This article examines the FDI in Romania using the autoregressive distributed lag model (ARDL) compared with conventional (error correction model) ECM. The results based on the bounds testing procedure implemented by Pesaran in 2001, confirm that a stable, long-run relationship exists between...

This study develops and uses for forecast a small-scale macro-econometric model of the Nigerian economy. The effects of three policy scenarios built around the assumptions of the changes that the Central Bank of Nigeria is likely to make to the Monetary Policy Rate are proposed and analyzed....

This paper investigates the properties of distortions that manifest themselves as wedges in the equilibrium conditions of the neoclassical growth model across a sample of 22 OECD countries for the 1970–2011 period. The quantitative relevance of each wedge and its robustness in generating...

The purpose of the paper is to show that the three-factor Fama-French model can be a good instrument for analysis of investment risk on emerging capital markets if, because of the relatively small number of quoted companies, for calculation of the SMB and HML values we applied division of all...

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

The paper considers a volatility model which introduces a persistent, integrated or near-integrated, covariate to the standard GARCH(1, 1) model. For such a model, we derive the asymptotic theory of the quasi-maximum likelihood estimator. In particular, we establish consistency and obtain limit...

This paper analyzes the effect of omitting a persistent covariate in the GARCH-X model. In particular, we show that if the relevant persistent covariate is omitted and the usual GARCH(1,1) model is fitted, the model will be estimated approximately as an IGARCH model. This may well explain the...

We explore a New Keynesian Model with diverse beliefs and study the aggregation problems in the log-linearized economy. We show the solution of these problems depend upon the belief structure. Agents' beliefs are described by individual state variables and satisfy three Rationality Axioms,...

An extensive literature has analyzed the implications of hidden shifts in the dividend growth rate. However, corresponding research on learning about growth persistence is completely lacking. Hidden persistence is a novel way to introduce long-run risk into standard business-cycle models of...