We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...

In this paper we use unit roots/cointegration analysis and time-varying parameters procedures to test for a common growth path in the ex-communist block, both pre- and post-reform. We test whether there has been convergence within the block and between the block as a group and the West....

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and...

This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated...

This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...

This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Using a stochastic frontier model and a comprehensive dataset, we study factors that affect corporate efficiency in Europe. We find that (i) larger firms are less efficient than smaller firms, (ii) greater leverage contributes to corporate efficiency, and (iii) high competition is less...

In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and Kan. We estimate these models by combining time-series and cross-section information in a theoretically consistent way. In the...

This Paper studies the impact of local economic structure on local sectoral employment growth. Local employment growth is decomposed into ‘internal’ growth (the growth of the size of existing plants) and ‘external’ growth (the creation of new plants). Using panel data methods, we...

The Paper studies the determinants of labour force participation by East German women after unification. To isolate the role of preferences on labour force participation from individual characteristics, we develop a panel data model that simultaneously explains participation, employment and...