This paper uses a threshold autoregressive (TAR) framework to assess the relative importance of structural breaks and asymmetric persistence in accounting for the post-war unemployment experience. In comparing unemployment patterns across time periods and countries, we take the US as a...

This paper sheds light on US stock price deviations from fundamentals by analyzing the time-series dynamics of post-1870 Samp;P valuation ratios. It employs a non-linear, two-regime framework that allows for different behavior over phases of the stock market cycle. Persistence in the ratios...

We divide the time series of aggregate valuation into bull and bear market phases to test for momentum and reversal, respectively. Our results are consistent with price-earnings and price-dividends displaying continuation by drifting upwards in bull markets irrespective of fundamentals. Such...

Using threshold autoregressive specifications, this paper develops new parametric tests for level asymmetries. It proposes bootstrap likelihood ratio statistics to test the symmetric adjustment null against sign and amplitude asymmetries or a combination of both. Monte Carlo simulations show...

In this paper we explore the dynamics of US dollar excess foreign exchange returns for the G10 currencies and the Swiss franc, 1976-97. The non-linear framework adopted is justified by the results of linearity tests and a parametric bootstrap likelihood ratio statistic which indicate threshold...

A country's intertemporal budget constraint implies current account stationarity or that its saving and investment rates should cointegrate. However, such behaviour may not pertain in finite sample spans where the current account could be subject to persistent shocks. Accordingly, this paper...