Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular...

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....