Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical; instead they are high, only around the early 1980s. The...

The study examines the methods of testing the presence of unit root and co-integration of time series data using those tests that assumes the presence of breaks and those that assumes no breaks. We employed Eliott et-al(1996) DF-GLS for the latter test and Perron(1997) for the former category....

We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of...

The foreign exchange reserves of the Central African Economic and Monetary Community (CEMAC) countries have decreased since the fall of world oil price that began in July 2014. In fact, five of the six of the CEMAC countries are oil producers. Based on interrupted time series modeling, the...