Recent research in both the social and natural sciences has been devoted to increasing our ability to predict disasters, prepare for them and mitigate their costs. Curiously, we appear to know very little about the fiscal consequences of disasters. The likely fiscal impact of a natural disaster has not been examined before in any comparable or comparative framework. We estimate and quantify the...

This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedr...

Recent! research! in!both! the! social! and!natural! sciences!has!been!devoted! to! increasing!our! ability!to!predict!disasters,!prepare!for!them!and!mitigate!their!costs.!Curiously,!we!appear!to! know!very!little!about!the!fiscal!consequences!of!disasters.!The!likely!fiscal!impact!of!a!natural! disaster! has! not! been! examined! before! in! any! comparable! or! comparative! framework.! We! e...

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis-a-vis the US Dollar. Since exchange...

Comovement is more than correlation. This paper estimates the contributions of intermediate production linkages, trade patterns, and financial holdings on the directed graph of linkages that describe the international propagation of macroeconomic shocks at the business cycle frequency. The empirical methodology is a novel generalization of the panel vector autoregression (VAR) which nests both ...

This paper complements existing cross-section and panel data analyses of the interaction of income and health outcomes by applying a cointegrating VAR model of income and health to time-series data for several Scandinavian countries. The results are consistent with previous crosssection and panel results, but also highlight the complexity and heterogeneity of the dynamic relationships that gene...