This paper investigates the short-run and long-run impact of the determinants of output volatility for the G3 during the period 1974-2009. We estimate a multivariate GARCH model and include the covariances of those determinants, which have been ignored in the prior relevant literature. Our...

We use historical data that cover more than one century on real GDP for industrial countries and employ the Pesaran panel unit root test that allows for cross-sectional dependence to test for a unit root on real GDP. At first, we find strong evidence against the unit root null. Our results seem...

This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1-2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation...

This paper investigates the short-run and long-run impact of the determinants of nominal exchange rate volatility in three Latin American countries during the period 1979-2009. We estimate a multivariate GARCH model and include the covariances of those determinants, which have been ignored in...

We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for...

We use the techniques of cointegration and error correction models to estimate long-run and short-run export demand functions for Ireland using quarterly data for the 1979-93 period. We consider three determinants of exports: foreign income, relative prices, and exchange rate volatility. Our...

We use a residual-based cointegration test suggested by Gregory and Hansen that allows for the determination of a structural break in the cointegration vector to test for the sustainability of Greek fiscal deficits over the 1958-92 period. This relatively recent test leads to a different result...