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.

This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.

We test the inflation-real marginal cost relationship using data for the United States over the period 1965-2009. We utilize the ARDL bounds approach of Pesaran et al. (2001). We find that higher marginal costs increase inflation.