While increased attention has, of late, focussed on models of house prices, few, if any, studies have examined house prices from a purely forecasting perspective. However, the need for accurate and timely forecasts of house prices has grown as the rate of house price inflation is more and more...

This paper is a product of the ongoing re-estimation of the Irish macro model. This is part of the EMI Multicountry Model. The paper is concerned with the estimation of a system of equations, which seek to capture the salient features of the supply-side of the Irish economy. Expressions are...

In this paper, more advanced models of the Irish supply side are examined and applied. In particular, a specification of a flexible and dynamic model, which nests more traditional approaches, is adopted. The approach consists of a two-stage process. Firstly, a static translog cost function for...

This paper applies the Diebold and Yilmaz (2009, 2012) methodology to assess spillovers in euro area sovereign bond markets. Our analysis identifies a number of phases of interaction in those markets in recent years. We find a substantial increase in spillover between euro area sovereign bond...

We employ Diebold and Yilmaz’s (2009, 2012) spillover approach to study the relationship between US money and financial assets since 2000. We find that sizeable spillovers arise during periods of economic and financial turbulence (after the 11 September 2001 terrorist attacks, the post-Lehman...

Applying a t-DCC-GARCH model to daily spread data, four phases of interaction in euro area sovereign bond markets are identifi ed between January 2008 and June 2013. The initial period (January-October 2008) is followed by a general rise in pairwise correlation values between November 2008 and...

We argue that long run and dynamic relationships should exist between commodity prices, consumer prices and money. Using a cointegrating VAR framework and US data, our empirical analysis shows equilibrium relationships existing between money, commodity prices and consumer prices, with both...

The financial crisis has had the effect of focusing attention on the role of liquidity, but more specifically excess liquidity, in driving asset prices to unsustainable bubble levels. We think this focus is fully warranted. However, we consider that, in this critical relationship between money...