This paper examines whether test results characterizing per capita output as either trend or difference stationary are sensitive to whether output is valued in domestic currency terms, or in some international numeraire, such as the Summers and Heston (1991) international dollar. Using the...

Exchange rate forecasts are generated using some popular monetary models of exchange rates, in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality, which entails the following requirements: the forecast and the actual...

This paper adopts a different approach to the study of the persistence of U.S. GNP. First, this paper uses a more powerful version of the ADF test developed by Elliot, Rothenberg and Stock (1992). Second, we also examine the results from a unit root test that has trend stationarity as the null...

This paper examines whether output per capita in 126 countries is better described as trend or difference stationary using formal statistical tests. Appropriate finite-sample critical values are constructed to evaluate the test results. Depending upon whether one uses solely a test with a trend...

This paper presents an alternative method of testing for financial capital mobility in the absence of forward exchange markets. A model of domestic interest rate determination during liberalization is applied to Korean and Taiwanese data. A variety of diagnostic and recursive tests are used to...

Interest rate based tests and savings-investment correlations disagree on the extent of capital mobility in Pacific Rim economies. The apparent success of several East Asian countries in sterilizing capital inflows has also fueled the controversy. This paper argues that previous studies...

This paper documents the evidence for a fiscal model of the Yen/Dollar real exchange rate over the 1974-1994 period. Cointegrating relationships between the real exchange rate and productivity, government spending and the real price of oil are estimated using the Johansen (1988) and Stock-Watson...

This paper investigates the relative influence of US and Japanese real interest rates in the determination of local Pacific Rim rates, where influence is defined by the presence of common stochastic trends. Alternatively, we ask whether real rates are driven by the same shocks. Furthermore, the...

We apply a comprehensive set of survey data, on forecasts for 24 currencies against the dollar, to four topics. (1) We find some predictive power in the survey data (and in the right direction!). As in past tests, the forecasts are nevertheless biased: variability of expected depreciation is...