In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them...

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the salient business cycle characteristics of central NIPA aggregates for the G7. Furthermore, their role in contributing to the supranational G7 and EURO15 cyclic dynamics is...

In this paper, an Unobserved Components Model is employed to decompose German real GDP into the trend, cycle and seasonal components and the working day effect. The most important findings are: 1) The growth rate of potential output declined from 4.2 per cent in the sixties to 1.4 per cent at...

This paper deals with the estimation of the output gap. We use uni- and bivariate unobserved components models in order to decompose the observed German GDP-series into trend, cycle and seasonal components. The results show that using the ifo business assessment variable as an indicator for the...

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically stu dy and test for common structures and comovements in panel data with autocorrelation present and by an...

This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....

This paper studies the information content of some Ifo indicators. In particular, we investigate whether two Ifo indicators, one on the current business situation, the other on current production development, provide information on revisions of German industrial production. A new feature of our...

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...