This paper introduces dynamic predictor selection into a New Keynesian model with heterogeneous expectations and examines its implications for monetary policy. We extend Branch and McGough (2006) by endogenizing the fraction of rational versus adaptive agents along the lines of Brock and Hommes (1997). We show that models that are determinate under the assumption of full rationality may possess...

We develop an empirical approach to examine static and dynamic knowledge externalities in the context of a regional total factor productivity relationship. Static externalties refer to current period scale or industry-size effects which have been labeled localization externalities or region-size effects known as agglomeration externalities. Dynamic externalities refer to the relationship betwee...

Four steroid 21-hydroxylase B [P-450(C21)B] genes (designated P.7, P.10-1, P.10-2, and P.3) from three P-450(C21)-deficient patients were isolated to analyze their structures and functions. Several base changes were observed in the sequences of the four P-450(C21)B genes as compared to that of the functional B gene. Many of these base changes were identical to those of the P-450(C21)A pseudogen...

-Angiotensin type 2 receptor-mediated effects of angiotensin II appear to counteract many of the effects mediated via the angiotensin type 1 receptor. Compound 21 (C21), a selective angiotensin type 2 receptor agonist, has demonstrated beneficial effects on cardiac function after myocardial infarction in rodents. We hypothesized that C21 alone or in combination with an angiotensin type 1 recept...

We expand Nakamura’s (2005) neural network based inflation forecasting experiment to an alternative non-linear model; a Markov switching autoregressive (MS-AR) model. The two non-linear models perform approximately on par and outperform the linear autoregressive model on short forecast horizons of one and two quarters. Furthermore, the MS-AR model is the best performer on longer horizons of thr...

We investigate non-linearities in the stock return trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for computing asymmetric impulse response functions. We find that stock returns have a significant influence on...

The present paper seeks to cast scepticism on the validity and value of the results of all earlier studies in India on energy demand analysis and forecasting based on time series regression, on three grounds. (i) As these studies did not care for model adequacy diagnostic checking, indispensably required to verify the empirical validity of the residual whiteness assumptions underlying the very ...

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what concerns investors’ risk appetite. Our preliminary analysis suggests that the VIX index displays long-...

This article empirically examines the relationship between order sizes and spreads in the foreign exchange market based on a FX dealer’s quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market. JEL classification: F31; G14