Based on the cost‐of‐carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, <link href="#bib7">1996</link>; Monoyios M and Sarno L, <link href="#bib15">2002</link>; Taylor N, van Dijk D, Franses PH, & Lucas A, <link href="#bib26">2000</link>). The...

Given conflicting results on whether the US monetary policy rule exhibited nonlinearity in the post-war period we employ a new Granger non-causality nonlinearity test and non-parametric procedures to re-examine the issue. Both procedures suggest that the Fed followed a nonlinear Taylor rule with...

This paper re-examines the empirical modeling of Purchasing Power Parity (PPP) deviations in the presence of commodity market frictions. First, we show that a specific type of smooth transition models can closely approximate the functional form of the theoretical adjustment mechanism derived by...

A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and monetary policy are somewhat unpalatable. Our econometric analysis proposes a parsimonious representation of the inflation process, the nonlinear...

The detection of explosive behavior in house prices and the implementation of early warning diagnosis tests are of great importance for policy-making. This paper applies the GSADF test developed by Phillips et al. (2012) and Phillips et al. (2013), a novel procedure for testing, detection and...

A new test for nonlinear causality and also nonparametric procedures suggest significant nonlinearity in the implementation of the Taylor rule by the Bank of Korea (BOK). In particular, the response to the output gap appears nonlinear.

The recent financial crisis exposed the inability of traditional theoretical and empirical models to parsimoniously capture the rich dynamics of the economic environment. This has stimulated the interest of both academics and practitioners in the development and application of more sophisticated...