, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity …

cointegration between the different measures and taking their monthly release calendar seriously. We also combine all existing …

In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite … its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory … and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails …