This paper provides evidence that the European Central Bank (ECB) has adjusted its interest rate since 1999 nonlinearly according to the macroeconomic and financial environment in the euro zone. Its policy function is described by a Taylor rule with regime shifts implying that the stance of...

In this paper, we examine the issue of b - convergence of per-capita GDP in the ECOWAS countries under the assumption of parameter heterogeneity. We apply panel data techniques to an error-correction model that allow us to take into account latent heterogeneities across the countries. In...

This paper provides empirical evidence that there is no absolute convergence between the GDP per capita of the developing countries since 1950. Relying upon recent econometric methodologies (nonstationary long-memory models, wavelet models and time-varying factor representation models), we show...

The aim of this paper is to examine the monetary policy actions through which the central banks in the Sub-Saharan African countries have searched to eliminate the negative impacts of the shocks facing their economies. We compare two types of monetary policy regimes: a currency board regime (in...

This paper presents a continuous time stochastic growth model to study the e¤ects of tax evasion and tax corruption on the level and volatil- ity of private investment and public spending. Our results suggest that there do exist several regimes of mean growth and growth volatility, de- pending...

This paper shows that the impact of changes in budgetary variables on real GDP, investment, consumption and employment varies in sign and magnitude in times of crisis and non-crisis. To this end, a regime-switching process is embedded in standard macroeconomic equations in order to take into...

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are...

This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes...

This paper presents a quarterly macro econometric model of the Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a...