The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more...

This paper investigates the issues of stability, predictability and interestsensitivity of both the long and short run demand for money within the European Union employing quarterly data over the period 1980-1998. The model is closely based on that estimated by Friedman and Schwartz (1982). The...

Developments forced a shift from the early heavy weight of political designs to economic considerations for a unified Europe. At the core of the European Economic Union are the Maastricht convergence criteria, which through monetary and fiscal stability aim at building the foundations of the...

In this paper, we show how simple pre-averaging can be applied to measure the ex-post covariance of high-frequency financial time series under market microstructure noise and non-synchronous trading. A modulated realised covariance based on pre-averaged data is proposed and studied in this...

The study has as its objectives, to determine the influence of price volatility and price expectation in the rate of inflation as a measure of the price level. In addition, the study sought to evaluate ipso facto the extent to which monetary policy has influenced inflation by reducing price...

En este trabajo se analiza empíricamente la sostenibilidad fiscal en Colombia a través de las técnicas de cointegración. En particular, usando los ingresos tributarios y los gastos primarios del gobierno nacional central para el período 1990Q1 a 2008Q4 (datos reales y ajustados por el ciclo...

This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special focus on the new member countries of Central and Eastern Europe. Using an array of estimation methods, we show that the Balassa-Samuelson effect is not an important driver of...

We analyze the degree of persistence of the unemployment rates of the 10 Canadian provinces using quarterly data for the period 1976:1-2005:4. We apply a two-break minimum Lagrange Multiplier unit root statistic, which, unlike standard unit root statistics (without or with breaks), makes it...

Using Markov-Switching models, this paper studies the existence of a relationship between the unemployment rate and four different types of crimes in the U.S. economy. After it, using the non-parametric Concordance Index of Harding and Pagan (2002, 2006), the correlation between the cycles of...

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...