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Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2002

Forecasting models for output are presented to throw light on monetary transmission. Recent research finds multistep forecasting superior to recursive forecasting from a VAR model when structural breaks are present; there are important political and policy regime breaks in South Africa. The...

Persistent link: https://www.econbiz.de/10005067408

Evaluating The Persistence And Structuralist Theories Of Unemployment

Coakley, Jerry; Fuertes, Ana María; Zoega, Gylfi - C.E.P.R. Discussion Papers - 2000

This paper uses a threshold autoregressive (TAR) framework to assess the relative importance of structural breaks and asymmetric persistence in accounting for the post-war unemployment experience. In comparing unemployment patterns across time periods and countries, we take the US as a...

Persistent link: https://www.econbiz.de/10005788887

Granger Causality of the Inflation-Growth Mirror in Accession Countries

Gillman, Max; Nakov, Anton - C.E.P.R. Discussion Papers - 2005

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate...

Persistent link: https://www.econbiz.de/10005791637

Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks

Pesaran, M Hashem; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper develops a theoretical framework for the analysis of small sample properties of forecasts from general autoregressive models under structural breaks. Finite-sample results for the mean-squared forecast error of one-step-ahead forecasts are derived, both conditionally and...

Persistent link: https://www.econbiz.de/10005123678

On the Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge...

Persistent link: https://www.econbiz.de/10008468551

Structural Change and International Trade

Ben-David, Dan; Papell, David - C.E.P.R. Discussion Papers - 1997

This paper examines trends in trade behaviour of 48 countries since the Second World War. In light of the substantial movement towards removal of trade impediments world-wide during the post-war period, this paper attempts to determine if, and when, countries experienced significant changes in...

Persistent link: https://www.econbiz.de/10005114451

The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1997

The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...

Persistent link: https://www.econbiz.de/10005504540

Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate

Caner, Mehmet; Kilian, Lutz - C.E.P.R. Discussion Papers - 2000

rejections of long-run PPP. While the size distortions may be overcome by the use of finite-sample critical values, the resulting … tests tend to have low power under economically plausible assumptions about the half-life of deviations from PPP. Thus, the … the rare case that stationarity is rejected do size-corrected tests shed light on the question of long-run PPP. …

Persistent link: https://www.econbiz.de/10005656394

How Sure Are We About PPP? Panel Evidence with the Null of Stationary Real Exchange Rates

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1999

There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure …

Persistent link: https://www.econbiz.de/10005661753

Spurious Correlation in Exchange Rate Target Zone Modelling: Testing the Drift Adjustment Method on the US Dollar, Random Walk and Chaos

Darvas, Zsolt - C.E.P.R. Discussion Papers - 1998

The drift-adjustment method estimates the expected rate of depreciation within an exchange rate band by simple equations. Papers applying this method claim that, while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper...

Persistent link: https://www.econbiz.de/10005791773