We estimate a bivariate GARCH-in-Mean VAR with a BEKK variance speciÂ…fication, to investigate whether oil price volatility affects real economic activity. We use the same data set of thirty seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a...

This paper uses daily, monthly, and quarterly observations for the Canadian dollar - US dollar nominal exchange rate over the recent flexible exchange rate period (from 2 January 1973 to 11 June 2004), and a new statistical model of exchange rate dynamics, developed by Engel and Hamilton to test...

In this article we use Bayesian classification and finite mixture models to extract information from Levine's (2002) cross-country database and reconsider the relationship between financial structure and long-run economic growth. Our methods, based on statistical similarities and...