In this study we analyse the issue of mean reversion in forward discount based on nonlinear framework for seven currencies. Compared to previous study, we apply a novel approach of a threshold regression (TAR) and followed by nonlinear unit root tests. This approach disentangles tbodhe issue of...

This paper aims to explore the forecasting accuracy of RON/USD exchange rate structural models with monetary fundamentals. I used robust regression approach for constructing robust neural models less sensitive to contamination with outliers and I studied its predictability on 1 to 6-month...

We discuss the application of a new test for nonlinearity for economic time series. We apply the test for several monthly unemployment series from the developed economies. We find nonlinearities in the unemployment for most of the European economies, but not for US, UK or Japan.

There is a relationship between predictability and complexity. The problem of evaluating the complexity of the macroeconomic phenomenon can be reduced to decomposition into its principal components (which may have, in their turn, a certain degree of complexity) and to identify its common sources...

The paper focuses on the decomposition of inflation persistence into the linear and nonlinear components. The hypothesis is that the nonlinear component of inflation persistence results from a technological shock and might positively contribute to economic growth. The microfoundations are...

This paper aims to explore the nonlinear relation between investments and GDP. The method of neural network is used to construct two nonlinear models of GDP in relation to domestic investments, foreign direct investments and real interest rate. The results show that the two neural models present...

In this empirical study, we apply the threshold unit root test proposed by Caner and Hansen (2001) to re-examine the hysteresis hypothesis in unemployment for G-7 countries over the period 1992M1 to 2008M9. The hysteresis in unemployment is confirmed for three countries, namely France, Germany...

The purpose of this analysis is to assess the financial and budgetary performance of an administration. Therefore, the performance of the central and local administration is strongly connected to the capacity of controlling the expenses and to ensure the resources to cover it. Taking into...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run purchasing power parity (PPP) for both Mainland China and Taiwan during the January 1986 to October 2009 period. Although there is evidence of...

This paper investigates the demand for money in China using annual data covering 1977-2006. To this end, we apply a newly-developed bounds testing technique to overcome the inherent limitations in testing for unit roots prior to testing for the existence of a level relationship between a...