The contribution of this paper is to derive a bivariate distribution for inflation and output uncertainty with a well-defined role for subjective judgements. The marginal distributions for inflation and output growth are derived from uncertainty in the macro variables that are deemed to be...

Viewed over the whole available history of fiat money in Sweden, high levels of inflation have been present only over a short time span. It is only in the last two decades – the seventies and the eighties – that inflation has been high, at an average of eight percent on an annual basis....

We set up and estimate a structural unobserved components open economy model for the rate of unemployment and the real exchange rate in Sweden. This approach enables us to simultaneously determine changes in both cyclical and equilibrium rates. Our results show that the Natural Rate/NAIRU has...

This paper examines two potential explanations of the January effect in the Swedish stock market for the period from January 1919 to December 1994; The tax-loss selling hypothesis and the omitted risk factor hypothesis. We document significantly higher returns in both January and July over the...

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This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by...

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The floating of a number of European currencies in 1992-93 created a new body of data on risk premia on floating exchange rates. In this paper, excess returns to investments in SEK, NOK, FIM, GBP, ITL and EPT against the DEM are investigated. We model the risk premia as functions of time varying...

This paper gives a comprehensive review of the literature on the interaction between real stock returns, inflation, and money growth, with a special emphasis on the role of monetary policy. This is an area of research that has interested monetary and financial economists for a long time....