Ralph W. Bailey

The Impact of Deunionisation on Earnings Dispersion Revisited

This paper examines the effects of union change in Britain on changes in earnings dispersion 1983–1995. We investigate not only the decline in union density but also the greater wage compression among unionised workers, as well as changes in union density across skill groups. For the private sector, we find that deunionisation accounts for little of the increase in earnings dispersion. What unions have lost on the swings (lower density), they have gained on the roundabouts (greater wage compression). But for the public sector we find strong effects, because unions are increasingly organising the more skilled. This change in the character of public sector unions means that they no longer reduce earnings variation nearly as much as they once did.

The information content of monetary aggregates in the U.K

Abstract This paper presents some results evaluating the information content of several monetary aggregates, formed as simple sums or as Divisia quantity indices. The former tend to dominate the latter; there is considerable support for the new, broader, official monetary aggregate PSL2.

The aggregation error in Divisia monetary aggregates: Some findings for the U.K. 1963–1980

Abstract In this paper we examine the potential aggregation error or information loss in the construction of Divisia Indices of monetary aggregates for the UK. All the Indices produce no information loss; but in detail our findings differ from those for the US.

AN INTEGRAL INEQUALITY ON C([0,1]) AND DISPERSION OF OLS UNDER NEAR-INTEGRATION

We obtain an inequality for the sample variance of a vector Brownian motion on [0,1] and an associated Ornstein–Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new.

International currency speculation, market stability and efficiency in the 1920s: A time series approach

Abstract Vector autoregressive time-series modelling methodology is applied to the 1920s exchange-rate data for France, Germany, the U.S.A., Belgium, and Holland. A Wald test is found to conclusively reject the hypothesis that the forward rate is an unbiased predictor of the future spot rate for all five currencies. Details are given of various external shocks that may have influenced the exchange rates and these are dealt with by a set of dummy variables. The data series exhibit some rapid depreciations and nonstationarities of interest to econometricians and time series analysts.

The Real Part of a Complex ARMA Process

Every real ARMA(p,q) process can trivially be written as the real part of a complex ARMA(p,q) process, which we abbreviate as ReCARMA(p,q). Less trivially, every ReCARMA(p,q) process can be represented as a real ARMA(2p,p + q) process or some simpler process. This provides an alternative, ReCARMA, parametrization for real ARMA processes. The choice of which parametrization is preferable in a given context then arises. When cycles are present, the ReCARMA representation is often to be preferred as being more parsimonious, or as having parameters that are easier to interpret.

Distributional identities of beta and chi-squared variates : A geometrical interpretation

Abstract A bivariate change of variable is proposed that elucidates the major distributional identities involving the two beta distributions and the chi-squared distribution. These identities are then seen to be the consequence of simple trigonometric relationships. The extension to n dimensions clarifies further identities. There are, however, identities that seem not to fit into this scheme; three of these are reported.