This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test...

This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables.

We test for real interest rate convergence in the EU25 area. Our contribution is twofold: first, we account for the previously overlooked effects of structural breaks on real interest rate differentials. Second, we test for convergence against the EMU average. For the majority of our sample...

We examine the long-run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from 16 OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions,...