The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.

Models use for natural resources prices usually preclude the possibility of large changes (jumps) resulting from discrete, unexpected events. To test for the presence of jumps and ARCH effects, we propose to use bounds and bootstrap test techniques, thus solving the unidentified nuisance...

In this paper the authors model the monthly number of passengers flying with the Spanish airline Iberia from January 1985 to December 1992 and predict future values of the series up to October 1994. Those series are characterized by strong seasonal variations and by having an upward trend which...

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.

We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a zero floor, and bank lending tightening affects the United States. To calculate confidence...