23 research outputs found
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Government solvency: revisiting some EMU countries
Corsetti and Roubini (1991) reported that the government finances of
Greece, Ireland, Italy and the Netherlands did not satisfy the intertemporal budget
constraint (IBC). We re-examine this issue by utilizing a new empirical approach and
extended data set. Structural shifts, an issue which Corsetti and Roubini were unable
to address due to the lack of suitable econometric methods, are tackled. We show that:
(i) government finances of all four countries satisfy the IBC and this finding is robust
to different time horizons; (ii) multiple structural shifts, most of which correspond to
important policy changes, did occur in the fiscal path of these countries; and (iii) the
overall effect of structural shifts has been to strengthen the evidence supporting IBC.
We also find a clear positive Maastricht effect on IBC
PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks
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
Stock returns and expected inflation: evidence from an asymmetric test specification
Stock returns, Expected inflation, Asymmetry, G11, G12,