Following the approach suggested by Engel and Kim (1999), we estimate the permanent and transitory components of the real exchange rates in four Latin-American countries for the period 1957:01 to 2002:04. Results suggest that transitory component is the driving force of the real exchange rates...

There has been a substantial amount of convergence between post-Keynesian and Marxist economics, the writings of Kalecki being common ground for both traditions. Still, some differences remain. While authors in both traditions seem to agree to a large extent on short-period issues, long-period...

We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.

Empirical research indicates that the volatility of stock return time series have long memory. However, it has been demonstrated that short memory processes contaminated with random level shifts can often be confused as being long memory. Often this feature is referred to as spurious long...

The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long memory. Another fact that is shown in the literature is that this feature may be spurious and volatility actually consists of a short memory process contaminated with random level...

We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by GalÌ and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the...

JEL Classification-JEL:

This paper has four objectives. Firstly, to verify the existence of long-term relationships between the groups of variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, to analyze the role of public and private investment, as well as the...

In a recent paper, Fajardo et al. (2009) propose an alternative semiparametric estimator of the fractional parameter in ARFIMA models which is robust to the presence of additive outliers. The results are very interesting, however, they use samples of 300 or 800 observations which are rarely...