The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is the level of inflation persistence that...

The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...

Following Surico (2007a, b), we analyse the monetary policy of the National Bank of Slovakia (NBS). We can verify by mentioned approach potential asymmetries in preferences of the monetary authority as well as potential nonlinearity in the economic structure. If a monetary policymaker has...

This paper examines the transmission of monetary policy in USA between 1960 and 2008. We use a structural vector autoregressive model (SVAR) that includes federal funds rate, inflation rate (current or expected inflation) and output gap as endogenous variables. The contribution of this paper is...

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...