This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the...

In this article we examine the structural stability of predictive regression models of U.S. quarterly aggregate real stock returns over the postwar era. We consider predictive regressions models of Samp;P 500 and CRSP equal-weighted real stock returns based on eight financial variables that...

This study examines the relationship between interest rates and inflation rates for ten countries during the period 1974-1995. Monthly end-of-month Euro-deposit rates and inflation rates are used, spanning a spectrum of maturity dates ranging from one month to one year. The recent cointegration...

We examine the relationship between the relative price of nontradables and real exchange rate movements for fixed exchange rate regimes. Using BLS CPI data, we show that purchasing power parity holds strongly for tradables across U.S. regions. As a result, nontradables play a central role in...

Separability assumptions on functional structure have received a great deal of attention from econometricians and economic theorists because (1) separability provides the fundamental linkage between aggregation over goods and the maximization principles in economic theory, (2) separability...