This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can …

the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008 …) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity … tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before …

Correlations of inflation with the growth rate of money increase when data are averaged over longer time periods …. Correlations of inflation with the growth of money also are higher when high-inflation as well as low-inflation countries are … included in the analysis. We show that serial correlation in the underlying inflation rate ties these two observations together …

This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …

The paper re-examines existing estimators for the panel data fixed effects ordered logit model, proposes a new one, and …

The paper reconsiders existing estimators for the panel data fixed effects ordered logit model, including one that has …

longer satisfactory. We use a panel of bank-specific data on 250 Swiss banks over the period 1987-1998. We find considerable …

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …