Search Results - "Hall, Stephen George"

Combining density forecasts by Hall, Stephen G., Mitchell, James

“…This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It…”
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Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR 'Fan' Charts of Inflation by Mitchell, James, Hall, Stephen G.

“…This paper proposes and analyses the Kullback–Leibler information criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density…”
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Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries? by Hall, Stephen, Hondroyiannis, George, Swamy, P.A.V.B., Tavlas, George, Ulan, Michael

“…Authors who do not distinguish between Emerging Market Economies (EMEs) and other developing countries, find evidence of negative and significant effects of…”
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How far from the Euro Area? Measuring convergence of inflation rates in Eastern Europe by Becker, Bettina, Hall, Stephen G.

“…We present a common factor framework of convergence which we implement using principal components analysis. We apply this technique to a dataset of monthly…”
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Production Constraints and the NAIRU by Hall, Stephen George, Driver, Ciaran

“…This paper argues that the production constraints in the basic NAIRU model should be distinguished by type: capital constraints and labour constraints. It…”
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Introduction to the special issue in honour of Wojciech Charemza by Hall, Stephen G., Ladley, Dan

“…Issue Title: Double Special Issue: in honour of Woijtek Charemza…”
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Arnold Zellner: January 2nd 1927–August 11th 2010 by Hall, Stephen G., Klein, Lawrence R., Tavlas, George S.

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Introduction: P.A.V.B. Swamy's contribution to Econometrics by Hall, Stephen G., Klein, Lawrence R., Tavlas, George S., Zellner, Arnold

“…This paper introduces this special issue of Economic Modelling which marks the significant contribution made by P.A.V.B Swamy to econometrics. His work spans…”
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Evaluating policy feedback rules using the joint density function of a stochastic model by Barrell, R., Hall, S.G., Hurst, I.

“…The practise of evaluating feedback rules in stochastic models using marginal distributions implies the loss of considerable information. It is possible to use…”
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Financial crisis, effective policy rules and bounded rationality in a New Keynesian framework by Al-Eyd, Ali J., Hall, Stephen G.

“…This paper extends a standard open-economy New Keynesian model to include a third-generation “balance sheet effect” which is made operational through an…”
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BRETTON-WOODS SYSTEMS, OLD AND NEW, AND THE ROTATION OF EXCHANGE-RATE REGIMES by HALL, STEPHEN G., HONDROYIANNIS, GEORGE, SWAMY, P. A. V. B., TAVLAS, GEORGE S.

“…A recent contribution to the literature argues that the present international monetary system operates like the Bretton‐Woods system. Asia is the new periphery…”
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Assessing the causal relationship between euro-area money and prices in a time-varying environment by Hall, Stephen G., Hondroyiannis, George, Swamy, P.A.V.B., Tavlas, George S.

“…The paper provides new evidence on the causal relationship between money and price for the euro area using quarterly data for the period 1980 to 2006,…”
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Measurement of causal effects by Swamy, P. A. V. B., Hall, Stephen G. F.

“…Three types of stochastic coefficient models can be identified: models with “individually-varying”, “time-varying” and “individually- and time-varying”…”
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Examining the first stages of market performance: a test for evolving market efficiency by Zalewska-Mitura, Anna, Hall, Stephen G

“…A new test of whether markets evolve through detecting changes in weak-form efficiency is proposed. The test is evaluated through Monte Carlo simulations…”
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On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices by Greenslade, Jennifer V, Hall, Stephen G, Henry, S.G.Brian

“…This paper discusses the practical application of identification in cointegrated systems. It will argue that in a common realistic modelling situation of a…”
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Interest rate linkages: a Kalman filter approach to detecting structural change by Barassi, Marco R., Caporale, Guglielmo Maria, Hall, Stephen G.

“…This paper investigates changes in the causal structure linking of the G-7 short-term rates by estimating time-varying speed of adjustment coefficients in…”
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Interest rate linkages: identifying structural relations by Barassi, Marco R., Caporale, Guglielmo Maria, Hall, Stephen G.

“…This paper examines the structural linkages that may exist between the G7 national interest rates. Its aim is to exploit some new techniques in cointegration…”
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Measuring the correlation of shocks between the EU15 and the new member countries by Hall, Stephen George, Hondroyiannis, George

“…This paper considers the question of the symmetry of inflation, exchange rate changes and GDP shocks between the EU15 and the new member countries. It applies…”
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Testing for Common Cycles in Money, Nominal Income and Prices by Hall, Stephen, Shepherd, David

“…In this paper we consider whether common cyclical dynamics can be identified in the money–inflation relationships suggested by the quantity theory of money…”
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The 1998 Russian crisis: could the exchange rate volatility have predicted it? by Basdevant, Olivier, Hall, Stephen G.

“…The purpose of this paper is to examine the exchange rate volatility of the ruble, before the August 1998 crisis, using a macro-economic model of the Russian…”
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