Details about Stephen George Hall

E-mail:
Phone:	+44(0)116 252 2827
Postal address:	Dept of Economics, University of Leicester, University Rd. Leicester,LE1 7RH, UK
Workplace:	National Institute of Economic and Social Research (NIESR), (more information at EDIRC) Department of Economics, Leicester University, (more information at EDIRC) Bank of Greece, (more information at EDIRC) Department of Economics, Faculty of Economic and Management Sciences, University of Pretoria, (more information at EDIRC)

Access statistics for papers by Stephen George Hall.

Last updated 2009-11-20. Update your information in the RePEc Author Service.

Short-id: pha110

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Working Papers

2009

1. How Far From the Euro Area? Measuring Convergence of Inflation Rates in Eastern Europe
   Discussion Papers in Economics, Department of Economics, University of Leicester
2. Measuring Convergence of the New Member Countries’ Exchange Rates to the Euro
   Discussion Papers in Economics, Department of Economics, University of Leicester

2008

3. A Portfolio Balance Approach to Euro-Area Money Demand in a Time-Varying Environment
   Discussion Papers in Economics, Department of Economics, University of Leicester
   Also in Working Papers, Bank of Greece (2007)
4. A Test of the Balassa-Samuelson Effect Applied to Chinese Regional Data
   Discussion Papers in Economics, Department of Economics, University of Leicester
5. Estimation of Parameters in the Presence of Model misspecification and Measurement Error
   Discussion Papers in Economics, Department of Economics, University of Leicester
6. Spatial Interdependencies of FDI Locations: A Lessening of the Tyranny of Distance?
   Discussion Papers in Economics, Department of Economics, University of Leicester View citations
   Also in Working Papers, Bank of Greece (2008) View citations
7. The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?
   Discussion Papers in Economics, Department of Economics, University of Leicester View citations

2007

8. A New Look at Economic Convergence in Europe: A Common Factor Approach
   Discussion Paper Series, Department of Economics, Loughborough University View citations
   See also Journal Article in International Journal of Finance & Economics (2009)
9. Production Constraints and the NAIRU
   Economics Discussion Papers, Kiel Institute for the World Economy
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)

2006

10. A COMPARISON BETWEEN TESTS FOR CHANGES IN THE ADJUSTMENT COEFFICIENTS IN COINTEGRATED SYSTEMS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
11. Financial Crisis, Effective Policy Rules and Bounded Rationality in a New Keynesian Framework
    NIESR Discussion Papers, National Institute of Economic and Social Research
12. Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries
    Working Papers, Bank of Greece View citations
    See also Journal Article in Economic Change and Restructuring (2006)

2005

13. Non-Linear Properties of Currency Crises in Emerging Markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group

2004

14. Density Forecast Combination
    NIESR Discussion Papers, National Institute of Economic and Social Research View citations
15. Foreign Direct Investment And Exchange Rate Uncertainty In Imperfectly Competitive Industries
    Royal Economic Society Annual Conference 2004, Royal Economic Society
    Also in Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group (2004)
    NIESR Discussion Papers, National Institute of Economic and Social Research (2003)
16. Foreign direct investment in industrial R&D and exchange rate uncertainty in the UK
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations
    Also in NIESR Discussion Papers, National Institute of Economic and Social Research (2003)
17. Optimal combination of density forecasts
    NIESR Discussion Papers, National Institute of Economic and Social Research
18. Testing the Pooling Assumption in an Industry Panel of R&D Investment: What Do We Learn?
    NIESR Discussion Papers, National Institute of Economic and Social Research

2003

19. An Indicator Measuring Underlying Economic Activity in Greece
    Working Papers, Bank of Greece View citations
20. Measuring the Correlation of Shocks between the UK and the Core of Europe
    NIESR Discussion Papers, National Institute of Economic and Social Research
    See also Journal Article in Journal for Economic Forecasting (2008)

2002

21. Bargaining Models and Identifying the Wage Equation
    Royal Economic Society Annual Conference 2002, Royal Economic Society

2001

22. Rational expectations and near rational alternatives: how best to form expectations
    Working Paper Series, European Central Bank View citations

1999

23. Inflation Targeting: The Delegation and Co-Ordination of Monetary Policy
    Computing in Economics and Finance 1999, Society for Computational Economics
24. Modelling Economies in Transition: An Introduction
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences
    See also Journal Article in Economic Modelling (2000)
25. On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices
    Computing in Economics and Finance 1999, Society for Computational Economics View citations
26. Testing for Common Cycles in Money, Nominal Income and Prices
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Manchester School (2003)

