We examine monthly inflation rates of five industrial countries. The application of tests
against stationarity as well as tests against a unit root yield contradictory results. Thus …

Relations between foreign exchange risk premia, exchange rate volatility, and the volatilities
of the pricing kernels for the underlying currencies, are derived under the assumption of …

We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for
27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries …

I present a model for the term structures of nominal and real interest rates in the UK that
incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and …

Abstract The Information Content of M3 for Future Inflation in the Euro Area.—The
information content of M3 for future inflation in the euro area is investigated from a number of …

Contrary to the predictions of the rational expectations hypothesis of the term structure of
interest rates, empirical evidence suggests that the term spread between long and short …

This paper estimates the policy reaction function of the European Central Bank in the first
four years of EMU using an ordered probit model which accounts for the fact that central …

We investigate the dynamics of inflation persistence for a sample of advanced (Canada,
Sweden, and the United Kingdom) and newly industrialized and emerging market (Chile …

This paper analyzes the efficacy of SARIMA models in view of forecasting the inflation rates
in the Turkish economy. We perform rigorous tests on the stationarity and show that …

The information content of the yield curve with respect to future inflation as well as future real
economic activity is discussed. Both theoretical arguments and the empirical validity of these …