This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistance cannot be sustained once allowance is made for a structural break in the...

This paper presents new evidence about the information contained in the term structure about future inflation. Although the general finding in the literature is that the greater the time horizon the more information the term structure possesses about inflation, in this paper we show that the...

This paper introduces a new model of structural breaks in the coefficients of economic relationships which allows them to be driven by large past economic shocks. The breaks generated by these shocks can be taken to reflect stochastic changes in agents' decisions or beliefs triggered by...

This paper proposes similar unit root testing procedures for both homogenous and heterogeneous dynamic panel data models, based on least squares estimates and assuming that the time dimension of the panel data is fixed. It is shown that the limiting distribution of the tests id standard normal.

We present a version of the exchange-rate regime model of inflation. We then use quarterly data from Mexico during 1946.I-1995.I to test and estimate a simultaneous equation model for wage inflation, price inflation and industrial produciton. In doing so, we respect the Lucas critique and take...