We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the long-memory parameter. Contrary to the...

This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. We estimate exponential smooth transition autoregressive (ESTAR) models of...

Because currently anticipated Social Security revenues are inadequate to pay for promised benefits, reform of the Social Security program is likely. Several different plans to restore the program to actuarial balance have emerged, and more will arise as the debate continues. Comparison and...

Empirical evidence obtained from data covering Eurozone countries, other industrialized countries, and newly industrialized countries (NICs) over 1980–2006 shows that exchange rate uncertainty has a consistent positive and significant effect on the volatility of bilateral trade flows. A one...

This paper investigates how variations in macroeconomic uncer- tainty distort commercial banks' allocation of loanable funds by ana- lyzing the dispersion of banks' total loan-to-asset ratios over a quarter- century period.

We investigate the impact of measures of uncertainty on firms' capital investment behavior using a panel of U.S. firms. Increases in firm-specific and CAPM-based measures have a significant negative impact on investment spending, while market-based uncertainty has a positive impact.