The purpose of the paper is to revisit the inflation–output gap relationship using a new approach known as the wavelet transform. This approach combines the classical time series analysis with frequency domain analysis and presents the advantages of assessing the co-movement of the two series...

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI-...

Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large...

The S-shaped cross-correlation function between the trade balance and the terms of trade has been documented for several countries and time frames. The ability of two-country, two-good business cycle models to reproduce this regularity hinges on the dynamics of capital formation. We consider the...

This paper investigates the role of the RBC (Real Business Cycle) model with investment-specific technology shocks in explaining business cycle fluctuations in Brazil. I consider the role of transitory and permanent components of neutral and investment-specific technology shocks. I fit the model...

We show that the preferences suggested by Greenwood, Hercowitz and Huffman (GHH), which are quite common in real business cycle (RBC) models of small open economies, are not suited for reproducing both the business cycle and the equity premium facts of a small open economy. We show that by...

This paper uses a multi-country dynamic general equilibrium model to illustrate real convergence processes in a small open catching-up economy. Our results indicate that even if the convergence is driven by smoothly evolving processes, the dynamic adjustments of key macrovariables can be far...

This paper develops a dynamic general equilibrium model to assess the importance of the credit channel relative to the interest and exchange rate channels. It is motivated by increasing theoretical and empirical evidence that credit market conditions affect the propagation of cyclical...

This paper estimates a structural macroeconomic model using data for Macedonia and Slovakia to characterize possible challenges Macedonia can face concerning macroeconomic stabilization during its transition process. A comparison of the estimated model parameters suggests that, in Slovakia, the...

We explore bifurcation phenomena in the open-economy New Keynesian CGG Model based on Clarida et al. (2001, 2002). We find that the open economy framework can bring about more complex dynamics, along with a wider variety of qualitative behaviors and policy responses. Introducing parameters...