This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...

This paper analyses the effects of fiscal shocks in selected Latin American countries using a two-country model for output, labour input, government spending and relative prices. Dynamic simulation techniques are then applied, in particular to shed light on the possible effects of fiscal...

This paper develops a theoretical framework which allows for both domestic and external factors in the determination of interest rates. We argue that if capital controls are imposed, or if the risk premium is a function of disequilibria in the money market, domestic factors should also play a...

This article examines the process of price discovery in the Mercato Telematico dei Titoli di Stato (MTS) system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace...

The paper tests the unbiasedness of interest differentials and term structure as predictors of inflation differentials and inflation changes, respectively, using three-, six- and twelve-month maturities in eight major industrial countries over the period 1981-1992. The first hypothesis requires...

This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Stricter environmental regulations may increase costs and thereby may lead to a loss of competitiveness which implies a decline in exports, increase in imports and in the long term a shift of pollution intensive industries from countries with stringent regulations towards those with less strict...

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of 27months, we find a greater degree of price leadership of the dominant...

This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...