This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...

In this paper, we make multi-step forecasts of the annual growth rates of the real GRP for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the...

In this paper, we make multi-step forecasts of the annual growth rates of the real Gross Regional Product (GRP) for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth...

Im Verlauf der rasanten wirtschaftlichen Entwicklung Chinas haben sich enorme regionale Unterschiede herausgebildet. In der leistungsstärksten Provinz (Shanghai) war das Pro-Kopf-Einkommen 2007 fast zehnmal so hoch wie in der wirtschaftlich schwächsten Provinz (Guizhou). Eine Verringerung der...

In this paper we report the European experience with a basket currency, the ECU. The ECU was initially introduced as a reference unit and later became the anchor of the European Monetary System. Public policy was complemented by private sector initiatives and use of the ECU for denomination of...

Pegging in a coordinated way to a regional basket currency is considered by many as optimal for east-Asian countries. By contrast, according to existing empirical studies, these countries have most often relied on noncooperative United States dollar or G3 pegs. We show for the first time that by...

In this paper, we examine beta-convergence of real per-capita income of Chinese counties. We account for both the spatial dependences between counties and the possibility of different convergence regimes. The first feature is captured by the spatial error term, whereas the second one is modeled...

The forward premium anomaly refers to the situation where the slope coefficient in a regression of spot returns on the lagged interest rate differential is negative and significantly different to unity. This paper explores some of the asymmetries and non linearities present in the anomaly and...

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency intra day commodity futures returns and...