Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

u0093Bond Market Inflation Expectation and Longer-term Trends in Broad Monetary Growth and Inflation in Industrial Countries, 1880-2001u0094 by William G. Dewald, Professor of Economics Emeritus, Ohio State University and Former Director of Research, Federal Reserve Bank of St. Louis. Annual...

Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of...

We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial...

Besides some basic methodology and definitions, the guidelines provide practical rules, strategies and hints to lead the practitioner in the initial phase of survey planning and reporting, in the selection of the best sampling method and type of allocation, in the determination of the sample...

This Country Focus discusses the relation between public investment and economic growth in Poland. Theoretical and empirical work has shown that improvements in the quantity and quality of public infrastructure have a positive impact on growth in the medium and, possibly, in the long run. The...

Following several years of low growth Germany is presently enjoying a relatively strong recovery. With unemployment falling at record speed and fiscal consolidation progressing, the upswing is set to continue in spite of uncertainties surrounding the VAT increase of January 2007. This Country...

The Czech financial sector has changed dramatically since transition. In fifteen years, it has developed from a state-owned mono-bank into a privatised bank-based financial system with developing capital and private equity markets. This country focus analyses the development of the financial...