There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure to control for cross-sectional dependence. This article presents evidence of mean-reversion in industrial country real exchange rates in a set up that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and capable of detecting against regim...

This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro-Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro-Dollar exchange rate closely followed the values implied by the PEER. The only significant deviations from the PEER occurred in the ye...

Recent evidence supports a role for vitamin K-dependent coagulation zymogens in adenovirus serotype 5 (Ad5, subgroup C) infection of hepatocytes. Here, we assessed the effect of virus-zymogen interaction on cellular transduction using a panel of fiber (f)-pseudotyped viruses derived from subgroup D (f47, f33, f24, f45, f17, f30). Each virus directly bound factor X (FX) as determined by surface ...

Abstract The aim of the paper is to compare forecasting performance a class statedependent autoregressive (SDAR) models for univariate time series with two alternative families nonlinear models, such as SETAR and GARCH models. study conducted on US GDP growth rate using quarterly data. Two methods forecast comparison are employed. first method consists in evaluation average by measures root mea...

exchange rate prediction, as one of the main variables in macroeconomics, has been one of the aims of the economic research for a long time. for modeling and predicting exchange rate we apply stochastic differential equation, specifically we use geometric brownian motion (gbm) and jump-diffusion process (mjdp) attributed to merton. we show that the result of simulation based on gbm and mjdp out...

Traditional empirical strategies for studying convergence—more generally, the dynamics and determinants of economic growth—can be misleading if important, underlying permanent or growth components are stochastically time-varying. This paper documents the degree to which this instability characterizes the data, and then offers an alternative empirical framework. This alternative—directly modelli...

This paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with uncorrelated increments. We provide expressions for the corresponding variances, and covariances, for both the levels and differences of the aggregated series, demonstrating how the degree of temporal aggregation impacts these partic...

This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper, the IMF’s new Global Economy Model (GEM) is us...

This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed. Two of the models fail to provide useful forecasts. One model provides forecasts that are somewhat informative though still not re...