In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

This paper outlines a new methodology for the study of international policy coordination, which builds on two separate approaches previously used in the literature: optimal simple rules, and game-theoretic analysis. The new approach is illustrated by using the example of a changed target for the...

This paper estimates a trivariate VAR-GARCH(1,1) model to examine volatility linkages between the stock markets of three Central and Eastern European countries (CEECs), namely the Czech Republic, Hungary and Poland. The empirical .findings suggest that following the EU accession regional...

This paper examines the monetary transmission mechanism in six EU member states. It provides useful empirical evidence for assessing the impact of a common monetary policy in the early stages of EMU, and enables us to form a view on how the regime change represented by EMU is likely to be...

This paper aims to assess whether the EU is an optimum currency area (OCA)by examining synchronization of business cycles and long-run outþut linkages in the EU countries. We argue that a necessary condition for the desirability of EMU membership for national economies is that the degree of...