This paper examines the statistical properties of the bilateral real exchange rates of the U.S. vs. France, Germany, and the U.K. during the Post-Bretton-Woods period, and draws implications on the Purchasing Power Parity (PPP) hypothesis. Contrary to traditional studies that consider only unit...

Em teoria econômica costuma-se analisar o comportamento de longo prazo de um agente supondo que o mesmo está sujeito a um determinado tipo de restrição intertemporal. A restrição orçamentária intertemporal do governo revela que um aumento nos gastos públicos, não acompanhado de um...

Using national accounts data for the revenue-GDP and expenditure GDP ratios from 1947 to 1992, we examine two central issues in public finance. First, was the path of public debt sustainable during this period? Second, if debt is sustainable, how has the government historically balanced the...

We perform a Monte Carlo experimet to compare four different Value-at-Risk methodologies, RiskMetrics, Gaussian GARCH(1,1), Generalized Student-t APARCH(1,1), and ARCH(1) Quantile, under five different data generating processes. The ARCH(1) Quantile methodology does not assume any distribution...

This paper proposes unit root tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adaptive estimation using...