The purpose of this comment is a critical evaluation of the empirical analysis made by Cresti (2005) and her finding that commercial barter behaves differently than corporate barter during the course of business cycles. Here, we correct the arbitrary replacement of the missing observations by...

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

In this paper we tested whether the hypothesis of tax-spend, spend-tax, or fiscal synchronization applies to the 31 Chinese provinces using cross-sectional and time series data covering 1999 to 2005. The interaction between government revenues and government expenditures is tested with the newly...

The subject of this paper is the estimation of the Phillips relation ¡V the inflation-output gap tradeoff ¡V for ASEAN countries. Unobserved component (UC) models are employed in order to extract the output gap from GDP data. We also obtain stylised facts on macroeconomic cycles namely, (i)...

This letter investigates the presence of asymmetric dynamics in the behaviour of the current account as emphasized in recent theoretical contributions. We estimate a Markov switching model for long-horizon current account to GDP data for six countries and find substantial asymmetries in the...

A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted. Under high level restrictions, the resulting estimator...

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a...

The paper tests hysteresis effects in unemployment using aggregate and panel data for Norway. While tests using aggregate or county— specific time series do not reject the null of unit root hysteresis, the panel tests firmly reject the null. When a one—time structural break is incorporated,...

In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econometrics are presented and some of their properties discussed. This includes two models based on universal approximators: the Kolmogorov-Gabor polynomial model and...

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...