The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...

This paper proposes a sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks. We use particle filtering techniques that allow for fast and efficient updates of posterior quantities and forecasts in real-time. The method conveniently deals with...

This paper presents a Bayesian assessment of the likelihood of unit roots in the unemployment rates of 16 OECD countries. Bayesian techniques for detecting multiple structural breaks in time series have recently been developed by Wang and Zivot (2000). I apply these tests to a data set recently...

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange...

We evaluate the monetary determinants of inflation in the Czech Republic, Hungary, Poland and Slovakia by using the McCallum rule for money supply. The deviation of actual money growth from the rule is included in the estimation of Phillips curves for the four economies by Bayesian model...

This paper considers a special non-linear time series problem, that of testing for co-integration in a Bayesian framework when there is a break in the co-integrating relationship. It is shown that a partial linearization of the likelihood function solves many puzzling questions, in particular...

The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong evidence of transmission of volatilities across prices....

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to...

This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...