If supplier firms can discriminate between buyers (agents) acting on behalf of employers (principals) and those making purchases for themselves, then these firms may be able to create demand-side entry barriers by creating what may be called "artificial compatibility" between otherwise unrelated...

The difference in yields between long-term and short-term securities has been used both as a business cycle leading indicator and as an indicator of the current impact of monetary policy. This paper tests for an asymmetry, in the form of a threshold effect, such that the impact of the yield...

For quantities that are approximately stationary, the information content of statistical forecasts tends to decline as the forecast horizon increases, and there exists a maximum horizon beyond which forecasts cannot provide discernibly more information about the variable than is present in the...

We consider the problem of determining the horizon beyond which forecasts from time series models of stationary processes add nothing to the forecast implicit in the conditional mean. We refer to this as the content horizon for forecasts, and define a forecast content function at horizons s =...

Using the tail index of returns on U.S. equities as a summary measure of extreme behavior, we examine changes in the equity markets surrounding the development of program trading for portfolio insurance, the crash of 1987, and the subsequent introduction of circuit breakers and other changes in...

Meteorological and economic modelling and forecasting have a number of common features, which suggest that it may be interesting to compare their recent progress in forecasting. We concentrate on two aspects of forecasting: first, measures of the value added of forecasts, and the evolution of...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the determinantal equation are well away from the unit circle, and more substantial where one or more roots...