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Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from...

This paper has two original contributions. First, we show that PV relationships entail a weak-form SCCF restriction, as in Hecq et al. (2006) and in Athanasopoulos et al. (2011), and implies a polynomial serial correlation common feature relationship (Cubadda and Hecq, 2001). These represent...

In this paper, we propose a microfounded framework to investigate a panel of forecasts (e.g. model-driven or survey-based) and the possibility to improve their out-of-sample forecast performance by employing a bias-correction device. Following Patton and Timmermann (2007), we theoretically...

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well...

This paper investigates an intertemporal optimization model to analyze the current account through Campbell & Shiller’s (1987) approach. In this setup, a Wald test is conducted to analyze a set of restrictions imposed to a VAR, used to forecast the current account for a set of countries. We...