The inability of a wide array of dynamic stochastic general equilibrium (DSGE) models to generate fluctuations that resemble actual business cycles has lead to the use of habit formation in consumption. For example, habit formation has been shown to help explain the negative response of labour...

Abstract: The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related...

How large are welfare costs related to economic aggregate fluctuations is a topic of great concern among economists at least since Robert Lucas’ well-known and thoughtprovoking exercise in the late 1980s. Our analysis assesses the magnitude of such costs for 11 countries in South America...

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using annual data on real output and monetary aggregates for Argentina (1884-1996), Australia (1870-1997), Brazil (1912-1995), Canada (1870-2001), Italy (1870-1997), Mexico (1932-2000), Sweeden (1871-1988), and...

This paper aims at identifying the main shocks, which cause movements in real GNP. It does so by searching for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP for horizons between 0 and 5 years. We find that two...

This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...

We argue that cross-country convergence of output per capita should be examined in a fractional-integration time-series context and we propose a new empirical strategy to test it, which is the first one that discriminates between fractional long-run convergence and fractional catching-up. The...

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the ``exchange rate pass-through" effect, that is, when one accounts for the variability of the exchange rate and import prices. An exchange rate depreciation leading to a higher level of...

Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...