This paper investigates whether distributional effect arising from the impact of monetary policy on bank credits will be different when monetary policy is asymmetric. Methodologically, we use a set of high frequency panel data for Taiwan commercial banks and adopt Arellano and Bond's (1991)...

Event forecasts, often generated from estimated econometric models, comprise a binary time series. In empirical finance, the market timing test proposed by Henricksson and Merton (1981) is probably the most popular method to assess the accuracy of these forecasts. Unfortunately, event forecasts...

This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009). Our empirical results for six OECD countries suggest that though the nominal...

Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant,...

In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

Under the assumption of intertemporal balance, current foreign reserve holdings should equal the present value of the sum of future current account and financial account balances. To satisfy the intertemporal balance, a testable condition indicates that the change in foreign reserves needs to...