This paper demonstrates that the level of autocorrelation in the market index returns of the Brussels Stock Exchange depends on the number of securities which make up the index as well as their price adjustment delay. It also shows that the value of the systematic risk depends on both the choice of an index and the length of the differencing interval used to calculate the returns. Furthermore it highlights the fact that autocorrelation coefficients and systematic risk coefficients also exhibit seasonal fluctuations.

This paper analyses the impact of input uncertainty on labour demand. An ARCH-M model is incorporated into an error-correction framework which allows to model both short- and long-run labour demand. The conditional variance of unexpected output changes serves as a proxy for demand uncertainty. The output and employment equations are estimated simultaneously for the West-German manufacturing sector.

The paper extends the framework of the EUP to cover the effects of changes in the number of working hours. Beside this, a measure for the structural imbalances not only for the labour market (structural unemployment rate at equilibrium) but also for the goods market are presented. The empirical implementation introduces the concept of feasible working hours, which account for the maximal amount of overtime hours in the labour constraint. Simulation studies analyse the consequences of the present policy of German trade unions which bargain for a reduction of standard working hours. The main conclusions are: (i) The increasing mismatch on the goods market that is reported, basically results from an increasing mismatch on the labour market; (ii) reducing standard working hours might be a short-sighted policy; it may increase unemployment due to some induced substitution of workers by overtime work, and, moreover, due to the induced reduction of feasible working hours.

In this article, we concern ourselves with the modelling of macroeconomic time series within the unit-roots framework. We apply two approaches which seem to be well suited to model business cycles and long-run growth phenomena. First, we apply the Markov-switching model which is built around the idea that a variable may be associated with different regimes. We extend this approach to allow for asymmetries in business cycles and find that with this modification the model identifies regimes which cannot be associated with notions of the business cycle. Second, in a cointegration analysis we examine common stochastic trends and international transmission of macroeconomic shocks. The results show that transient shocks do not vanish, but have long persistent effects. Furthermore, we supplement the cointegration approach with an impulse response analysis and find that there exists a transmission of shocks between countries which indicates great international dependencies in economic activity.

L'existence d'une relation d'équilibre de long-terme entre le stock réel de monnaie, la production en volume et le taux de intérêt, joue un rôle important dans la théorie économique et la politique monétaire. Le principal objectif de cet article est de détecter l'existence une telle relation de long terme en Allemagne, au vu des changements de régiment dans la politique monétaire dans le milieu des années 1970. A cette fin, nous utilisons un test de co-intégration mis au point par Johansen (1988). La preuve empirique est très fragile et dépend fortement de la période considérée.

Exchange rate theory has recently been concerned with versions of the uncovered interest rate parity (UIP) condition, as an alternative to purchasing power parity. The UIP condition is examined, for the U.S. Dollar, the Deutschemark, the Yen, and the Swiss Franc all against the Pound Sterling, using dynamic specification tests based on residual from the LUS and OLS classes, and selected error orthogonality tests. Market errors for one currency may have an information role for other currencies, this also is tested. It is suggested that spot rates are determined by the same underlying process which requires a considerable amount of past information on market errors for efficient spot rate determination. A role for time varying risk premia is suggested.

Cet article présente une estimation économétrique de 1961 à 1986 des probabilités que l’industrie française se soit trouvée respectivement en régime keynesien et en régime de profit. Un modèle de demande de capital en déséquilibre a été testé par les moindres carrés non linéaires, en supposant que les probabilités d’apparition des régimes suivaient une loi logistique. La contrainte keynesienne de demande est mesurée par les anticipations de demande tirées des enquêtes de conjoncture. De 1975 à 1982, l’investissement industriel aurait été limité principalement par l’insuffisance des profits. De 1983 à 1986, en moyenne, l’équilibre des contraintes de demande et de profit serait rétabli.

This paper constructs and estimates a vintage model of production for manufacturing in the U.K. including the investment and scrapping decisions. The model uses a generalised Leontief flexible functional form, which allows for the testing of ex-ante and ex-post substitution. The data does not allow the rejection of some substitutability at both ex-ante and ex-post stages. The model also allows for an examination of price responsiveness of input-output coefficients. Finally the model is used to construct a capacity utilisation index.

The focus of this article is the comparison of the relative influence of different determinants of investment (demand, the relative price of capital and labour, and profit) for five large European countries and the United States. The investment equations are derived from production functions, either putty-putty or putty-clay, in the context of a disequilibrium model. The comparison of annual and quarterly estimates (after aggregation in a equivalent annual model) improves the evaluation of the precision of the parameter estimates.

In all these countries, in accordance with the accelerator effect, demand is the dominant influence in the short term, fading away in the medium term. In contrast, profit is not a predominant influence except in the medium term. Its role thus seems to result from the effect of expectations on investment profitability rather than from short run self-financing constraints. With respect to factor substitution, the analysis confirms that this is only weakly linked to changes in the relative price of capital and labour.