This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17...

We present an empirical investigation of the hypotheses that exchange rate uncertainty may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries' bilateral real trade flows over the period 1980-1998. Similar to the findings of earlier...

We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based inflation rates for twenty-two countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional...

We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the long-memory parameter. Contrary to the...

We test for fractional dynamics in U.S. monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in...

In this paper we investigate whether macroeconomic uncertainty could distort banks’ allocation of loanable funds. To provide a road- map for our empirical investigation, we present a simple framework which demonstrates that lower uncertainty about the return from lending should lead to a more...

"Despite the common view that exchange rate volatility will inevitably depress the volume of international trade by increasing the riskiness of trading activity, empirical researchers have not found clear support for this relationship, with results being characterised as insignificant or where...