This paper examines jointly the empirical relevance of the mean-reversion and the Purchasing Power Parity (PPP) hypotheses in the exchange rate dynamics within the European Exchange Rate Mechanism (ERM). Given the non stationarity and the nonlinearities characterizing foreign exchange rate...

We study the problem of identification of the long regression E(y|x,z) when the short conditional distributions P(y|x) and P(z|x) are known but the long conditional distribution P(y|x,z) is not known. This problem often arises when a researcher utilizes data from two separate data sets. (A...

Several studies indicate that firms are reluctant to cut nominal wages during periods of relatively high nominal per capita GDP growth. It has been argued, however, that in an environment with a low nominal per capita GDP growth, i.e., when nominal wage cuts become customary, firms would no...

No abstract.

Quantile regression is gradually evolving into a comprehensive approach to the statistical analysis of linear and nonlinear response models for conditional quantile functions. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models...

In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...

This paper investigates the extent to which it is possible for speculative attacks to be predictable given information on economic fundamentals. A standard model of predictable attacks is extended to incorporate an optimizing monetary authority. It is shown that while incorporating a...

The topic of this paper is the problem of a singular disturbance covariance matrix in (seemingly unrelated) systems of linear regression equations. This singularity is considered as being caused by exact linear restrictions on the endogenous variables, adding-up to a predetermined aggregate. It...

Consumer demand for rail transportation has traditionally been analyzed by means of aggregate demand systems and disaggregate discrete choice models. It is remarkable however that no serious efforts have been made to develop a disaggregate structural demand model, which takes account of the fact...

Linear and Hodrick-Prescott detrending methods do not provide a good approximation of the business cycle when output contains a unit root. I use the multivariate Beveridge-Nelson decomposition to document the main patterns of US postwar business cycle when output and some other variables are...