In this paper we introduce a cointegrated VAR modelling approach for two-country macro dynamics. In order to tackle the curse of dimensionality resulting from the number of variables in multi-country models, we investigate the applicability of the approach by Aoki (1981) frequently used in...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Exploring index of production data for six major UK manufacturing sectors, we investigate the interaction of the UK business cycle with changes in the industrial structure of the UK economy during the last three decades. We propose a Markov-switching vector equilibrium correction model with...