The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of non-linear models. We conduct an extensive analysis over a large...

The aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and...

Argentina is a unique experience of protracted economic instability and monetary disorder. In the framework of a long-term view, we investigate the demand for narrow money in Argentina from 1900 to 2006, shedding some light on the existence of money demand equilibria in extremely turbulent...

This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However,...

This papers estimates unrestricted monetary reaction functions for four Latin American countries (Brazil, Chile, Colombia and Mexico) and tests for the presence of non-linear effects in central bank behaviour. The analysis covers the post-1999 inflation-targeting period. We deal with the...

The possibility that a country’s external current account may adjust nonlinearly to shocks is attracting increasing attention in the empirical literature. To shed further light on this issue in the context of emerging-market economies, this paper uses Brazilian data to estimate the...