This paper investigates the demand for broad money in Venezuela, over a period of financial crisis and substantial exchange rate fluctuations. The analysis shows that there exist a long run relationship between real money, real income, inflation, the exchange rate and the domestic interest rate,...

In this paper we present a method of estimating Bayes factors for determining the number of stochastic trends (s) and for joint estimation of s and the deterministic processes present in a multivariate error correction model. The Bayes factor estimates for s can, in particular cases, be shown to...

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data’s persistence. This paper considers low-frequency tests about cointegrating vectors under a range of...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

This paper shows that there exists a strong positive correlation between long-term growth rates and the persistence of output fluctuations in a cross section of countries. We argue that the traditional explanation of persistence, a real business cycles model with exogenous productivity shocks,...

We study the hypothesis that there is a connection between business cycles and economic growth. If economic growth and business cycles were completely independent of each other, then changes in the growth rate would be unrelated to dates of business cycle turning points (apart from pure...