This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support for PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the real exchange rate is stationary...

This paper tests for the empirical fulfilment of PPP in Australia (1977-2004). Previous research focuses on the presence of structural breaks and fails to find any support for PPP (Darne and Hoarau, 2008, Henry and Olekalns, 2002). In contrast, we find that the real exchange rate is stationary...

The annual structure of the Spanish real GDP is investigated in this article by means of fractional integration techniques. The results show that the series can be specified in terms of an I(d) process with d smaller than one and thus showing long memory and mean-reverting behaviour.

The annual structure of the Spanish real GDP is investigated in this article by means of fractional integration techniques. The results show that the series can be specified in terms of an I(d) process with d smaller than one and thus showing long memory and mean-reverting behaviour.

The financial crisis of 2008 quickly spread from the USA to the world's major economies and might have impacted on the persistence of unemployment. This might happen because the crisis ushered in recession to every country affected and, in the aftermath, most countries have pursued austerity...

The aim of this paper is to analyse the existence of price convergence in Mercosur. Two variables are considered, Consumer Price Indices to assess convergence in the goods and services markets and real interest rates, to analyse convergence in the money markets. For this purpose we have applied...

This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs...

This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs at...

This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are...

This paper deals with the analysis of US unemployment by means of I(d) techniques and using two different measures, the unemployment rate and the initial claims at different data frequencies. The results indicate that the unemployment rate series are I(d) with d constrained between 0.5 and 1,...