This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...

In this paper we aim to analyse the level of sustainability of external debt and, more importantly, how it has changed for a number of European economies. Given the severity of the crisis since 2008, we argue that the path of external debt burdens may have changed since the start of the crisis,...

This paper contributes to the permanent income hypothesis (PIH) and excess consumption smoothness debate in the context of fractional integration. We show that the excess consumption smoothness result is a consequence of the quarterly data frequency commonly employed in empirical work. In fact,...

In this paper we consider inflation rate differentials between seven Central and Eastern Countries (CEECs) and the Eurozone. We focus explicitly upon a group of CEECs given that although they are already member states, they are currently not part of the Economic and Monetary Union (EMU) and must...

In this paper we consider inflation rate differentials between seven Central and Eastern Countries (CEECs) and the Eurozone. We focus explicitly upon a group of CEECs given that although they are already member states, they are currently not part of the Economic and Monetary Union (EMU) and must...

This paper provides a new and unique look at the dynamics and persistence of historical house prices in the US and the UK using fractional integration techniques not previously applied to housing markets. We use annual data from 1830 to 2016 for the US and 1845 to 2016 for the UK, which provides...

Leão (2005) has recently proposed a new explanation for the short run variability of the velocity of money based on the changes in the composition of the expenditure that occur along the business cycle. This paper presents further empirical evidence in favour of Leão’s Expenditure...

This paper uses four ADF-type unit root tests and four KPSS-type stationarity tests to examine whether the gender unemployment gap would converge to zero in Africa. Among these different tests, the two most restricted models, namely the ADF test and the KPSS test, indicate no convergence in the...

This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date[...]

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...