We investigate the presence of self-fulfilling dynamics during the European sovereign crisis in the light of a theoretical model that we bring to the data. Our empirical framework allows us to empirically test the presence of self-fulfilling dynamics and to identify what may have driven the...

The aim of this paper is to investigate the asymmetric effect of exchange rate variations on prices over the short- and long-run in four major developed countries. To this end, we estimate a mark-up model for prices using a novel and simple asymmetric cointegrating model, with positive and...