Rudebusch and Williams (2009) predict recessions in the United States utilising a probit model with the lagged yield spread as a real-time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyze lagged financial conditions as an alternative real-time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.

Adrian, Boyarchenko and Giannone ((2019), ABG) adapt quantile regression (QR) methods to examine the relationship between US economic growth and financial conditions. We confirm their empirical findings, using their methodology and their pre-2016 sample. Mindful of the importance of the Covid-19 pandemic, we extend the sample to 2021Q3 and find attenuation of the key estimated coefficients using ABG's empirical methods. Given the pandemic observations, we provide robust QR analysis of dependence based on ranked data and explain the relationship with extant copula modelling methods.

We explore the historical relationship between financial conditions and real economic growth for quarterly U.S. data from 1875 to 2017 with a flexible empirical copula modelling methodology. We compare specifications with both linear and non-linear dependence, and with both Gaussian and non-Gaussian marginal distributions. Our results indicate strong statistical support for models that are both non-Gaussian and nonlinear for our historical data, with considerable heterogeneity across sub-samples. We demonstrate that ignoring the contribution of financial conditions typically understates the conditional downside risks to economic growth in crises. For example, accounting for financial conditions more than doubles the probability of negative growth in the year following the 1929 stock market crash.

This paper tests for the presence of downward nominal wage rigidity in Canadian wage data for 26 occupations in 38 cities from the first half of the 20th century. The sample is of particular interest as it contains periods with average inflation rates that are close to zero as well as two sharp deflations. Results from a variety of different tests indicate that wage change distributions are consistent with the presence of downward nominal wage rigidity. However, for two subsamples containing sharp declines in output and prices, estimates of the extent of downward nominal wage rigidity are much lower. This suggests that downwards adjustments did occur during times of severe depression and deflation.

Some prominent economic experts have contended that (the early stages of) the Great Recession resembled the Great Depression. In this paper, we utilize an expert-based framework to produce probabilistic projections for output growth and ination during the recent slump. We divide our US data prior to the Great Recession into ve distinct historical eras. Each expert estimates a vector autoregressive model (VAR) on data from a unique era, with epoch dates reecting conventional timing assumptions adopted in the economic history literature. We

The past two decades have seen considerable growth in new apprenticeship registrations in Canada. However, this has not been matched by a corresponding increase in completions. Across provinces, trades and time, there is considerable variation in apprenticeship completion rates. In Canada, apprenticeship programmes are provincially regulated and there are differences in programme requirements across trades, provinces and time. This paper asks to what extent the differences in completion rates are related to differences in the structure of apprenticeship programmes. There is little evidence to support the view that either the length of the work experience term or the technical training requirement acts as a barrier to completion. However, there is some evidence to suggest that the format in which technical training is delivered is related to completion rates.

We investigate the influence of accreditation requirements on the speed of adjustment in the markets for eight building trades in 20 Canadian cities from 1971 to 2010. We aim to improve our understanding of how labour market institutions and regulations may impede adjustment in the markets for skilled labour, and therefore lead to persistent skills imbalances. Our estimates for the speed of labour market adjustment in construction trades cast doubt on characterizations of markets for skilled labour in Canada as "inflexible" and we find little evidence that longer apprenticeship programs are associated with slower labour market adjustment.

There are well-known theoretical concerns regarding the use of price correlations to determine antitrust markets. However, this has not deterred their use or the application of Granger causality, stationarity, and cointegration tests in the determination of antitrust markets. In this paper, we explore the empirical performance of these various tests. In particular, we want to know whether these tests are capable of generating the correct inference both when two products are in the same relevant market and when they are not. Our results imply that, in the absence of common shocks, simple price correlations may be capable of providing reliable evidence on market delineation. However, in samples sizes similar to those currently available, the performance of other commonly employed price-based tests suggests that they provide little economically meaningful information to antitrust practitioners.

While the OECD's (2001) Guidelines for Public Debt Management argue that the main concern of public debt management is managing the costs and risks of the public debt, they also argue that debt managers should be aware of the interdependencies between debt management and other areas of macroeconomic policy, as well as overall issues of debt sustainability. This symposium consists of four papers that are concerned with the interaction of debt management with monetary or fiscal policy in some way.

