We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to U.S. macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. Nonfarm payroll and federal funds ...

This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the crucial role of exports and investment in the Asian growth dynamics. In a second stage, the structur...

We study the cyclical effects of the timing of durable goods purchases in a general equilibrium model in which both durable and non-durable goods are consumed and the durable good is lumpy. At the microeconomic level, the timing of durable goods purchases supplies some insulation for nondurable consumption over the cycle. At the macroeconomic level, the timing decisions tend to amplify and prop...

In this paper we re-analyze the nature of the trend (deterministic or stochastic) in the Nelson-Plosser macroeconomic data set from an alternative method relative to the previous studies. We underline the e ects of large, but infrequent shocks due to major economic or nancial events on U.S. macroeconomic time series, such as the Great Depression, World War II and recessions, using outlier metho...

This paper analyses the effects of macroeconomic shocks in a monetary union with the aid of a two-country model of the EMU. Our analysis serves two purposes. First, we show how asymmetries between countries might matter in terms of the resulting business cycle fluctuations. More specifically, we do not only allow for country-specific shocks but also for cross-national differences in wage behavi...