I study whether and how US shocks are transmitted to eight Latin American countries. US shocks are identified using the procedure of Canova and De Nicolo’ (2002) and treated as exogenous with respect to Latin American economies. Posterior estimates for individual and average effects are...

This paper examines the question of which shock generates cyclical movements in output and inflation using an alternative approach. We find that in the G-7 countries output cycles are driven by different structural disturbances, that monetary disturbances play a significant role in at least four...

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...

Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the euro zone. The aim is to establish stylized facts about convergence as it relates both to long-run income levels and to cycles. The analysis...

In this paper I explore whether knowledge of the time-series properties of premia in the pricing of forward foreign exchange can be usefully exploited in forecasting future spot exchange rates. I use signal-extraction techniques, based on recursive application of the Kalman filter, to identify...

In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices and money, and find that monetary aggregates have a potentially significant role...

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange. The methodology involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in...

If some consumers are liquidity-constrained, aggregate consumption should be ‘excessively sensitive’ to credit conditions as well as to income. Moreover, the ‘excess sensitivity’ may vary over time. Using data for Canada, France, Japan, the United Kingdom and the United States, we find a...