We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post-1995 analysis reveals that the linkages between the markets have changed substantially in the more...

In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised 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, 15, 237-259) for the...

We examine convergence in carbon dioxide emissions among 128 countries for the period 1960-2003 by means of a new methodology introduced by Phillips and Sul (Econometrica, 2007). Contrary to previous studies, our approach allows us to examine for evidence of club convergence, i.e. identify...

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,...

This paper employs a new methodology for measuring the contribution of growth and interest rate differentials to the half-life of deviations from Purchasing Power Parity (PPP). Our method is based on directly comparing the impulse response function of a VAR model, where the real exchange rate is...

We propose a new methodology for decomposing the persistence of deviations from purchasing power parity (PPP). By directly comparing the impulse response function (IRF) of a vector autoregressive (VAR) model, where the real exchange rate is Granger caused by a set of candidate variables, with...

Uncertain and persistent real interest rates underpin one argument for using a declin- ing term structure of social discount rates in the Expected Net Present Value (ENPV) framework. Despite being controversial, this approach has in uenced both the Inter-Agency Working Group on Cost-Benefit...