The short-run dynamics of German mark and US dollar real exchange rates are investigated for a panel of 19 OECD economies in a vector error correction framework for the 1973-96 period. The novel persistence profiles approach of Pesaran and Shin ("Cointegration and Speed of Convergence to...

This paper assesses empirically two competing accounts of high unemployment, the structuralist and persistence theories. It identifies one structural break in UK and German unemployment around 1980 which is more severe in both absolute and relative terms than that for the US in 1973. This offers...

This paper differentiates itself from the existing literature by testing for heterogeneities in the interest rate transmission mechanism using a large sample of 662 monthly retail rate histories (1993-2004) on seven key deposit and loan products. Error correction models are estimated to analyze...

This paper uses threshold autoregressions to characterize asymmetries in adjustment dynamics and develops likelihood ratio tests to detect them. A robust bootstrap technique is proposed to circumvent the problem that the asymptotic distribution of the test statistics is non-standard. Monte Carlo...

Recently, the large T panel literature has emphasized unobserved, time-varying heterogeneity that may stem from omitted common variables or global shocks that affect each individual unit differently. These latent common factors induce cross-section dependence and may lead to inconsistent...

A country's intertemporal budget constraint implies current account stationarity or that its saving and investment rates should cointegrate. However, such behaviour may not pertain in finite sample spans where the current account could be subject to persistent shocks. Accordingly, this paper...

Commodity style-integration is appealing because by forming a unique long-short portfolio with simultaneous exposure to mildly correlated factors, a larger risk premium can be captured over time than with any of the underlying standalone styles. A practical decision that a commodity...

On April 20, 2020, the price of the May 2020 NYMEX WTI crude oil futures contract (CLK20) dropped to -$37.63. This article investigates the plausible reasons behind this unprecedented event. Due to the COVID-19 lockdowns and geopolitical tensions, the WTI futures market had steered into a super...

We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...