We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-09 via a time-varying parameter[...]

This paper documents time-variation in the relation between oil price and US equity returns based on both reduced-form and structural analyses. Our reduced-form analysis [...]

Using panel data for 99 countries, we confirm that the measured elasticity of prices with respect to money is higher, and closer to unity, the higher is money growth and [...]

This paper examines the cyclical dynamics of school participation decision, using data for 16-24-year-olds attending full-time post-compulsory education in the UK in the [...]

The New Keynesian Phillips Curve, as a structural model of inflation dynamics, has mostly been used to explain past inflation developments, but has hardly been used for f[...]

We simultaneously identify two government spending shocks: military spending shocks as defined by Ramey (2011) and federal spending shocks as defined by Perotti (2008). W[...]

This paper provides a detailed empirical analysis of Canadian city housing prices. We examine the long‐run relationship between city house prices in Canada from 1985 to 2[...]

This paper investigates the effect of oil price uncertainty on global real economic activity using a quarterly vector autoregressive model with stochastic volatility in m[...]

Recent work on policy rules under uncertainty has highlighted the impact of output-gap measurement errors on economic outcomes and their importance in the formulation of [...]

This paper investigates why financial market crises often increase the interdependence between assets associated with different countries. Two sources of increased co-mov[...]