In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the rela- tionship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and...

In this paper, we test the presence of stochastic trend in long series of US real GNP measured by Balke and Gordon (1989) and Romer (1989). This is analyzed from two recent robust unit root tests proposed by Cavaliere and Georgiev (2009) and Lima and Xiao (2010), for which critical values are...

This article compares the performances of some non-stationarity tests on simulated series, using the business-cycle model of Chang et al. (2007) [Y. Chang, T. Doh, F. Schorfheide, (2007). Non-stationary Hours in a DSGE Model. Journal of Money, Credit and Banking 39, 357-1373] as data generating...

This article extends earlier efforts at redating the US business cycles for the 1790–1928 period using the real Gross Domestic Product (GDP) constructed by Johnson and Williamson (2007). We compare the alternative chronology with those of the NBER and Davis (2006) as well as Romer (1994) for...