Discussion Papers

The ICMA Centre is dedicated to high quality academic research in all financial markets, broadly defined. Well over 100 discussion papers are available to download (see menu on left). 

2014 Series

All discussion papers are downloadable on the SSRN website.

Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment

Reference: 2014-2
Authors: Michael P Clements

We consider whether imposing long-run restrictions on survey respondents’ long-horizon forecasts will enhance their accuracy. The restrictions are motivated by the belief that the macro-variables consumption, investment and output move together in the long run, and that this should be evident in long-horizon forecasts. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We find a modest overallContinue reading


Did Purchasing Power Parity Hold in Medieval Europe?

Reference: 2014-1
Authors: Adrian R. Bell, Chris Brooks and Tony K Moore

This paper employs a unique, hand-collected dataset of exchange rates for five major currencies (the lira of Barcelona, the pound sterling of England, the pond groot of Flanders, the florin of Florence and the livre tournois of France) to consider whether the law of one price and purchasing power parity held in Europe during the late fourteenth and early fifteenth centuries. Using single seriesContinue reading