This paper investigates the performances of an inflation targeting regime in a learning economy whose functioning is tackled via an Agent-Based Model (ABM). While the structure of our ABM has features in common with those of the New Keynesian canonical modelling framework, we model the...

This paper investigates the extent of pass-through from the nominal exchange rate to import prices for a sample of nineteen African countries. The methodology is based on panel data cointegration testing. Using annual data extending back to 1971, long-run pass-through can be best described as a...

This paper develops a straightforward theoretical framework for evaluating exchange rate regime choice for small economies. It proposes that a floating exchange rate minimises national income and employment variation when real macroeconomic shocks predominate, whereas a pegged exchange rate...

The relationship between foreign aid and economic growth is investigated for a panel of developing countries (Botswana, Ethiopia, India, Kenya, Sri-Lanka, and Tanzania) over the period 1974-1996. The results reveal that the variables contain a panel unit root and they cointegrate in a panel...

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

The paper examines Granger-causality between the producers' and the consumers' price using Australian data within the frequency domain framework. For long run relation, the Johansen and Juselius (1990) maximum likelihood approach to cointegration was utilized. The test is also supplemented by...

I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte...

Several governments in sub-Saharan Africa have embarked on various market reforms to improve commodity market performance. However, the success of such market reforms depends partly on the strength of the transmission of price signals between spatially separated markets and between different...

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...