International real business cycle models predict a relationship between real exchange rates and c... more International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.
Journal of the Royal Statistical Society: Series A (Statistics in Society), 1997
A simple model of political popularity, as recorded by opinion polls of voting intentions, is pro... more A simple model of political popularity, as recorded by opinion polls of voting intentions, is proposed. We show that, as a consequence of aggregating heterogeneous poll responses under certain assumptions about the evolution of individual opinion, the time series of poll data should exhibit long memory characteristics. In an analysis of the monthly Gallup data on party support in the UK, we confirm that the series are long memory, and further show them to be virtually pure 'fractional noise' processes. An explanation of the latter result is offered. We study the role of economic indicators in predicting swings in support, perform event analyses, and use our estimates to generate post-sample forecasts to April 1997.
In a classic paper, Mundell (1965) presented a very neat indictment of inflationary finance to pr... more In a classic paper, Mundell (1965) presented a very neat indictment of inflationary finance to promote growth by showing that under a reasonable choice of parameters (see [11] below) the maximum growth rate that could be obtained in that fashion was less than 1 percent. Although as Johnson (1967), Marty (1973), Phelps (1973), Aghevli (1977), and others have pointed out, inflationary finance may actually be effective in increasing welfare (despite the apparently insignificant numbers that are involved), nobody has actually questioned the validity of Mundell's basic model and numerical results. In this paper we will show that, except in a borderline case, Mundell's model has two steady states (instead of one, as was taken for granted) and that the numerical examples focused on the one that exhibits the lowest level of real monetary balances and growth. If instead the analysis were to be based on the second steady state, a dramatically different result is found: there exists no upper bound to the steady-state seigniorage-financed rate of growth, and the latter increases without bound as the rate of expansion of the money supply approaches zero. This will be established in Section II.
... Page 4. Exploitability as a specification test of the Phillips Curve Patrick Minford and Davi... more ... Page 4. Exploitability as a specification test of the Phillips Curve Patrick Minford and David Peel (Cardiff University) ... (12) 2 Page 6. (With suitable manipulation this can be turned into a Taylor equation similar to (5); a variety of such forms can be found in eg Coenen and Wieland ...
Abstract: This paper tests for efficiency in a betting market that offers high-frequency data, th... more Abstract: This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances ...
Conditional on the Shin (Economic Journal, 103, 1993) model, the incidence of insider trading is ... more Conditional on the Shin (Economic Journal, 103, 1993) model, the incidence of insider trading is estimated in two different British betting markets: those for horse-racing and the 1997 general election. Formal testing confirms that insider trading is significantly lower in handicap than non-handicap races.
In this paper, we examine changes in the time series properties of standard housing market indica... more In this paper, we examine changes in the time series properties of standard housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating exuberance in housing markets provides a timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008-09 recession. For our investigation, we employ two recursive univariate unit root tests developed by Phillips et al. (2011) and. We also propose a novel extension of the test to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, there is also strong evidence of an unprecedented period of exuberance in the early 2000s that eventually collapsed around 2006-07, preceding the 2008-09 global recession. We find that long-term interest rates, credit growth and global economic conditions help to predict (in-sample) episodes of housing exuberance. We conclude that global macro and financial factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.
In a unique study Harbaugh, Krause and Vesterlund (2002), reported the interesting result that ch... more In a unique study Harbaugh, Krause and Vesterlund (2002), reported the interesting result that children exhibit different probability weighting to adults. In particular, children underweighted small probabilities. An objective of this paper is to re-examine this issue employing children respondents from a different ethnic background. Overall, our results for Chinese children (age 4-6) are broadly consistent with those of Harbaugh, Krause and Vesterlund (2002) in that over a range of low probabilities they appear to underweight small probabilities though not for the smallest probabilities. The outcomes for Chinese high school students, aged 11-14, are similar to those for children in some respects and broadly consistent with the results reported by Harbaugh, Krause and Vesterlund (2002). Our results for Chinese adults (age 20-57) are not consistent with the results reported for Western respondents but are consistent with those reported for some non-western respondents.
