We estimate forward-looking interest-rate reaction functions for the G3 economies and for a group of countries which recently adopted inflation targets. Some significant shifts in the conduct of monetary policy are detected in the G3 countries, especially in the USA and Japan. In contrast with...

In this paper we present several new measures of gross-output-based total factor (multifactor) productivity (TFP) at the sectoral level for manufacturing industries in the G7 economies. We calculate measures of both total factor productivity growth and comparative productivity levels. These are...

In this paper we estimate industry-level VAR models at the 4- digit SIC level for a number of US manufacturing sectors, using TFP series which allow for variable factor utilisation over the cycle. This allows us to verify the relevance of alternative theoretical modelling approaches to the...

A basic analysis of stock market excess return data shows both linear and non-linear dependence present. Previous papers have used this to argue that it must therefore be possible to predict future values. However, this paper shows that the linear and non-linear dependence can be explained by...

This paper estimates VAR models to examine the response of monetary and fiscal policy to macroeconomic targets, and the interdependence between the two policy instruments. The models are estimated for a number of G7 countries. Our findings show that, whilst monetary and fiscal policy are...

We present empirical evidence on the forces driving real exchange rates in the longrun. Using data from three industrialised countries, we find support for the hypothesis that productivity and fiscalshocks matter. There is also evidence, however, that the impact of fiscal shocks only matters in...

We present empirical evidence on the forces driving real exchange rates in the longrun. Using data from three industrialised countries, we find support for the hypothesis that productivity and fiscalshocks matter. There is also evidence, however, that the impact of fiscal shocks only matters in...