Reaching the objective of universal access to modern energy services will require large investments in infrastructure in developing countries. An important part of funding will be provided in the form of development finance and its effectiveness in producing positive impacts is crucial for this...

It is unrealistic to conceive that economic variables or relationships follow a statistical law in which moments or parameters are kept constant over time. The focus of this dissertation is on model specification and testing of time series that are subject to gradual or sudden structural changes...

We study the determinants of Credit Default Swap (CDS) spreads through quantile regressions. The results indicate that CDS spreads are strongly determined not only by traditional theoretical variables, such as the implied volatility and put skew, but also by illiquidity costs. However, contrary...

In this paper, we examine the empirical validity of the baseline version of the forward-looking monetary policy reaction function proposed by Clarida, Gali, and Gertler (2000). For that purpose, we propose a moment conditions model averaging estimator in the Generalized Method of Moments and...

In this paper we examine, by means of Monte Carlo simulation, the properties of several cointegration tests when long run parameters are subject to structural changes. We allow for different types of stochastic and deterministic regime shifts, more specifically, changes governed by Markov...

Recent research has focused on the links between long memory and structural change, stressing the long memory properties that may arise in models with parameter changes. In this paper, we contribute to this research by comparing the forecasting abilities of long memory and Markov switching...

In this paper we propose an approach to detect persistence changes in fractionally integrated models based on recursive forward and backward estimation of the Breitung and Hassler (2002) test. This procedure generalises to fractionally integrated processes the approaches of Leybourne, Kim, Smith...

We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-off deterministic breaks, our approach has the advantage of allowing for an...

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly...