Macroeconomic theory predicts that variations in population cohort sizes will lead to demographically induced real exchange rate movements. While such effects have previously been established for individual countries, this paper exploits cross-sectional time series data to test the prediction...

The small sample size properties of three frequently used cointegration tests when a system has been misspecified are investigated. Specifically, the misspecification consists of one relevant variable being omitted from a system with one cointegrating vector. A Monte Carlo study shows that the...

In a number of recent papers, it has been argued that the use of ex post data can distort the picture when trying to analyse monetary policy reaction functions. This paper aims to establish whether the Taylor rule has been a reasonable representation of US monetary policy using both ex post and...

This study tests for the presence of unit roots in four US macroeconomic time series using panel unit root tests. The Im, Pesaran and Shin (Journal of Econometrics, 115, pp. 53-74, 2003) test, the Multivariate Augmented Dickey-Fuller test (Taylor and Sarno, Journal of International Economics,...

Theory predicts that life cycle saving and consumption behaviour could cause real exchange rate variations as the age structure varies. Time series regressions show that the Swedish demographic structure has significant explanatory power on the real exchange rate during 1960 to 2002. A model...

This article investigates the time-series properties of Norwegian inflation and nominal interest rate using annual data from 1850 to 2004. A number of different univariate unit-root tests are employed to examine whether the time series are mean reverting or generated by unit-root processes....

This study tests whether there is evidence of mean reversion in unemployment rates using the recently developed unit root test of Kapetanios et al. (2003). In this framework, the null hypothesis of a unit root process is tested against the alternative of a globally stationary exponential smooth...

This article estimates the effects of the financial crisis on the Swedish labour market. Using an unobserved components model and an external forecast, we estimate a future path for the Nonaccelerating Inflation Rate of Unemployment (NAIRU). Judging by this analysis, the labour market will be in...

This article investigates whether the US unemployment rate is best described as a unit-root or mean-reverting process. An out-of-sample forecast exercise is conducted in which the performance of an autoregressive (AR) model with an imposed unit root is compared with that of a mean-reverting AR...