This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination with an identification scheme with sign restrictions. The main results indicate that an adverse LS shock:...

Do human activities indeed cause global warming? This paper attempts to answer this question by reexamining the time series properties of climate variables and the existence of long-run relationships between them. Double unit root testing shows that most of the radiative forcings of greenhouse...

Using three different econometric methodologies, this paper identifies business cycles fluctuations in Canadian regions using quarterly real GDP for the period 1961:1 - 2000:1. With the estimates of the transitory and permanent components, as well as filtered and smoothed probabilities of being...

We analyze the empirical effects of different measures of labor standards on the export performance of the United States using annual data for the period 1950-1998, applying a time series approach based on the structural change literature. Hence, we estimate a model with endogenous breaks...

The Taylor rule is estimated under the period 1963Q2 to 1999Q4 using Canadian data and the methodology proposed by Bai and Perron (1998) to estimate regression models with multiple endogenous breaks. Although monetary rules are notorious for suffering from structural instability, recent attempts...

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 methodology used by Kim and Nelson (1999b), I find estimates of the permanent and transitory components for Canadian regions based on the Friedman model of business fluctuations. The empirical results support the theoretical predictions that negative transitory shocks hit the...

The behaviour of the long-run real exchange rate for four Latin-American countries is investigated for the period 1957-2002. The long-run real exchange rate is derived from an unobserved component model which divides the real exchange rate into a permanent and a transitory component. The...

Following the approach suggested by Favero and Rovelli (2002), I estimate a three-equations system for different sub-samples for Canada. The results indicate that the preferences of the monetary authority have changed between the different regimes. In particular, the parameter associated to the...

When using quasi-differenced data in a model where a break in the intercept is allowed, asymptotic distributions of the M, ADF, and PT statistics are the same as those in the model where only an intercept and a time trend are included. However, the finite sample behaviour for common sample sizes...