This paper tests the three leading specifications of asymmetric and possibly nonlinear feedback from the real price of oil to U.S. industrial production and its sectoral components. We show that the evidence for such feedback is sensitive to the estimation period. Support for a nonlinear model...

This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2005) based on an unobserved components models with innovations having a mixtures of Normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We...

We propose an alternative model and method to reconcile the puzzling feature in the relationship between the real exchange rate and real interest rate differentials. Our simple two-country model with preset prices, along with firms’ misperception about the future exchange rate, implies that...

This note provides explanations for an unexpected result, namely, the estimated parameter of the correlation coefficient of the trend shock and cycle shock in the state–space model is almost always (positive or negative) unity, even when the true variance of the trend shock is zero. It is...

This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in...

This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in...

This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2005) based on an unobserved components model with innovations having a mixture of Normal distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We...

Recent work on trend-cycle decompositions for US real GDP yields the following features: methods based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology,...