Confidence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized block bootstrap and discusses practical issues, such as the choice of the block size. A particular da...

We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support a model which includes both market and foreign exchange risk. However, both sources of risk are only...

We implement novel tests of general relative purchasing power parity (PPP), defined as a long-run unit elasticity of the nominal exchange rate with respect to relative national prices, allowing for potentially permanent real exchange rate shocks. The finite-sample properties of the estimators used are analyzed through Monte Carlo analysis, allowing for country heterogeneity, cross-sectional dep...

A structural vector autoregressive (SVAR) model of real equity prices in Australia is specified to contain common shocks in international equity markets and domestic shocks in Australian financial and goods markets. Common shocks are identified through the long-run comovements of international equity markets, resulting in the model being characterized as having more shocks than variables. The e...

This paper proposes an econometric evaluation of the New Keynesian Phillips Curve (NKPC) in the euro area, under a particular specification of the adaptive learning hypothesis. The key assumption is that agents’ perceived law of motion is a Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation as the information set increases over time. Each time new...

Some challenges for econometric research on trending time series are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making. JEL Classi...cation: C32, C53, E10

abstract in this paper we test two versions of convergence hypothesis namely deterministic or conditional convergence and stochastic or catching up hypothesis using carrion-i-silvestre et al. (2005) stationary test. the results show latin and south american countries (lsa) catching up process toward the usa failed in 1980s and somewhat in 1990s. but in 2000s most of them could lie in convergenc...

This paper evaluates VAR models designed to analyse the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggests that only VAR models estimated on a single monetary regime feature parameters stability and do not show signs of mis-specifica...

This paper analyses the application of a switching volatility model to forecast the Ž . distribution of returns and to estimate the Value-at-Risk VaR of both single assets and portfolios. We calculate the VaR value for 10 Italian stocks and a number of portfolios based on these stocks. The calculated VaR values are also compared with the variance–coŽ . variance approach used by JP Morgan in Ris...