This paper examines the nonlinearity of China's inflation rate and models its nonlinear dynamics using the multiple-regime smooth transition autoregressive model. The empirical results show that a four-regime logistic smooth transition autoregressive model can be used to model the nonlinear...

This paper investigates the differences between real-time and ex-post output gap estimates using a newly-constructed international real-time dataset over the period from 1973:Q1 to 2012:Q3. We extend the findings in Orphanides and van Norden (2002) for the United States that the use of ex-post...

The aim of this article is to analyze how financial heterogeneity can accentuate the cyclical divergences inside a monetary union that faces technological, monetary, budgetary and financial shocks. To this purpose, this study relies on a two-country Dynamic Stochastic General Equilibrium model,...

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI-...

Using the Bayesian approach, a small open economy DSGE model was estimated using a sample of quarterly data for three Central and Eastern Europe economies, Czech Republic, Hungary and Poland. The hypothesis that central banks react to exchange rate movements was tested using posterior odds...

This paper revisits the link between oil price uncertainty and macroeconomy in the context of a net oil exporting country, Canada. Results obtained from alternative Structural VAR models suggest that while shocks to oil price level do not affect the aggregate level of output, the oil price...

The value added tax (VAT) has been proposed as a macroeconomic stabilization instrument. This paper considers some practical implications of a variable VAT. It then develops a dynamic general equilibrium model to assess its usefulness as a stabilization instrument. A variable rate VAT would no...