We re-examine the Fama (1984) puzzle - the finding that ex post depreciation and interest differentials are negatively correlated, contrary to what theory suggests - for eight advanced country exchange rates against the US dollar, over the period up to February 2016. The rejection of the joint...

In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the...

This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun's law based on a smooth transition error-correction model that simultaneously accounts for long-term...

We investigate the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear smooth transition error-correction model that simultaneously accounts for long-term relationships between growth and employment and...

Cet article étudie la relation entre l’emploi et le PIB aux Etats Unis. Nous distinguons entre composantes cyclique et permanente de l’emploi via l’estimation d’une loi d’Okun non linéaire basée sur un modèle à correction d’erreur à transition lisse tenant compte simultanément...

This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun's law based on a smooth transition error-correction model that simultaneously accounts for long-term...

This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun’s law based on a smooth transition error-correction model that simultaneously accounts for long-term...