28 research outputs found
The sustainability of the current account in the Czech Republic, Hungary and Slovenia
Current account, Intertemporal budget constraint, Cointegration, Central Europe, C32, F41, P24,
Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient
This study revisits the statistical relationship between the spot and the forward rate. Unlike previous studies, this association is measured by the estimation of the long-run correlation coefficient, a non-parametric measure of linear association. This estimator was shown to be equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. This statistic allows for the measurement of the intensity of correlation. Using data for the £/DM over the May 1992 British General Election and September 1992 ERM devaluation, and for the FF/DM, BEF/DM, AT/DM, and NLG/DM up to the introduction of Euro, the results show that the predictive ability of the forward rate increased. © 2010 Springer Science+Business Media, LLC
An empirical investigation of the sustainability of the public deficit in Portugal
Budget deficit, Cointegration, Long time series, Structural breaks, C13, C14, C22, E62,
Analysing the spillover of inflation in selected Euro-area countries
We examined the spillover of inflation in selected Euro-area countries using monthly consumer price index (CPI) based inflation data covering the period 1955M1 to 2017M4. To achieve our objective, we used two recently developed methods of spillover: a time-domain spillover method, Diebold–Yilmaz (hereafter referred as DY method) and a frequency-domain method, Barunik–Krehlik (hereafter referred as BK method). We analysed 1–4 months and more than 4 months spillovers. The study has importance because the co-movement in the international inflation rates, among others, may be produced by common shocks, similarities in central bank reaction functions, international trade and the operation of purchasing power parity theory. However, to assess the synchronisation of inflation fluctuations across countries or regions, it is critical to understand the inflation behaviour and formulation of correct monetary policy
Balanced growth and structural breaks: evidence for Germany
Balanced growth, Unit roots, Cointegration, Endogenous structural breaks, E23, E32, C32,
Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach
Fiscal sustainability, Markov switching, Cointegration, C22, E62, H60,