The present paper has two aims. The first aim is to test whether six new member states of the European Union (the six Central and Eastern European Countries) form an optimum currency area (OCA) with the eurozone, in an attempt to assess their readiness for euro adoption. The second aim is to...

The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models....

This paper contributes to the debate on the relationship between public-capital accumulation and private investment in India along the following dimensions. First, acknowledging major structural changes that the Indian economy has undergone in the past three decades, we study whether public...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This paper contributes to the debate on the relationship between public and private investment in India along the following dimensions. First, acknowledging major structural changes that the Indian economy has undergone in the past three decades, we study whether public investment in recent...

We extend the monitoring of structural breaks in classic cointegration proposed by Wagner and Wied (2017) to explicitly allow for fractional cointegration and breaks in these fractional relations with possible deterministic trends. To estimate the parameters we use a fully modified OLS estimator...

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

The paper develops a simple model to explain Covered Interest Parity (CIP) deviations. The model allows for a time-varying country risk premium and is used to motivate a Structural Vector Auto-Regression (SVAR) approach to study the joint dynamics of the Covered Interest Differential (CID) and...

The paper develops a Markov switching multifractal model with dynamic conditional correlations. The objective is to give more flexibility to the initial bivariate Markov switching multifractal model [MSM] (Calvet et al. (2006)) by introducing some time dependency in the comovement structure. The...