Published in Economics of Planning
The aim of the paper is to model the impact of exchange rate on both inflation and unemployment variables in economies which are characterized by important structural changes, i.e. a transition phase moving from centralized economies towards market economies. This phenomenon, which is common to the East European countries, stressed different effect...
Published in Economics of Planning
The paper studies the extent to which the transition in agricultural prices has satisfactorily been implemented in Bulgaria and Slovenia and the degree to which actual prices reflect the equilibrium conditions of the market. In Bulgaria, a model in which the new and old regime can co-exist, was estimated using the Kalman filter while in Slovenia, a...
Published in Empirica
This paper investigates the consequences of Spain's accession to the European Union on its imports of manufactures. To that end the realised shares of GDP and the supplies of Spain's main trading partners in the transition period 1986–1992 are compared with the shares that are predicted by means of a model that is estimated using data that relate t...
Published in Open Economies Review
Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between the two rates broke down in the late 1980s. Although the...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an approximation to this bias. The asymptotic bias lies on the (0,1)...
