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...

We use National Bank of New Zealand Regional Economic Activity data, to identify and characterise classical business cycle turning points, for New Zealand’s 14 regions and aggregate New Zealand activity. Using Concordance statistic measures, logistic model and GMM estimation methods,...

In specifications of tastes and technology, econometricians often impose curvature globally, but monotonicity only locally or not at all. In fact monotonicity rarely is even mentioned in that literature. But without satisfaction of both curvature and monotonicity, the second order conditions for...

The financial time series are often characterized by similar volatility structures. The selection of series having a similar behavior could be important for the analysis of the transmission mechanisms of volatility and to forecast the time series, using the series with more similar structure. In...

We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessarily useful for real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We propose an alternative framework for...

We test long–run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear cointegration is tested with rank tests proposed by Breitung (2001). We start with determining the order of integration of each variable in the model, applying relatively powerful DF–GLS...

Since 1970 nearly all-Mediterranean countries of the EC had undertaken measures to regulate their domestic market for ordinary wines, in the context of constant fall in domestic demand for that product. This paper provides an empirical modelling framework for understanding the effect on the...

In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...

This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron...

In the literature, little role is attributed to the country risk conditional volatility in the determination of the macroeconomic equilibrium in a developing small open economy (DSOE). This paper posits the prime hypothesis that, in the presence of multiple equilibria and self-fulfilling...