In this paper we analyse whether the apparent comovement of unemployment rates for some of the Central and Eastern EU new members can be explained by a common force, possibly linked to the process of economic integration. For this purpose we test for nonlinear unit roots as a first step to...

This article analyses the evolution over time of perceived corruption for a large set of countries worldwide. To proxy corruption, we use the recently proposed Bayesian Corruption Index (Standaert, S. (2015). Divining the level of corruption: A bayesian state space approach, Journal of...

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

This paper proposes an estimation method for persistent and transitory monetary shocks using the monetary policy modeling proposed in Andolfatto et al, [Journal of Monetary Economics, 55 (2008), pp.: 406-422]. The contribution of the paper is threefold: a) to deal with non-Gaussian innovations,...

This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes into persistent and transitory...

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...