We test the validity of Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that we...

In this paper, we present a forecasting model of bank failures based on machine-learning. The proposed methodology defines a linear decision boundary separating the solvent from the failed banks. This setup generates a novel alternative stress testing tool. Our sample of 1443 U.S. banks includes...

We empirically test the effects of unanticipated positive versus negative fiscal policy shocks on the growth rate and the cyclical component of real private output. In doing so, we employed two alternative approaches. The first one uses vector autoregressive systems in order to construct the...