We find sensible stable long-run relationships that are interpreted as a labour demand, a wage setting and a goods market equilibrium. In order to study the dynamic behaviour of the model we...

Direct measures of expectations, derived from survey data, are used in a vector autoregressive (VAR) model of actual and expected output series in eight industrial sectors comprising UK manufacturing. Through the application of the Beveridge Nelson decomposition, the VAR model is used to measure...

This paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a VAR model is estimated using a subset of these data; and the properties of the VAR model are...