We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by GalÌ and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the...

Empirical research indicates that the volatility of stock return time series have long memory. However, it has been demonstrated that short memory processes contaminated with random level shifts can often be confused as being long memory. Often this feature is referred to as spurious long...

This paper analyzes whether the exchange rate pass-through into prices changed when the inflation targeting scheme was adopted in Peru. First, a simple dynamic stochastic general equilibrium model is simulated, which shows that adopting this scheme induces an increase in exchange rate...

Standard econometric tests for whether money causes output will be meaningless if monetary policy is chosen optimally to smooth fluctuations in output. If U.S. monetary policy were chosen to smooth U.S. output, we show that U.S. money will not Granger cause U.S. output. Indeed, as shown by Rowe...

Following the approach suggested by Engel and Kim (1999), we estimate the permanent and transitory components of the real exchange rates in four Latin-American countries for the period 1957:01 to 2002:04. Results suggest that transitory component is the driving force of the real exchange rates...

We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.

JEL Classification-JEL:

This paper has four objectives. Firstly, to verify the existence of long-term relationships between the groups of variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, to analyze the role of public and private investment, as well as the...

Purpose – The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach – Formal statistics for testing presence of autocorrelation, asymmetry, and other...

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg...