This paper applies various recent panel unit root tests to 14 macroeconomic variables. These variables, observed for the OECD countries since the 50’s, are the same as those considered in the seminal paper by Nelson and Plosser (1982) for the United States. Two distinct generations of tests are used. The first one is based on a cross-sectional independence assumption. If we consider only tests ...

This paper investigates the determinants of tourism inflows to Greece. The significance of the specific sector for the Greek economy varies from 15% to 20% of GDP (measured directly or indirectly respectively). Building on the existing literature, panel data estimation techniques are used, with explanatory variables including selected macroeconomic indicators and (relative) price indices. The m...

During recession, many macroeconomic variables display higher levels of volatility. We show how introducing an AR(1)-ARCH(1) driving process into the canonical Lucas consumption CAPM framework can account for the empirically observed greater volatilty of asset returns during recessions. In particular, agents' joint forecasting of levels and time-varying second moments transforms symmetric-volat...

This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most t...

entrepreneurship, as one of the factors affecting economic growth, is also considered among the key factors by economic policymakers. however, in examining the issue of entrepreneurship, it should be noted that women’s and men’s entrepreneurship can be considered as two distinct and separate phenomena. therefore, the main objective of this paper is to investigate the relationship between women&...

Level vector autoregressive (VAR) models are used extensively in empirical macroeconomic research. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. This paper investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary...

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables as well as aggregate macroeconomic uncertainty at the level of individual forecasters. We find that ex...

Many past studies documented a strong evidence of a linkage between stock prices and macroeconomic activities across different stock markets and time horizons. However, most of these studies have focused on developed economies and highlighted the impact of either domestic variables or a few global factors. In recent times, the impact of global macroeconomic factors upon stock returns has garner...

In this paper we study identification in dynamic factor models and argue that factor models are better suited than VARs to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other idiosyncratic disturbances from structural macroeconomic shocks. As a consequence, the number of structural shocks is no longer equal to the number of variables i...

Governments in Canada, whether at the national or provincial level, believe that forecasting key macroeconomic variables is important enough to justify building their own macroeconometric models rather than relying on an independent service to provide the forecast. Of course, forecasting is but one aspect of model-building activity. Governments can also use models to measure the impact of polic...