In this paper, we study intraperiod and intertemporal substitution in U.S. import demand using a two-good version of the permanent-income model that allows for nonseparability between domestic and imported goods consumption. The intratemporal elasticity of substitution between the two goods is...

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates...

The use of subspace algorithms for the identification of non-stationary cointegrated stochastic systems is a promising technique that is currently under discussion. A revision of the literature provides two distinct algorithms: State Space Aoki Time Series (SSATS) identification algorithm (Aoki...

In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson and Dolado's (1992) conditional ECM- based t-test for no-cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of...

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for...

The main objective of the present paper is to study the relationships and the interrelationships among the financial flows (as Foreign Direct Investment – FDI) that entered the Portuguese, Spanish, French and English economies from 1970 till 2001. With this objective in mind this paper or...

The main objective of the present paper is to study the relationships and the interrelationships among the financial flows (as Foreign Direct Investment – FDI) that entered the Portuguese, Spanish, French and English economies from 1970 till 2001. With this objective in mind this paper or...

This paper presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The empirical analysis builds on synthetic quarterly data from 1975 to 1998, and derives a Behavioural Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER)....

Using a macroeconometric framework, this paper analyses relationships among money, barter and inflation in Russia during the transition period. Following the development of a theoretical framework that introduces barter in a standard small open economy macro model, we estimate our model using...