#2008-025A "Is Inflation an International Phenomenon?"
by Christopher J. Neely, and David E. Rapach
August 2008

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. More...

#2008-018A "Real Interest Rate Persistence: Evidence and Implications"
by Christopher J. Neely, and David E. Rapach
June 2008

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the time-series properties of real interest rates. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2008, 90(6), pp. 609-41

#2008-012A "Inflation, Monetary Policy and Stock Market Conditions"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2008

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. More...

#2008-010A "Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?"
by Massimo Guidolin, Stuart Hyde, David McMillan, and Sadayuki Ono
April 2008

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. More...

#2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
by Nikola Gradojevic, and Christopher J. Neely
February 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. More...

#2008-005A "Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK"
by Massimo Guidolin, and Stuart Hyde
January 2008

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. More...

#2008-004C "Income and Lottery Sales: Transfers Trump Income from Work and Wealth"
by Cletus C. Coughlin, and Thomas A. Garrett
March 2008
Revised August 2008

The effect of income on lottery expenditures has generally been studied using an aggregate measure of income, usually personal income. More...

FORTHCOMING: Public Finance Review

#2008-001A "Multivariate Markov Switching With Weighted Regime Determination: Giving France More Weight than Finland"
by Michael J. Dueker, and Martin Sola
January 2008

This article deals with using panel data to infer regime changes that are common to all of the cross section. The methods presented here apply to Markov switching vector autoregressions, dynamic factor models with Markov switching and other multivariate Markov switching models. More...

#2007-047B "Multivariate Forecast Evaluation and Rationality Testing"
by Ivana Komunjer, and Michael T. Owyang
October 2007

In this paper, we propose a new family of multivariate loss functions that can be used to test the rationality of vector forecasts without assuming independence across individual variables. More...

#2007-032B "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007
Revised October 2008

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. More...