In this paper we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish...

This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the ECB's policy rate has been affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia...

Forecasting models for bond yields often use macro data to improve their properties. Unfortunately, macro data are not available at frequencies higher than monthly. In order to mitigate this problem, we propose a nonlinear VEC model with conditional heteroskedasticity (NECH) and find that such...

This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix. The proposed Bayesian method allows for estimation of the cointegrating...

This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the ECB's policy rate has been affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia...

Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...

Using a long span of data in Spain, Esteve and Tamarit (2012b) reported evidence of a strong link between per capita income and per capita CO2. In this paper we extend their work, finding evidence of both non-linear cointegration and asymmetric adjustment using a novel approach due to Sephton...

The benefits and costs of government suggest an efficient government size. We investigate efficient government size by analyzing the relation between public spending and real GDP for France in the period 1896–2008. The results show a co-integration nonlinear relationship. Our time-series data...

This paper investigates the potential nonlinear relationship between the real exchange rates of two currencies (Chinese Yuan and South Korean Won) and economic fundamentals using quarterly data over the period 1980Q1–2009Q4. We employ the Alternating Conditional Expectation algorithm to test...