... By PATRICK MINFORD and DAVID PEEL ... natural logarithms of wages and prices, E-ix+1=expected... more ... By PATRICK MINFORD and DAVID PEEL ... natural logarithms of wages and prices, E-ix+1=expected value formed at time t - i of xt+, u = the unemployment rate, is derived, according to Phillips (1958), Lipsey (1960), Phelps (1968), as the dynamic adjustment process of 1 a ...
The Calvo contract Phillips Curve is widely indexed for general in ‡ation, using either core in ‡... more The Calvo contract Phillips Curve is widely indexed for general in ‡ation, using either core in ‡ation or other backward-looking formulae. Such a Phillips Curve implies a high and persistent degree of nominal rigidity. It is argued here that optimal indexation would by contrast use the rational expectation of in ‡ation. If this scheme is implemented, the relationship defaults to a familiar 'surprise'Phillips Curve, removing all except temporary monetary rigidity.
... Michael Cain a & David Peel b pages 379-390. ... Since the skewness of return is ... more ... Michael Cain a & David Peel b pages 379-390. ... Since the skewness of return is vastly higher for bets with low winning probability (and large returns) than for those with higher winning probability (and small returns), Golec and Tamarkin (19986. Golec, J and Tamarkin, M. (1998). ...
Peston points out that the conventional measure of unemployment (the number of persons unemployed... more Peston points out that the conventional measure of unemployment (the number of persons unemployed) is inadequate as a measure of the social and economic costs of unemployment. He outlines a new approach which consists of weighting the number of unemployed in, say, each occupation, by a relative wage rate. This paper takes up Peston's suggestion and extends it to other measures of the labour market. Attempts are then made to obtain numerical estimates of these measures and compare them with the more conventional measures.
All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without ... more All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission, provided that full acknowledgement is given.
Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news... more Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid-2004 of FED announcements. The latter result on the news content of FED announcements is consistent with the analysis of Thornton (2009) who reports an insignificant impact of FED announcements on changes in US interest rates over a sample period that has significant overlap with the one employed in this letter.
International real business cycle models predict a relationship between real exchange rates and c... more International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.
Journal of the Royal Statistical Society: Series A (Statistics in Society), 1997
A simple model of political popularity, as recorded by opinion polls of voting intentions, is pro... more A simple model of political popularity, as recorded by opinion polls of voting intentions, is proposed. We show that, as a consequence of aggregating heterogeneous poll responses under certain assumptions about the evolution of individual opinion, the time series of poll data should exhibit long memory characteristics. In an analysis of the monthly Gallup data on party support in the UK, we confirm that the series are long memory, and further show them to be virtually pure 'fractional noise' processes. An explanation of the latter result is offered. We study the role of economic indicators in predicting swings in support, perform event analyses, and use our estimates to generate post-sample forecasts to April 1997.
In a classic paper, Mundell (1965) presented a very neat indictment of inflationary finance to pr... more In a classic paper, Mundell (1965) presented a very neat indictment of inflationary finance to promote growth by showing that under a reasonable choice of parameters (see [11] below) the maximum growth rate that could be obtained in that fashion was less than 1 percent. Although as Johnson (1967), Marty (1973), Phelps (1973), Aghevli (1977), and others have pointed out, inflationary finance may actually be effective in increasing welfare (despite the apparently insignificant numbers that are involved), nobody has actually questioned the validity of Mundell's basic model and numerical results. In this paper we will show that, except in a borderline case, Mundell's model has two steady states (instead of one, as was taken for granted) and that the numerical examples focused on the one that exhibits the lowest level of real monetary balances and growth. If instead the analysis were to be based on the second steady state, a dramatically different result is found: there exists no upper bound to the steady-state seigniorage-financed rate of growth, and the latter increases without bound as the rate of expansion of the money supply approaches zero. This will be established in Section II.
... Page 4. Exploitability as a specification test of the Phillips Curve Patrick Minford and Davi... more ... Page 4. Exploitability as a specification test of the Phillips Curve Patrick Minford and David Peel (Cardiff University) ... (12) 2 Page 6. (With suitable manipulation this can be turned into a Taylor equation similar to (5); a variety of such forms can be found in eg Coenen and Wieland ...
