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 studies the relationship between inflation, output, money and interest rates in the euro area, using data spanning 1980–2000. The P model is shown to have considerable empirical support. Thus, the “price gap” or, equivalently, the “real money gap” (the gap between current real balances and long-run equilibrium real balances), has substantial predictive power for future inflation. The...

We examine the long-run relationship between tourism development and economic growth using Nonlinear Autoregressive Distributed Lag (NARDL) model for Bangladesh annual data from 1980-2016. find an asymmetric Bangladesh's economy since a one percent increase in receipt increases by about 0.19 percent. On contrary, due to decline receipt, will decrease 0.66 So, have higher negative impact on than...

The paper examines the relationship between stock market valuation and output growth at firm level. Specifically, it aims understanding impact of firms’ liquidity on real output. sample for study includes panel data Indian public limited manufacturing firms. covers period from March 2005 to 2020. Firms with least two consecutive years have been included in sample. full firm-year observations 87...

This study shows that annual output data of the G7 countries in the twentieth century are better characterized as transitory deviations from a (shifting) growth trend than as integrated processes. Furthermore, I find no two countries share common business cycles. JEL classification: C22, E32, 057

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

In this paper, employing VAR and factor analytic models with quarterly U.K. sectoral business investment data, we show that both common and sector–specific shocks play important roles in explaining business investment fluctuations. JEL: C32, E22, E32.