This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

In this paper we apply a simple macro model to explore and evaluate certain optimal monetary policy rules for China's economy. To be more consistent with the central bank (the People's Bank of China)'s behaviour, we use money supply as a monetary policy instrument rather than the commonly used...

Monetary policy has been usually analyzed in the context of small macroeconomic models where central banks are allowed to exploit a limited amount of information. Under these frameworks, researchers typically derive the optimality of aggressive monetary rules, contrasting with the observed...

Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...

Many empirical studies have found that interest rate increases have a positive effect on the price level. This paper pursues an obvious, but neglected explanation: interest payments are a cost of production that is at least in part passed on to customers. A model shows that the cost- push effect...

We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass- through, and...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

In open economy, a choice can be made between two measures of inflation for use as a target variable: CPI inflation or domestic inflation. This paper considers flexible and strict inflation targeting strategies and explores the circumstances under which a domestic inflation target is preferred...