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Keywords:Great Britain 

Journal Article
British industry leader optimistic about UK's prospects for growth
AUTHORS: anonymous
DATE: 1997-01

Journal Article
The U.S. trade deficit: a perspective from selected bilateral trade models
AUTHORS: Bergstrand, Jeffrey H.
DATE: 1987-05

Journal Article
Should the U.S. government issue index bonds?
AUTHORS: Grolnic, Joseph B.; Munnell, Alicia H.
DATE: 1986-09

Working Paper
A comparison of discount rate models using international stock market data
This paper compares the ability of four discount rate models to explain the cross-sectional and time-series variation of stock returns in the U.S., Japan, England, Germany, and Canada. The data consist of quarterly returns (in dollars) on Morgan Stanley's Capital International indices for the period 1972 through 1991. The following four models are considered: (1) A consumption CAPM model, linking the discount rate to the intertemporal marginal rate of substitution in consumption, (2) A production CAPM model, linking the discount rate to the intertemporal marginal rate of transformation in production, (3) A traditional CAPM model, linking the discount rate to the stock returns themselves, and (4) A constant (identical) discount rate model, which rules out risk premia, and therefore provides a useful benchmark. ; The main result is that a production-based CAPM (Cochrane(1991)) performs at least as well as the more standard consumption-based CAPM in explaining variation in national equity markets. However, as with the CCAPM, there is something of an `Equity Premium Puzzle' associated with a simple frictionless PCAPM. In particular, very high depreciation rates or low elasticities of substitution between capital and labor are required to fit the data. The intuition is as follows - Viewed from either the consumption or production side, the challenge is to explain why small changes in quantity variables are associated with large changes in relative prices. In the CCAPM this requires very curved indifference curves (i.e., a large coefficient of relative risk aversion), whereas in the PCAPM this requires very curved isoquants (i.e., a low elasticity of substitution between capital and labor).
AUTHORS: Kasa, Kenneth
DATE: 1994

Journal Article
Gilt by association: uncovering expected inflation
An argument that U.S. inflation expectations are better measured by comparing U.S. treasury bonds with British "gilts" -- marketable securities linked to a broad index of retail prices -- than by surveys or econometric models.
AUTHORS: Haubrich, Joseph G.; Dombrosky, Ann M.
DATE: 1992-06

Journal Article
Britain's borrowed time
AUTHORS: Riordan, Michael
DATE: 1976

Journal Article
The Old Lady of Threadneedle Street gets her independence
AUTHORS: Walsh, Carl E.
DATE: 1997

Journal Article
The sources of the growth slowdown
AUTHORS: Motley, Brian
DATE: 1993

Working Paper
What makes a region entrepreneurial? evidence from Britain
There is a great deal of variation in the levels of entrepreneurship, or rates of self-employment, across the regions of Britain. Over the period 1983-95, average self-employment in the North, Scotland, and the West Midlands was respectively 25%, 15%, and 15% lower than the national average, whereas in the South West, East Anglia, and Wales it was respectively 28%, 23%, and 21% higher. We develop a theoretical model of regional self-employment, and estimate the roles of labour market conditions, labour force characteristics, industry composition, and region-specific factors such as entrepreneurial human capital. Our results suggest that all of these factors are important, and that regional heterogeneity and regionally correlated disturbances must be accounted for when estimating regional self-employment relationships
AUTHORS: Wall, Howard J.; Georgellis, Yannis
DATE: 1999

Working Paper
Regime shifts in mean-variance efficient frontiers: some international evidence
Regime switching models have been assuming an increasingly central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. After reviewing key concepts and technical issues related to specifying, estimating, and using multivariate Markov switching models in financial applications, in this paper we examine how the presence of regimes in means, variances, and covariances of asset returns translates into explicit dynamics of the Markowitz mean-variance frontier. In particular, we show both theoretically and through an application to international equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in statistical and in economic terms. Using Morgan Stanley Capital International (MSCI) investable indices for five countries/macro-regions, we characterize mean-variance frontiers and optimal portfolio strategies in bull periods, in bear periods, and in periods where high uncertainty exists on the nature of the current regime.
AUTHORS: Guidolin, Massimo; Ria, Federica
DATE: 2010



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Ericsson, Neil R. 4 items

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McCauley, Robert N. 3 items

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