In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for...

The relationship between recessions and productivity has been the focus of an important body of theoretical and empirical research in the last two decades. We contribute to this literature by presenting new evidence on the evolution of productivity in the aftermath of recessions. Our method...

Empirical evidence suggests that real exchange rates (RER) behave differently in developed and developing countries. We develop an overlapping generations two-sector exogenous growth model in which RER determination may depend on the country's capacity to borrow from international capital...

We revisit the debate on the sustainability of the current account dynamics in the US. Using the concept of sustainability as the ability to meet the long run intertemporal budget constraint, we test for unit roots in the US current account for the 1960-2004 period. We argue that there are...

This note revisits the temporal causality between exchange rates and fundamentals put forward by Engel and West (2005). We analyze the causal link within multivariate VARs by making use of the concept of multi-step causality. Our results show that, considering information content beyond...

Spillovers have usually been undertaken at the country level, the spillover effects can be more definitive only if the analysis is conducted at the industry-level. This paper therefore attempts to identify spillovers by disentangling technological innovations into intra- and inter-national...

We analyse the interaction between legal origins and ethnic heterogeneity and their combined impact on national efficiency. We hypothesise that in the presence of high ethnic heterogeneity common-law system performs worse than civil-law one in terms of economic efficiency. Our empirical tests on...

We look at syndication in the venture capital industry. Investments conducted by syndicates are believed to have better chances of being successful, measured by the survival probability of portfolio companies or by successful exits. Using a novel and large dataset, covering several countries,...

Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law. We use a logistic smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also suggest a new test of the linearity hypothesis...

We look at syndication in the venture capital industry. Investments conducted by syndicates are believed to have better chances of being successful, measured by the survival probability of portfolio companies or by successful exits. Using a novel and large dataset, covering several countries,...