This paper investigates whether trade frictions, in the form of exchange controls, are among the main obstacles preventing the Purchasing Power Parity (PPP) hypothesis from being valid among trading nations. It specifically looks at whether exchange controls - a type of trade friction - hinder...

This note provides extensive evidence on the persistence properties of real GDP in 17 European countries and in the US over the period 1960-2023 using a fractional integration framework. The analysis suggests that in all cases shocks have permanent effects on the level of real GDP. This is...

This paper puts forward a general statistical model in the time domain based on the concept of fractional integration. More specifically, in the proposed framework instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This approach...

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...