1993

27. Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence
    CESifo Working Paper Series, CESifo Group Munich
    Also in Documentos de Trabajo (working papers), Department of Economics - dECON (1993)
    See also Journal Article in European Economic Review (1994)
28. Structural breaks and GARCH modelling
    Documentos de Trabajo (working papers), Department of Economics - dECON

Undated

29. An investigation of the effect of funding on the slope of the yield curve
    Bank of England working papers, Bank of England View citations
30. Evolving Market Efficiency with an Application to Some Bulgarian Shares
    Ace Project Memoranda, Department of Economics, University of Leicester
    See also Journal Article in Economic Change and Restructuring (1997)
31. Learning about Monetary Union: an analysis of boundedly rational learning in European labour markets
    NIESR Discussion Papers, National Institute of Economic and Social Research
32. Modelling Emerging Financial Markets and their Approach to Market Efficiency
    Computing in Economics and Finance 1996, Society for Computational Economics

Journal Articles

2009

1. A new look at economic convergence in Europe: a common factor approach
   International Journal of Finance & Economics, 2009, 14, (1), 85-97
   See also Working Paper (2007)
2. Foreign Direct Investment in R&D and Exchange Rate Uncertainty
   Open Economies Review, 2009, 20, (2), 207-223 View citations
3. Where Has All the Money Gone? Wealth and the Demand for Money in South Africa†
   Journal of African Economies, 2009, 18, (1), 84-112

2008

4. Foreign direct investment and exchange rate uncertainty in South-East Asia
   International Journal of Finance & Economics, 2008, 13, (4), 349-359 View citations
5. Measuring the Correlation of Shocks Between the UK and the Core of Europe
   Journal for Economic Forecasting, 2008, 5, (1), 17-26
   See also Working Paper (2003)
6. Production Constraints and the NAIRU
   Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, (11), 1-15
   See also Working Paper (2007)

2007

7. Combining density forecasts
   International Journal of Forecasting, 2007, 23, (1), 1-13 View citations

2006

8. Evaluating policy feedback rules using the joint density function of a stochastic model
   Economics Letters, 2006, 93, (1), 1-5
9. Measuring the correlation of shocks between the EU15 and the new member countries
   Economic Change and Restructuring, 2006, 39, (1), 19-34 View citations
   See also Working Paper (2006)

2005

10. A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates
    Open Economies Review, 2005, 16, (2), 107-133
11. Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR 'Fan' Charts of Inflation
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 995-1033
12. Interest rate linkages: a Kalman filter approach to detecting structural change
    Economic Modelling, 2005, 22, (2), 253-284 View citations
13. Interest rate linkages: identifying structural relations
    Applied Financial Economics, 2005, 15, (14), 977-986 View citations

2004

14. Expectations Formation and the 1990s ERM Crisis/Formación de expectativas y crisis del S.M.E en la década de los noventa
    Estudios de Economía Aplicada, 2004, 22, 161-174
15. Would adopting the Australian dollar provide superior monetary policy in New Zealand?
    Economic Modelling, 2004, 21, (6), 949-964 View citations

2003

16. Evaluating the Gains to Cooperation in the G-3
    Empirica, 2003, 30, (4), 337-356 View citations
17. S.G.B. Henry: a memoir and a festschrift essay
    Economic Modelling, 2003, 20, (2), 227-236
18. Testing for Common Cycles in Money, Nominal Income and Prices
    Manchester School, 2003, 71, (Supplement), 68-84 View citations
    See also Working Paper (1999)

2002

19. A Non-parametric Approach to Pricing and Hedging Derivative Securities: With an Application to LIFFE Data
    Computational Economics, 2002, 19, (3), 303-22
20. Foreign Exchange Market Efficiency and Cointegration
    Applied Financial Economics, 2002, 12, (2), 131-39 View citations
21. Measuring the Capital Stock in Russia: An Unobserved Component Model
    Economic Change and Restructuring, 2002, 35, (4), 365-70 View citations
22. Modelling Economic Policy Responses with an Application to the G3
    Annales d'Economie et de Statistique, 2002, (67-68), 14 View citations
23. On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices
    Journal of Economic Dynamics and Control, 2002, 26, (9-10), 1517-1537 View citations
24. The 1998 Russian crisis: could the exchange rate volatility have predicted it?
    Journal of Policy Modeling, 2002, 24, (2), 151-168

2001

25. Coordination and price shocks: an empirical analysis
    Economic Modelling, 2001, 18, (4), 569-584 View citations
26. Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment
    Journal of Forecasting, 2001, 20, (6), 441-49 View citations
27. Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates
    International Journal of Finance & Economics, 2001, 6, (2), 127-38 View citations

