Discussion Papers

The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...

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Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a...

In the 1980s, the practice of listing stocks in several exchanges has become more frequent, and as a result investors have gained access to...

This paper looks at some of the principal characteristics of foreign exchange intervention by central banks. The approach is novel in that virtually...

A new Quadratic ARCH model for the conditional variance of a time series is introduced. This model can be interpreted as a second-order Taylor...

We develop a new microeconomic formulation for increasing social returns to labour in an overlapping generations model with production. The economy...

Financial markets occasionally exhibit extreme price fluctuations that are difficult to explain, notably October 1987. A mathematical system in which...

This paper uses an extremely high frequency data set on the Dollar-Sterling exchange rate to investigate the impact of news events on the very short...

This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar...

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Italian blue chip stocks are now actively trade in two markets: the dealers' market of SEAQ International in London and the traditional auction market...

The paper tests expectations theories for stock prices and interest rates by estimating a vector autoregressive moving average model. The existence of...

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do...

We examine recursive algorithms for learning steady states and cycle in dynamic nonlinear models. Simple generically necessary and sufficient...

We analyse the nature of financial contracts in a passive learning environment where the arrival of information is private to the entrepreneur and...