We study the effects of expected and unexpected inflation on real stock returns for France, Germany, Italy and the UK. We find evidence that unexpected inflation affects stock returns in France, Italy and the UK, but that expected inflation does not. Unexpected interest rates also affect real...

Utlizing Johansen's (1988) multivariate cointegration testing procedure, we find a cointegrating vector between the outputs of five major industrialized nations for the fixed exchange rate period. However, this relationship breaks down for the flexible exchange rate era. We argue that the...

Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of...

Following King and Plosser's (1984) suggestion, we use the growth of four real natural resource prices to proxy post-war supply shocks and assess their importance in a VAR which controls for aggregate demand influences on real output. We find that these supply shock proxies are able to account...

The volatility of Mexican inflation throughout the 1980s' debt crisis and the 1994 tequila crisis provides an interesting backdrop to test for structural breaks and inflation stationarity in a developing country context. By allowing for multiple breaks, four inflationary regimes are identified...