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Keywords:Group of Seven countries 

Working Paper
Non-linear predictability in stock and bond returns: when and where is it exploitable?

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching (predictive) regression models, we also estimate univariate models in which conditional heteroskedasticity is captured through GARCH, TARCH and EGARCH models and ARCH-in mean effects appear in the conditional mean. Although we fail to find a consistent winner/out-performer across all countries and asset ...
Working Papers , Paper 2008-010

Working Paper
The effects of aging and myopia on the pay-as-you-go social security systems of the G7

The Social Security systems of the G7 countries were established in an era when populations were young and the number of contributors far outweighed the number of beneficiaries. Now, for each beneficiary there are fewer contributors, and this downward trend is projected to accelerate. To evaluate the prospects for these economies we develop an overlapping generations model in which growth is endogenously fueled by individuals' investments in physical and human capital and by the government's investment in human capital via public education expenditures. We analyze individuals' behavior when ...
Working Papers , Paper 1998-023

Working Paper
Monetary policy shocks and productivity measures in the G-7 countries

Working Paper Series, Macroeconomic Issues , Paper 93-12

Working Paper
Back of the G-7 pack: public investment and productivity growth in the Group of Seven

Working Paper Series, Macroeconomic Issues , Paper 89-13

Working Paper
News and noise in G-7 GDP announcements

Revisions to GDP announcements are known to be quite large in all G-7 countries: many revisions in quarterly GDP growth are over a full percentage point at an annualized rate. In this paper, we examine the predictability of these data revisions. Previous work suggests that U.S. GDP revisions are largely unpredictable, as would be the case if the revisions reflect news not available at the time that the preliminary number is produced. We find that the degree of predictability varies throughout the G-7. For the U.S., the revisions are very slightly predictable, but for Italy, Japan and the UK, ...
International Finance Discussion Papers , Paper 690

Working Paper
Exchange-rate pass-through in the G-7 countries

This paper examines the current thinking on exchange-rate pass-through to both import prices and consumer prices and estimates the extent to which they have fallen in the G-7 countries since the late 1970s and 1980s. For import-price pass-through we find that all countries experience a numerical decline in the responsiveness of import prices to exchange-rate movements; for nearly half of these countries the decline between 1975-1989 and 1990-2004 is statistically significant. We estimate that while a 10 percent depreciation in the local currency would have increased import prices by nearly 7 ...
International Finance Discussion Papers , Paper 851

Working Paper
Trade elasticities for G-7 countries

This paper reports the results of a project to estimate and test the stability properties of conventional equations relating real imports and exports of goods and services for the G-7 countries to their incomes and relative prices. We begin by estimating cointegration vectors and the error-correction formulations. We then test the stability of these equations using Chow and Kalman-Filter tests. The evidence suggests three findings. First, conventional trade equations and elasticities are stable enough, in most cases, to perform adequately in forecasting and policy simulations. Equations for ...
International Finance Discussion Papers , Paper 609

Working Paper
Breaks in the variability and co-movement of G-7 economic growth

This paper investigates breaks in the variability and co-movement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on co-movement, we test for changes in co-movement allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, ...
International Finance Discussion Papers , Paper 786

Journal Article
G-7 nations to see moderate growth; developing Asian economies strongest

Economics Update , Issue Jan , Pages 8-9

Dynamic factor models with time-varying parameters: measuring changes in international business cycles

We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for ...
Staff Reports , Paper 326


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