The paper illustrates and compares estimation methods alternative to maximum likelihood, among which multistep estimation and leave-one-out cross-validation, for the purposes of signal extraction, and in particular the separation of the trend from the cycle in economic time series, and...

In this paper, the analysis of co-dependence between the US and Mexico labor markets is carried out by estimating the cyclical component of California’s and Texas’ manufacturing employment and four US Border Mexican cities through the Hodrick-Prescott filter. We estimated the smoothing...

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans,...

Similar to merchandise trade flows, commuter traffic between international metropolitan areas respond to changes in exchange rates. This paper examines the impact of currency variations on monthly frequency cross border commuter flows between El Paso, Texas and Ciudad Juarez, Mexico. The sample...

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and...

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

A theoretical model of inflationary dynamics in Ecuador is specified for the pre-dollarization period when the sucre was still the official currency. Parameter estimation is carried out using a battery of time series techniques. Monthly data from January 1964 to December 1994 are used in the...

Border region electric utility service loads are impacted by national, regional, and international business cycles. To examine whether the cross-border components of these interactions can be reliably assessed, transfer ARIMA models are estimated for three business rate categories in El Paso,...

In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model is based on two essential points: the first one is to identify the inflationary potential of an economic system through the estimation of the price level to which the inflation...