As Robert E. Hall (1988) notes, the magnitude of the intertemporal elasticity of substitution in consumption is "one of the central questions of macroeconomics." Do higher expected real interest rates lead to deferred consumption? The authors extend Hall's methodology and model, and compare...

We use a vector autoregression (VAR) to decompose unanticipated bond returns into news about fundamentals (expected real interest and inflation rates) and expected risk premiums. This decomposition is applied to U.K. short- and long-maturity nominal bonds, and to U.K. index-linked bonds. We also...

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...