This paper provides new insights on the relationship between money growth and inflation in the euro area over the last forty years. This highly relevant link for the European Central Bank monetary policy strategy is assessed using wavelet analysis. In particular, wavelet analysis allows to study...

The measurement of market risk poses major challenges to researchers and different economic agents. On one hand, it is by now widely recognized that risk varies over time. On the other hand, the risk profile of an investor, in terms of investment horizon, makes it crucial to also assess risk at...

The assessment of synchronization of macroeconomic fluctuations across countries or regions has been crucial, for example, for the debate on economic integration. In this paper, we propose a multivariate measure of synchronization to assess cohesion across countries or regions by resorting to...

It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet multiresolution analysis, a time series can be decomposed into different time-scale components and a model can be fitted to each component to improve the forecast accuracy of the...

The measurement of comovement among variables has a long tradition in the economic and financial literature. Traditionally, comovement is assessed in the time domain through the well-known correlation coefficient while the evolving properties are investigated either through a rolling window or...

The statistical modelling of extreme values has recently received substantial attention in a broad spectrum of sciences. Given that in a wide variety of scenarios, one is mostly concerned with explaining tail events (say, an economic recession) than central ones, the need to rely on statistical...

The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure...

In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's empirical...

The existence of comovement across different sectors is an important feature of the business cycle definition. The purpose of this work is to characterise the Portuguese sectoral business cycle, with particular emphasis on the comovement phenomenon, for the years 1953-2003 in terms of both GVA...