This paper investigates convergence and dynamic effects of human and physical capital on growth, in WAEMU countries. Using recently developed models for panel data and a growth accounting model, the study finds that growth is largely explained by changes in literacy rates and factor...

The welfare caseload evolves through a process of flows onto and off of welfare that can be described with a Markov Chain model. Using formal results for Markov models, this paper examines the dynamic properties of the welfare caseload. In particular, the authors examine steady states, the speed...

We develop a stylized dynamic model of highway policing in which a non-racist police officer is given incentives to arrest criminals, but faces a per stop cost of stop which increases when the racial mix of the persons he stops di.ers from the racial mix of the population.We define the fair jail...

This paper examines the behavior of multivariate option prices in the presence of association between the underlying assets.Parametric families of copulas offering various alternatives to the normal dependence structure are used to model this association, which is explicitly assumed to vary over...

This paper examines the relationship between adherence to international standards of good practice in policy-making and two key indicators of access to capital markets and the cost of this access: spreads and sovereign ratings. In contrast to other work, this study reviews a broad set of...

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity...

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...