This paper presents novel analyses of high-resolution wind power and electric system load time series data. We use a discrete wavelet transform to resolve the data into independent time series of step changes (deltas) at different time scales, and present a variety of statistical metrics as a...

This paper extends the long-run growth model of Esfahani et al. (2009) to a labor exporting country that receives large inflows of external income?the sum of remittances, FDI and general government transfers?from major oil-exporting economies. The theoretical model predicts real oil prices to be...

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

This paper analyzes broad money demand (M2) in Guyana from January 1990 to September 1999; a period marked by deep transformations aimed at shifting Guyana from a centralized to a market economy. The paper develops a stable error-correction model based on a long-run cointegrating vector of money...

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

This paper investigates empirically the sources of aggregate output growth and the determinants of total factor productivity (TFP) in Niger between 1963 and 2003. A growth accounting analysis indicates that the erosion in output per capita over the sample period is due to the negative growth of...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

This paper identifies and describes key features of Caribbean business cycles during the period 1963-2003. In particular, the chronologies in the Caribbean classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend rates of...

The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The...

This paper analyzes trends in the accumulation of NRI (nonresident Indian) deposits and investigates the determinants of these inflows. It finds that monthly deposit flows have been quite stable since the 1991 crisis; nevertheless, there have been occasions when monthly flows turned negative in...