2000

28. Do Market Participants Learn? The Case of the Budapest Stock Exchange
    Economic Change and Restructuring, 2000, 33, (1-2), 3-18
29. Modelling economies in transition: an introduction
    Economic Modelling, 2000, 17, (3), 339-357 View citations
    See also Working Paper (1999)
30. Unemployment and the capital stock: a dynamic structural model of the UK supply side
    Economic Modelling, 2000, 17, (3), 415-437 View citations

1999

31. A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1999, 61, 749-67 View citations
32. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 View citations
33. Examining the first stages of market performance: a test for evolving market efficiency
    Economics Letters, 1999, 64, (1), 1-12 View citations
34. Shock Hunting: The Relative Importance of Industry-Specific, Region-Specific and Aggregate Shocks in the OECD Countries
    Manchester School, 1999, 67, 49-65 View citations
35. Stylized Facts of the Business Cycle Revisited: A Structural Modelling Approach
    International Journal of Finance & Economics, 1999, 4, (3), 253-68 View citations

1998

36. Aggregate demand and aggregate supply in UK regions
    Journal of Economic Studies, 1998, 25, (4), 260-276 View citations
37. Modelling and forecasting UK public finances
    Fiscal Studies, 1998, 19, (1), 63-81 View citations

1997

38. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 View citations
39. E-equilibria and adaptive expectations: Output and inflation in the LBS model
    Journal of Economic Dynamics and Control, 1997, 21, (7), 1149-1171 View citations
40. Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990
    International Journal of Finance & Economics, 1997, 2, (1), 29-37
41. Evolving Market Efficiency with an Application to Some Bulgarian Shares
    Economic Change and Restructuring, 1997, 30, (2-3), 75-90 View citations
    Also in Economic Change and Restructuring, 1997, 30, (2), 75-90 (1997) View citations
    See also Working Paper
42. Learning about monetary union: An analysis of bounded rational learning in European labor markets
    Journal of Policy Modeling, 1997, 19, (5), 469-489
43. Measuring Economic Convergence
    International Journal of Finance & Economics, 1997, 2, (2), 131-43 View citations
44. Stabilizing energy related CO2 emissions for India
    Energy Economics, 1997, 19, (1), 125-150
45. Switching error-correction models of house prices in the United Kingdom
    Economic Modelling, 1997, 14, (4), 517-527 View citations

1996

46. Carbon abatement costs: an integrated approach for India
    Environment and Development Economics, 1996, 1, (01), 41-63
47. Endogenous technical progress in fossil fuel demand: The case of France
    Journal of Policy Modeling, 1996, 18, (2), 141-155
48. Measuring Underlying Economic Activity
    Journal of Applied Econometrics, 1996, 11, (2), 135-51 View citations
49. Modelling economies subject to structural change: The case of Germany
    Economic Modelling, 1996, 13, (4), 545-559 View citations

1995

50. A Proposed Framework for Monetary Policy
    Applied Economics Letters, 1995, 2, (5), 135-38
51. Macroeconomics and a Bit More Reality
    Economic Journal, 1995, 105, (431), 974-88 View citations
52. Model consistent learning and regime switching in the London Business School model
    Economic Modelling, 1995, 12, (2), 87-95
53. Price and Quantity Responses to Cost and Demand Shocks
    Oxford Bulletin of Economics and Statistics, 1995, 57, (2), 185-204 View citations

1994

54. Forecasting Economies in Transition: The Case of Romania
    Economic Change and Restructuring, 1994, 27, (3), 175-84 View citations
55. Is the Bundesbank Different from Other Central Banks: A Study Based on P
    Empirical Economics, 1994, 19, (4), 691-707 View citations
56. Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
    European Economic Review, 1994, 38, (6), 1257-1276 View citations
    See also Working Paper (1993)
57. Robust optimal decisions with stochastic nonlinear economic systems
    Journal of Economic Dynamics and Control, 1994, 18, (1), 125-147 View citations
58. The Relevance of P-Star Analysis to UK Monetary Policy
    Economic Journal, 1994, 104, (424), 597-604 View citations
59. Transportation and energy in Santiago, Chile
    Transport Policy, 1994, 1, (4), 233-243

1993

60. Modelling Structural Change Using the Kalman Filter
    Economic Change and Restructuring, 1993, 26, (1), 1-13 View citations
61. Modelling the Sterling Effective Exchange Rate Using Expectations and Learning
    The Manchester School of Economic & Social Studies, 1993, 61, (3), 270-86 View citations

1992

62. A Systems Approach to the Relationship between Consumption and Wealth
    Applied Economics, 1992, 24, (10), 1165-71 View citations
63. Measuring Convergence of the EC Economies
    The Manchester School of Economic & Social Studies, 1992, 60, 99-111 View citations
64. Measuring Efficiency and Risk in the Major Bond Markets
    Oxford Economic Papers, 1992, 44, (4), 599-625 View citations
65. Testing a Discrete Switching Disequilibrium Model of the UK Labour Market
    Journal of Applied Econometrics, 1992, 7, (1), 83-91

