Using a recently introduced nonparametric test, I investigate two important and distinct asymmetries in cross-country quarterly macroeconomic time series. Asymmetries are suggested by many theories (old and new), and those discovered aid in the selection of the appropriate nonlinear time series...

This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of...

This note looks ata the correlation of short-term business cycles in the euro area and the Eu accession countries. This issue is assessed with the help of vector autoregressive models. There are clear differences in the degree of correlation between acces-sion countries. For Hungary and...

We investigate how the exchange rate regime influences economic linkages across countries. We divide the exchange rate regime into three classifications: currency union, peg and floating exchange rates. Unlike most studies solely focusing on the relationship between anchor and client countries,...

We assess the correlation of supply and demand shocks between current countries in the euro area and EU accession candidates from 1993/1995 to 2002. Supply and demand shocks are recovered from estimated structural VAR models of output growth and inflation. Notably, the economic slowdown between...

This paper is a pioneering attempt to include India with east and Southeast Asia to study the existence of the economic criteria for a common currency. The analysis in this paper shows that significant complementarities in trade exist among these countries, most of them experience similar shocks...

The paper examines if the seven South Asian countries satisfy the criteria to form an optimal currency area. The empirical part of the paper reveals some positive attributes (such as the existence of positive shocks for major economies like India, Pakistan and Sri Lanka). The paper provides...

In this paper we revisit the issue of integration of emerging stock markets with each other and with the developed markets over different time horizons using weekly stock indices data from June 1997 until March 2005 of the five major MENA equity markets (Egypt, Israel, Jordan, Morocco and...

This paper examines the small-sample distribution of the instrumental variables (IV) estimation procedure employed by Gali and Gertler (1999) to assess the empirical fit of the New Keynesian Phillips Curve (NKPC) and the hybrid Phillips Curve (HPC). Their estimation method is now widely used to...

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...