This paper evaluates the dynamic out of sample nominal exchange rate forecasting performance of the canonical New Keynesian model of a small open economy. A novel Bayesian procedure for jointly estimating the hyperparameters and trend components of a state space representation of an approximate...

This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in...

This paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level...

The paper’s main objective is to investigate the empirical link between the fiscal balance and the current account (i.e. the twin deficits phenomenon). The paper focuses on the EU member states and candidate countries which are according to their different (e.g. historical, political,...

This paper provides an empirical study of the asymmetrical spillovers of the euro-US dollar exchange rate on inflation in the euro zone. We divide the euro zone members in two groups of countries: "core" (closely related to Germany) and "periphery", testing if the euro-US dollar exchange rate is...

This paper examines the determinants of output growth differentials from set convergence criteria in a panel of West African Monetary Zone (WAMZ) states. Drawing largely from micro-founded models, rooted in New Keynesian traditions, the study shows that widespread divergence of output growth...

This paper investigates the effect of capital market development on severity of economic contraction, and probability of economic downturn. The major finding is that countries with deeper capital market would face less severe business cycle output contraction, and lower chance of an economic...

This paper investigates cross-country evidence on how capital market affects business cycle volatility. In contrast to the large and growing literature on the impact of finance and growth, empirical work on the relationship between finance and volatility has been relatively scarce....

This paper investigates the effect of capital market development on the frequency of recession and the fraction of time the economy in recession using quarterly data of thirty-five countries from 1975 to 2004. The main finding is that frequency of recession is not robustly linked to measures of...

Is Africa’s current growth reducing inequality? What are the implications of growth on output performances in Africa? Does the effect of Africa’s growth on sectorial output have any implication for inequality in Africa? The study investigates the effect of shocks on a set of macroeconomic...