This paper studies the dynamic effects of the fiscal policy shock on private activity using an array of vector autoregressive models for the post-war US data. We are particularly interested in the role of consumer sentiment in the transmission of the government spending shock. Our major findings...

We utilize the nonlinear unit root tests proposed by Park and Shintani (2005) and find strong evidence of nonlinear mean reversion between a US stock index and the stock indices in France, Germany, Italy and the UK. We identified an inaction band where deviations of these international stock...

The least squares (LS) estimator suffers from signicant downward bias in autoregressive models that include an intercept. By construction, the LS estimator yields the best in-sample fit among a class of linear estimators notwithstanding its bias. Then, why do we need to correct for the bias? To...

This paper evaluates the degree of pass-through from oil price shocks to disaggregate U.S. consumer prices. We find significantly positive effects of the oil price shock only on energy-intensive CPIs, which imply that significantly positive, though quantitatively small, response of the total CPI...

We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional...

This paper evaluates the degree of the pass-through effect of the oil price shock to six CPI sub-indices in the US. We report substantially weaker pass-through effects in less energy-intensive sectors compared with those in more energy-intensive sectors. We attempt to find an explanation for...

This paper investigates the short-run relationship between closed-end fund prices and their net asset values. In particular, we document three systematic differences between the short-run pricing behaviors for stock and bonds funds. For equity funds, we show that returns processes for both...

This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...

This paper examines common forces driving the prices of 51 highly tradable commodities. We demonstrate that highly persistent movements of these prices are mostly due to the first common component, which is closely related to the US nominal exchange rate. In particular, our simple factor-based...

It is well-known that there is a large degree of uncertainty around Rogoff's (1996) consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we...