Many of the empirical studies on purchasing power parity (PPP) have relied on unit root tests of the real exchange rate. With stationarity of the real exchange rate as a necessary condition for PPP, failure to reject the unit root null is taken as evidence against the PPP hypothesis. Finding a...

This paper proposes an alternative bootstrap method for constructing prediction intervals for an ARMA process, when its innovations are represented by a linear GARCH model. The potential of this bootstrap method is assessed through a study which compares the proposed technique with a standard one.

In this paper we use data on individual productivity ratings to analyse the productivity and wage effects of enterprise-related training. The average productivity growth of training is 16%, while the average productivity difference between trained and nontrained workers is 8%. The average wage...

This paper investigates the predictive power of the interest rates during the period 1929-1940 in the United States. Our empirical evidence finds no support for the one-to-one relationship between the term structure of short-term interest rates and inflation for forecasting horizons of six...

Traditional models of international trade flows find that prices explain significant growth in export market shares. In the new international trade theory nonprice factors are seen to be of great importance for the explanation of trade. Following Magnier and Toujas-Bernate (Weltwirtschaftliches...

This paper tests for the presence of nonlinear dependence in the black-market Polish zloty-dollar exchange rate. Using the GARCH-M model, we illustrate use of the Marquardt (Journal of the Society of Industrial and Applied Mathematics, 2, 1963) alternative to the Berndt (Annals of Economical...

As in many other OECD countries, government investment expressed as share of GDP has decreased in The Netherlands. Using the concept of Granger causality, we test in a bivariate vector autoregression framework various hypothesis that have been put forward to explain this decline. It is concluded...

In recent years the Present Value (PV) model has been used extensively to interpret the behaviour of farmland prices. In this paper the rational expectations version of the PV-model used by Tegene and Kuchler (1993) to test for bubbles is examined using long time-series data for land prices and...

This study empirically investigates the impact of state income tax policy on US interstate migration for the period 1985-89. It finds that people vote with their feet and prefer to move so as to minimize their state income tax liabilities.

The hypothesis of export-led growth (ELG) hypothesis is tested for Taiwan using Engle and Granger's (1987) cointegration and error correction model approaches. This study shows that total exports and GDP, as well as exports of manufactured goods and GDP are cointegrated during the post-reform...