This paper considers tests of the effectiveness of a policy intervention, defined as a change in the parameters of a policy rule, in the context of a macroeconometric dynamic stochastic general equilibrium (DSGE) model. We consider two types of intervention, First the standard case of a...

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors. Two aspects of the APT are considered. Firstly, the factors in the statistical asset pricing model are related to a theoretically consistent set of factors defined by their...

The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...

When there is exact collinearity between regressors, their individual coefficients are not identified, but given an informative prior their Bayesian posterior means are well defined. The case of high but not exact collinearity is more complicated but similar results follow. Just as exact...

We examine the relationship between the case-study, synthetic control and large-N panel-data approaches using the costs of conflict as an example. In particular, we show that effects estimated from panel data models and effects estimated by the comparison of a treated case with a synthetic...

This paper examines the effect of changes in the public debt-GDP ratio on long, 10 year, interest rates in a panel of 17 countries over the period 1870-2016 controlling for other variables, in particular the world interest rate. Over this long period one can argue that most of the big changes in...

This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did not join. The analysis constructs counterfactuals using...