1991

66. An Application of the Stochastic GARCH-in-Mean Model to Risk Premia in the London Metal Exchange
    The Manchester School of Economic & Social Studies, 1991, 59, 57-71 View citations
67. Cointegration in Recursive Systems
    Economic Journal, 1991, 101, (405), 239-51 View citations
68. Sterling's Relationship with the Dollar and the Deutschemark: 1976-89
    Economic Journal, 1991, 101, (406), 436-43 View citations
69. The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors
    Scottish Journal of Political Economy, 1991, 38, (4), 317-23 View citations

1990

70. An Algorithm for the Solution of Stochastic Optimal Control Problems for Large Nonlinear Econometric Models
    Journal of Applied Econometrics, 1990, 5, (4), 393-99 View citations
71. Manufacturing Stocks: Expectations, Risk and Co-integration
    Economic Journal, 1990, 100, (402), 756-72 View citations

1989

72. An Investigation of the Long-run Properties of Aggregate Non-durable Consumers' Expenditure in the United Kingdom
    Economic Journal, 1989, 99, (396), 454-60 View citations
73. Maximum Likelihood Estimation of Cointegration Vectors: An Example of the Johansen Procedure
    Oxford Bulletin of Economics and Statistics, 1989, 51, (2), 213-18 View citations
74. Modelling Asset Prices with Time-Varying Betas
    The Manchester School of Economic & Social Studies, 1989, 57, (4), 340-56 View citations
75. The UK Labour Market; Expectations and Disequilibrium
    Applied Economics, 1989, 21, (11), 1509-23

1988

76. Analysing Unstable Policy Prescriptions in Linear Difference Models with Rational Expectations
    Bulletin of Economic Research, 1988, 40, (3), 217-25
77. Rationality and Siegel's Paradox, the Importance of Coherency in Expectations
    Applied Economics, 1988, 20, (11), 1533-40

1987

78. A Forward Looking Model of the Exchange Rate
    Journal of Applied Econometrics, 1987, 2, (1), 47-60 View citations
79. An Investigation of Time Inconsistency and Optimal Policy Formulation in the Presence of Rational Expectations Using the National Institute's Model 7
    Applied Economics, 1987, 19, (9), 1175-85

1986

80. A dynamic econometric model of the UK with rational expectations
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 219-223 View citations
81. An Application of the Granger & Engle Two-Step Estimation Procedure to United Kingdom Aggregate Wage Data
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 229-39 View citations
82. Disequilibrium models with rational expectations: An application to the UK labour market
    Economics Letters, 1986, 21, (3), 215-220
83. Estimating the Uncertainty of the Simulation Properties of Large Nonlinear Econometric Models
    Applied Economics, 1986, 18, (9), 985-93 View citations
84. Forecasting employment: The role of forward-looking behaviour
    International Journal of Forecasting, 1986, 2, (4), 435-445
85. Forecasting with an Econometric Model: Some Recent Results Using the National Institute Model
    Journal of Applied Econometrics, 1986, 1, (2), 163-83
86. Manufacturing Stocks and Forward-Looking Expectations in the UK
    Economica, 1986, 53, (212), 447-65 View citations
87. The Application of Stochastic Simulation Techniques to the National Institute's Model 7
    The Manchester School of Economic & Social Studies, 1986, 54, (2), 180-201 View citations
88. The use of prior regressions in the estimation of error correction models
    Economics Letters, 1986, 20, (1), 33-37
89. Time inconsistency and optimal policy formulation in the presence of rational expectations
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 323-326

1985

90. Forecasting with a Rational Expectations Model of the UK: A Comment
    Oxford Bulletin of Economics and Statistics, 1985, 47, (4), 337-45
91. On the Solution of Large Economic Models with Consistent Expectations
    Bulletin of Economic Research, 1985, 37, (2), 157-61 View citations

1984

92. On the Solution of High Order, Symmetric, Difference Equations
    Oxford Bulletin of Economics and Statistics, 1984, 46, (1), 85-88

1983

93. Money and the Walrasian Utility Function
    Oxford Economic Papers, 1983, 35, (2), 247-53 View citations

1982

94. Money and the Economics of Leon Walras
    Scottish Journal of Political Economy, 1982, 29, (3), 246-55

1980

95. Scarcity, energy and economic progress: by Ferdinand E. Banks 200 pp, [UK pound]10.50, Lexington books, Lexington, MA, 1978
    Energy Economics, 1980, 2, (1), 60-61

Editor

1. Economic Modelling
   Elsevier