We are grateful to Mehmet Caner, Manfred Deistler, John Einmahl, Atsushi Inoue and Denise Osborn for their comments, as well as for the comments of participants at the presentation of this paper at the Conference on Breaks and Persistence in Econometrics, London, UK, December 2006, Inference and...

Several recent studies highlight the potential bias that may arise in measuring real wage cyclicality. This paper points to the important role of monetary policy in determining the latter. Using a simple model that diverts its focus from relative nominal price and wage rigidities, we show that...

Empirical modelling of the international linkages between the Euro Area and the US requires an open economy specification. This paper proposes and implements a structural VECM framework which imposes long run and short run cross-economy restrictions based on theoretically motivated restrictions...

This paper analyzes the transmission process of monetary policy in a closed-economy New Keynesian model with monopolistic banking, credit market imperfections, and a cost channel. Lending rates incorporate a risk premium, which depends on firms' net worth and cyclical output. The supply of bank...