This paper provides further empirical results on the relationship between black market and official exchange rates in six emerging economies (Iran, India, Indonesia, Korea, Pakistan, and Thailand). First, it applies both time series techniques and heterogeneous panel methods to test for the...

This paper analyses the relationship between monetary policy and asset prices in the context of optimal policy rules. The transmission mechanism is represented by a linearized rational expectations model augmented for the effect of asset prices on aggregate demand. Stabilization objectives are...

Pension fund assets have increased markedly during recent decades, and there are signs that this trend will continue, particularly given demographic changes and the current pattern of pension reform towards funded systems. However, research on the extent to which growth in pension assets...

This paper reviews recent developments in the analysis of non-stationary panels, focusing on empirical applications of panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in...

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews,...

We analyze the contracting out of public service provision to private firms and compare the performance of for-profit and non-for-profit firms. We consider two alternative settings.In the first,the firm has control rights, as under the UK's Private Finance Initiative(PFI). In the second,the...

This paper examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based,...

Coe and Helpman (1995) among others report positive and equivalent R&D spillovers across groups of countries. However, the nature of their econometric tests does not address the heterogeneity of knowledge diffusion across countries. We empirically examine these issues in a sample of 10 OECD...