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We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond strategic asset allocation problem on US data, we compute the(More)
This paper uses the flexible approach of Hamilton (2001) to investigate the nature of nonlinearities in the term structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with recent claims in the literature. We find that there is a threshold effect of volatility on the interest rate but this(More)
We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. We find that two regimes, characterized as bear and bull states, are required to characterize the dynamics of returns and short-term rates. This(More)
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models, and a range of linear specifications in addition to univariate(More)
Research on this paper was carried out while Don Bredin was an economist in the Central Bank of Ireland. The views expressed in this paper are the personal responsibility of the authors and are not necessarily held either by the Central Bank of Ireland or by the ESCB. The authors would like to thank John Frain and Richard Harris for helpful comments. All(More)
In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on UK and German aggregate and sectoral stock returns in an event study. The decomposition of the (un)expected changes in policy rates are(More)
I n th i s paper, we investigate the response of stock re turns at an indus t ry level to macroeconomic shocks for the U K , Germany and France. The betas between the stock re turns and the macroeconomic factors provide a metric for the markets view of the homogeneity of indus t ry response to the various macroeconomic shocks. We find tha t the marke t(More)
We compared expert and novice behaviour in a group of participants as they engaged in a simulated maritime driving task. We varied the difficulty of the driving task by controlling the severity of the sea state in which they were driving their craft. Increases in sea severity increased the size of the upcoming waves while also decreasing the distance(More)
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