Abstract: This paper tests for efficiency in a betting market that offers high-frequency data, th... more Abstract: This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances ...
Conditional on the Shin (Economic Journal, 103, 1993) model, the incidence of insider trading is ... more Conditional on the Shin (Economic Journal, 103, 1993) model, the incidence of insider trading is estimated in two different British betting markets: those for horse-racing and the 1997 general election. Formal testing confirms that insider trading is significantly lower in handicap than non-handicap races.
In this paper, we examine changes in the time series properties of standard housing market indica... more In this paper, we examine changes in the time series properties of standard housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating exuberance in housing markets provides a timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008-09 recession. For our investigation, we employ two recursive univariate unit root tests developed by Phillips et al. (2011) and. We also propose a novel extension of the test to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, there is also strong evidence of an unprecedented period of exuberance in the early 2000s that eventually collapsed around 2006-07, preceding the 2008-09 global recession. We find that long-term interest rates, credit growth and global economic conditions help to predict (in-sample) episodes of housing exuberance. We conclude that global macro and financial factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.
In a unique study Harbaugh, Krause and Vesterlund (2002), reported the interesting result that ch... more In a unique study Harbaugh, Krause and Vesterlund (2002), reported the interesting result that children exhibit different probability weighting to adults. In particular, children underweighted small probabilities. An objective of this paper is to re-examine this issue employing children respondents from a different ethnic background. Overall, our results for Chinese children (age 4-6) are broadly consistent with those of Harbaugh, Krause and Vesterlund (2002) in that over a range of low probabilities they appear to underweight small probabilities though not for the smallest probabilities. The outcomes for Chinese high school students, aged 11-14, are similar to those for children in some respects and broadly consistent with the results reported by Harbaugh, Krause and Vesterlund (2002). Our results for Chinese adults (age 20-57) are not consistent with the results reported for Western respondents but are consistent with those reported for some non-western respondents.
... By PATRICK MINFORD and DAVID PEEL ... natural logarithms of wages and prices, E-ix+1=expected... more ... By PATRICK MINFORD and DAVID PEEL ... natural logarithms of wages and prices, E-ix+1=expected value formed at time t - i of xt+, u = the unemployment rate, is derived, according to Phillips (1958), Lipsey (1960), Phelps (1968), as the dynamic adjustment process of 1 a ...
The Calvo contract Phillips Curve is widely indexed for general in ‡ation, using either core in ‡... more The Calvo contract Phillips Curve is widely indexed for general in ‡ation, using either core in ‡ation or other backward-looking formulae. Such a Phillips Curve implies a high and persistent degree of nominal rigidity. It is argued here that optimal indexation would by contrast use the rational expectation of in ‡ation. If this scheme is implemented, the relationship defaults to a familiar 'surprise'Phillips Curve, removing all except temporary monetary rigidity.
... Michael Cain a & David Peel b pages 379-390. ... Since the skewness of return is ... more ... Michael Cain a & David Peel b pages 379-390. ... Since the skewness of return is vastly higher for bets with low winning probability (and large returns) than for those with higher winning probability (and small returns), Golec and Tamarkin (19986. Golec, J and Tamarkin, M. (1998). ...
Peston points out that the conventional measure of unemployment (the number of persons unemployed... more Peston points out that the conventional measure of unemployment (the number of persons unemployed) is inadequate as a measure of the social and economic costs of unemployment. He outlines a new approach which consists of weighting the number of unemployed in, say, each occupation, by a relative wage rate. This paper takes up Peston's suggestion and extends it to other measures of the labour market. Attempts are then made to obtain numerical estimates of these measures and compare them with the more conventional measures.
All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without ... more All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission, provided that full acknowledgement is given.
Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news... more Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid-2004 of FED announcements. The latter result on the news content of FED announcements is consistent with the analysis of Thornton (2009) who reports an insignificant impact of FED announcements on changes in US interest rates over a sample period that has significant overlap with the one employed in this letter.
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