In this study we examine the stability of long-run broad money demand in Japan. In contrast to previous studies of Japanese broad money demand, we use a series of tests designed specifically to test for structural instability in the presence of I(1) processes. According to these tests, the...

In this paper, we examine a version of the Sargent (1978) and Kennan (1979) labor demand model under the assumption that the forcing processes are nonstationary. We derive a simple model of dynamic labor demand and highlight the important econometric and time-series implications of the...

In this note we subject some Canadian macroeconomic time series to test of seasonal and non-seasonal unit roots. Overall we find evidence that the series are integrated at some of the seasonal frequencies as well as at a zero frequency

This paper investigates whether time-series data from 11 West-German states (Länder) provide evidence in accord with the implication of the permanent-income hypothesis (PIH) for the stochastic relationship between consumption and income innovations. The empirical results do not support this...

This paper examines determinants of the proportion of females in the establishment as this variable can affect the male-female wage gap in an important way. Our search for the determinants is guided by two views of the labour market, namely discrimination and coincidence of needs between firms...

This paper considers a general permanent-income model in which a fraction of consumers in the economy is liquidity constrained. Consumption growth rate for these individuals is related to the growth rate of their income and the level of real interest rates. The interest-rate coefficient is...

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable...

Using Canadian data, the consumption-based asset pricing model is studied, defined in terms of nondurable and durable goods consumption. A two-stage estimation procedure is used, which takes account of the presence of common stochastic trends in the forcing processes. This method yields more...

This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of the mean equation follows a threshold distribution...

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two...