With the outbreak of the Greek financial crisis in late 2009, spreads on Greek (and other) sovereigns reached unprecedented levels. Using a panel data of euro-area countries, we test whether the markets treated all euro-area countries in an equal manner over the period 1998:m1 to 2012:m6. An F...

An important question for the future of European Monetary Union is whether the central banks of the European member states are fundamentally similar or are there real differences between them. Much casual evidence seems to suggest that the Bundesbank is fundamentally different in its method of...

This article analyses the long memory properties of quarterly real output per capita in the US (1948Q1–2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$d...</equationsource></inlineequation>

This article estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The...