This paper documents the main stylized features of macroeconomic fluctuations for 12 developing countries. Cross-correlations between domestic industrial output and a large group of macroeconomic variables (including fiscal variables, wages, inflation, money, credit, trade, and exchange rates)...

This paper examines the links between fiscal policy, capital inflows, and the real exchange rate in Turkey since the late 1980s. After an overview of recent macroeconomic developments in Turkey, a vector autoregression model is estimated linking government spending, interest rate differentials,...

This paper estimates a simple consumption-smoothing model of the French current account, and examines its capacity to predict recent developments in France’s external performance. The model views the current account as a buffer through which private agents can smooth consumption over time in...

We use National Bank of New Zealand Regional Economic Activity data, to identify and characterise classical business cycle turning points, for New Zealand's 14 regions and aggregate New Zealand activity. Using Concordance statistic measures, logistic model and GMM estimation methods, meaningful...

This paper considers an alternative asymptotic framework to standard sequential asymptotics for nonlinear models with deterministically trending variables. The asymptotic distributions of generalized method of moments estimators and corresponding test statistics are derived using this framework....

Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle...

The current economic expansion is one of the more enduring in New Zealand's post-war period. But is this a change from past behaviour? We examine New Zealand's post-war business cycles for the sample period 1946q1 to 2005q4, using a newly developed 60-year quarterly time series for real GDP. The...

This paper tests for purchasing power parity (PPP) using real effective exchange rate data for 90 developed and developing countries in the post-Bretton Woods period. Support for PPP is found, since the majority of countries experience finite deviations of real exchange rates from parity. The...

Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity (PPP) of between three to five years (Rogoff, 1996). However, conventional least-squares-based estimates of half-lives are...

There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in...