-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

A popular view is that the surge in the price of oil during 2003-08 cannot be explained by economic fundamentals, but …, there is strong evidence that the co-movement between spot and futures prices reflects common economic fundamentals rather …

questionnaire evidence. We find that fund managers and FX dealers differ significantly. Fund managers rely more on fundamentals …

broadens the set of fundamentals to nonmonetary variables, including unemployment or the state of the banking sector, and even … "softer" fundamentals such as the reputation of the policymaker and the rules of the game played by the participants in a … fixed exchange rate arrangement. It also suggests that the relationship between the economic fundamentals and devaluation …

during crises depends on the tail properties of the fundamentals’ distribution. We denote crisis linkages as either strong or … crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals … fundamentals. …