In this article we analyse the monthly structure of the Brazilian inflation rate by means of using fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which...

This paper deals with the relationship between international trade and tourism. In particular, we focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different stochastic properties of the series under analysis, which display different orders of...

We propose a theoretical method to catch politicians' fiscal attitude concerning deficits and debt based on the analysis of the political discourse. We describe the methodological steps used to obtain it. The methodology is applied to the case of US President during the period 1920 to 2008. The...

Journal rankings based on citation indexes are widely used in the economics field for global top journals. We propose an alternative way to rank journals based on the publishing behavior of top ranked authors. We justify this approach by depicting the scientific publishing market as following a...

In this paper we study the oil prices-macroeconomy relationship by means of studying the impact of oil price shocks on both economic activity and consumer price indexes for six Asian countries over the period 1975Q1-2002Q2. The results suggest that oil prices have a significant effect on both...

This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time varying inflation target and the natural rate of output which are filtered from...

A general procedure for fractional integration and structural breaks at unknown points in time is used, which allows for different orders of integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and is showed by means of Monte Carlo...

This paper analyzes pure-revenue technology licensing, where licensors solely seek the obtaining royalties. Since strategic concerns are left aside, the licensing decision is mainly driven by the features of the innovations. Our aim is to identify such characteristics. We use the NBER Patent...

Cointegration of nonstationary time series is considered in a fractional context. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is nested, but these values have typically been...

Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposite to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders of integration of these series are allowed...