Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...

Does immigration accelerate sectoral change towards high-productivity sectors? This paper uses the mass displacement of ethnic Germans from Eastern Europe to West Germany after World War II as a natural experiment to study this question. A simple two-sector model of the economy, in which moving...

This paper explores the link between exports and total factor productivity (TFP) for Brazilian manufacturing firms over the period 2000-2008, both under the assumption of an exogenous or an endogenous law of motion for productivity. The authors first obtain TFP estimates under each alternative...

This paper asks why modern finance theory and the efficient market hypothesis have failed to explain long-term carry trades; persistent asset bubbles or zero lower bounds; and financial crises. It extends Keen (Solving the Paradox of Monetary Profits, 2010) and the Theory of the Monetary Circuit...

The paper investigates by means of cointegration analysis whether the recently observed low levels of private saving and the current account balance in the United States are worrisome in the sense that they cannot be sufficiently explained by determinants which performed well in the past. Stock...

This paper outlines a simple regression-based method to decompose the variance of an aggregate time series into the variance of its components, which is then applied to measure the relative contributions of productivity, hours per worker, and employment to cyclical output growth across a panel...

This paper analyzes the international transmission effects of euro area monetary policy shocks in to other western European countries, namely the United Kingdom, Sweden, Switzerland, Denmark, and Norway. For this purpose, we use a structural VAR model of the euro area and augment it...

Recent time series studies reject the hypothesis of catching up in terms of international per capita incomes as derived from the traditional neoclassical growth model. In turn, they seem to support new theories of economic growth which are capable of explaining persistent international...

We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...