We investigate convergence towards purchasing power parity (PPP) within the eurozone and between the eurozone and its main partners using panel data methods. We find strong rejections of the unit-root hypothesis, and therefore evidence of PPP, in the eurozone for different <i>numéraire</i> currencies,...

No abstract.

This paper investigates the differences between real-time and ex-post output gap estimates using a newly-constructed international real-time dataset over the period from 1973:Q1 to 2012:Q3. We extend the findings in Orphanides and van Norden (2002) for the United States that the use of ex-post...

Measuring deviations from purchasing power parity has been the subject of extensive investigation. The most common practice in empirical research for measuring real exchange rate persistence is to estimate univariate autoregressive (AR) time series models and calculate the half-life, defined as...

While panel unit root tests have been used to investigate a wide range of macroeconomic issues, the tests suffer from low power to reject the unit root null in panels of stationary series if the panels consist of highly persistent series, contain a small number of series, and/or have series with...

We study the behavior of inflation rates among the 12 initial Euro countries in order to test whether and when the group convergence initially dictated by the Maastricht treaty and now by the ECB, occurs. We also assess the impact of events such as the advent of the Euro and the 2008 financial...

Rules-based monetary policy evaluation has long been central to macroeconomics. Using the original Taylor rule, a modified Taylor rule with a higher output gap coefficient, and an estimated Taylor rule, we define rules-based and discretionary eras by smaller and larger policy rule deviations,...

We investigate two alternative versions of Purchasing Power Parity (PPP): reversion to a constant mean in the spirit of Cassel and reversion to a constant trend in the spirit of Balassa and Samuelson, using long-span real exchange rate data for industrialized countries. We develop unit root...