We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the model is amended with real rigidities to simultaneously account for the macroeconomic evidence of a low Phillips curve...

Exponential smooth transition autoregressive (ESTAR) models are widely used in theinternational finance literature, particularly for the modelling of real exchange rates. Weshow that the exponential function is ill-suited as a regime weighting function because oftwo undesirable properties....

The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...

This study examined the non-linear relationship between financial development and innovation using generalized method of moments (GMM) estimators for a panel data model. The sample comprised data for 75 developed and developing countries for the period 1996 to 2010. An inverted U-shaped...

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and economic growth in South Africa. By using data collected from 1970 to 2016 applied to a smooth transition regression (STR) model, we are able to prove that the exchange...

This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h 0 and functionals of h 0 .First,wederivesup-normconvergence rates for computationally simple sieve NPIV (series two-stage...