This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Since the beginning of 1990s, Turkey has been exposed to large amounts of capital flows with significant effects on the economic performance. This study examines the determinants of capital flows into Turkey in the traditional 'push-pull' factors approach. To this end, a structural vector...

This study examines the impact of foreign currency market interventions of the Central Bank of Turkey (CBT) in a multivariate GARCH framework. CBT has switched to the floating exchange rate regime since 2001 crisis and announced that the interventions in the foreign exchange markets are aimed at...

The recent studies by Blanchard (2004) and Favero and Giavazzi (2004) imply that a tight monetary policy consistent with an inflation-targeting framework in emerging market economies could actually increase the price level due to the lack of fiscal discipline and the associated high risk...

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

We evaluate the forecast performance of a range of theory-based and atheoretical models explaining exchange rates and interest rates in US, UK and Japan. The decision-making environment is fully described for an investor who optimally allocates portfolio shares to domestic and foreign assets....

A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this paper, we compute the probability of “substantial revisions” that are...

Any non-stationary series can be decomposed into permanent (or "trend") and transitory (or "cycle") components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic...

This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates are stochastic and the firm value is determined by the interaction of a series of stochastic variables. The sensitivity of the corporate d

We know from experience that weak economic growth increases the unemployment rate. In 1962 Okun proposed to measure potential output in terms of unemployment gap. From this relation a direct link between increase in unemployment and output growth was deduced, known as the Okun Law. This Law is...