We explore the asymmetric behaviour of inflation around the target level for inflation-targeting emerging markets. The first rationale behind this asymmetry is the asymmetric policy response of the central bank around the target. Central banks could have a stronger bias towards overshooting...

Theoretically, the risk premium captured by Credit Default Swap (CDS) and bond yield spreads should be equal. However, data reveals a significant difference between the two spreads. We explore the presence of a mean-reverting behavior in this difference (CDS-bond basis), for selected emerging...

This paper extends the unit root test of Christopoulos and Leòn-Ledesma (2010) to accommodate not only structural breaks and non-linear mean reversion, but also the contemporaneous cross-sectional dependence commonly found in panel dataset. The proposed test presents good finite sample...