This paper provides a recursive empirical analysis of the scope for cost minimization in public debt management when the debt manager faces a given short-term interest rate dictated by monetary policy as well as risk and market impact constraints. It simulates the 'real-time' interest costs of alternative portfolios for UK government debt between April 1985 and March 2000. These portfolios are constructed using forecasts of return spreads based on a recursive modelling procedure. While we find statistically significant evidence of predictability, the interest cost savings are quite small when portfolio shares are constrained to lie within historical bounds.

This paper provides a framework for an empirical analysis of the scope for cost minimization in public debt management. It assumes that a debt manager aims at minimizing the expected cost of government’s debt portfolio for a given level of short term interest rate and subject to a number of risk and market impact constraints. The analysis is applied to the UK government debt over the period April 1985 to March 2000, by simulating “real time” interest costs of alternative portfolios constructed using monthly forecasts of return spreads based on recursive modelling (RM) procedure recently developed by Pesaran and Timmermann (1995, 2000), which limits the extent of data snooping. Statistically significant evidence of predictability of return spreads are provided before the introduction of reforms of the UK debt management system in 1995, although there seems to be little evidence of predictability once the post reform sample is included. Nevertheless, there appears to have been some scope for a small reduction in interest costs over the 1985-2000 period even if portfolio shares and their monthly changes are constrained to lie within historically observed upper and lower bounds in order to minimize the market impact effects of such changes.

Analysis of real wages for three occupations in 13 Canadian cities for 1901-50 suggests Canada had a national labour market at least until 1950. However, analysis of real wages for 10 Canadian cities for 1971-2000 yields little evidence favouring integration of Canada's regional labour markets. The apparent lack of labour market integration reflects a weakness of an approach that assumes markets are in equilibrium. Unemployment rates after 1970 suggest that some regional markets may be characterized by excess labour supply. Analysis of relative provincial unemployment rates yields evidence consistent with local labour force adjustment to changing labour market conditions.

A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this test in long-annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems arise because the long-horizon regression test of LRMN relies on estimates of the covariance of long-horizon output growth and long-horizon money growth. Copyright © 2004 John Wiley & Sons, Ltd.

Fisher and Seater [American Economic Review, 83 (1993) 402] develop a long-horizon regression test of long-run monetary neutrality and reject it in a long-annual U.S. sample. This test often fails to be rejected elsewhere. We can resolve the conflicting results.

We investigate the empirical validity of the long-run Fisher effect using a technique capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(1) or I(0). Using a variety of interest rates for the United States and Canada we find evidence supporting the existence of a long-run relationship in which the response of the nominal interest rate to a change in the inflation rate is close to (and consistent with) unity. We interpret this as evidence in favor of the Fisher effect. However, our results do not support the tax adjusted Fisher effect for Canada and provide only mixed evidence for the United States.

I explore the timing of and effects of the U.S. financial crisis, of the 1930s in a regime switching framework. Estimated conditional probabilities over the state of the financial sector suggest that a prolonged period of crisis begins not with the 1929 stock market crash, but with the first banking panic of October 1930. These probabilities also suggest that the crisis persists until the introduction of federal deposit insurance in early 1934. Consistent with the view that this financial crisis had real effects, these conditional probabilities contain additional explanatory power for output fluctuations. This is in addition to that provided by the money stock.

In this paper we test the absolute and relative purchasing power parity (PPP) hypotheses during the recent flexible exchange rate period, using quarterly data for 21 OECD countries. In doing so, we use a new econometric technique developed by M.H. Pesaran et al. [Bounds testing approaches to the analysis of long run relationships. University of Cambridge, Department of Applied Economics, Working Paper #9907]. This approach is particularly interesting as it is capable of testing the existence of long-run relations regardless of whether the underlying variables are stationary, integrated, or mutually cointegrated.

The likelihood ratio (LR) test statistic for the test of a linear AR(1) model against the alternative of a Markov switching model does not possess the standard χ2 distribution. Garcia (1998) derives the asymptotic distribution of the Sup LR test statistic under these non-standard conditions allowing the researcher to easily compare the two models. This paper examines the power properties of this test statistic using Monte Carlo experiments calibrated to U.S. output growth data. The results suggest a test of reasonable power. When the experiments are calibrated to annual data, power is 82% at 200 observations. When the experiments are calibrated to quarterly data power is 57% for the same sample size.