A number of papers have documented a significant decline in real GDP volatility in several major OECD economies. Some authors have presented evidence to suggest that this is the outcome of a one-off structural break from a high to low volatility state whilst others have estimated regime...

We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest...

We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest...

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transactions costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply...

In this paper, the authors investigate the difference between the short-run and the long-run savings-investment correlation coefficient, in order to shed light both on the validity of the Feldstein-Horioka regression as a means of measuring the degree of capital mobility and on its implications....

This paper looks at a range of issues concerning capital flows in Europe. The authors gauge the extent of European capital mobility through an examination of saving-investment correlations. Moreover, they provide further evidence on the extent and effect of European capital mobility through an...

This article focuses on the determinants of the large portfolio flows from the United States to Latin American and Asian countries during 1988-92. Cointegration techniques reveal that both domestic and global factors explain bond and equity flows to developing countries and represent significant...

This paper investigates the mean-reverting component in stock prices for sixteen countries using a Kalman filter maximum likelihood estimation procedure to measure the transitory, permanent, and seasonal components. Evidence is provided supporting the mean reversion hypothesis that stock prices...

Several theoretical models of money demand imply nonlinear functional forms for the aggregate demand for money, characterized by smooth adjustment toward long-run equilibrium. In this paper, we propose a nonlinear equilibrium correction model of U.S. money demand that is shown to be stable over...