We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

Summary Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested. Specifically, a probit model as proposed by Estrella and Mishkin (1997) as well as...

In this paper, a mean adjustment scheme for unit root tests in the presence of deterministic seasonality is discussed. The Cauchy estimator for autoregressive processes provides some advantages in the application to unit root tests. In particular, it allows for asymptotically standard normal...