Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a VAR with a bivariate GARCH error process to obtain a time series of quarterly estimates of the price-output correlation for the United States for the period 1876:4-1999:4. The...

It is generally agreed that the price-output correlation in the United States was positive prior to the Second World War, but became negative during the postwar period (at least by 1972). This paper offers evidence that the price-output correlation changed signs because of a decrease in the...

We investigate the asymmetric risk–return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11–2003:12, we find a positive risk–return...