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...

A two-stage nonparametric and parametric approach to identifying structural change in the underlying utility function for monetary assets proves useful in exploring the existence, timing, direction, and extent of structural breaks over the 1969-85 period. Divisia monetary aggregates were...

We compare price level and income convergence since 1870 for eleven developed economies using implicit price deflators derived from the GDP data of Maddison (1995, 2001, 2003). We find that "sigma" and "beta" convergence for prices occurs later and to a lesser extent than income. Price levels...

The objective of this paper is to compare alternative models of insurance pricing as theories of the property-liability underwriting cycle. The existing literature has focused on comparing two models, the financial pricing and capacity constraint models. However, these are not the only relevant...

If nominal interest rates have a unit root, but inflation and inflation forecast errors do not, ex-ante real interest rates are argued to have a unit root and are therefore nonstationary. I show that empirical tests for nonstationarity of real interest rates using such a deductive method can be...

This study examines whether or not the volatility of stock index returns forecasted by a GARCH-M specification is consistent with the implied volatility observed in options markets. Recent data for the New York Stock Exchange Composite Index and Standard & Poor's 500 Index and their options are...