This paper investigates exchange rate pass-through in Singapore using band-pass spectral regression techniques, allowing for asymmetric effects over the business cycle. First stage pass-through is estimated to be complete and relatively quick, confirming existing views that the exchange rate...

A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape tests are consistent against all stationary non-white-noise alternatives from the martingale null. In this paper we...

This paper extends earlier results, which were reported in [7], to include non null distributions. As in [7], attention is concentrated on the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. The results of the present paper encompass...

This paper identifies and describes the key features of Australian business cycles during 1959-2000. In particular, we identify the chronologies in Australia's classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend rates of...

If exchange rates and prices are integrated processes, standard econometric tests of the purchasing power parity (PPP) hypothesis may be biased toward rejection. This paper avoids this problem by using the Engle and Granger (1987) theory of cointegrated processes. If the absolute version of...

Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to band spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent...

Evidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference,...