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Abstract: In this paper, we forecast real house price growth of 16 OECD countries using information from domestic macroeconomic indicators and global measures of the housing market. Consistent with the findings for the US housing market, we find that the forecasts from an autoregressive model dominate the forecasts from the random walk model for most of the countries in our sample. More importantly, we find that the forecasts from a bivariate model that includes economically important domestic macroeconomic variables and two global indicators of the housing market significantly improve upon the univariate autoregressive model forecasts. Among all the variables, the mean square forecast error from the model with the country's domestic interest rates has the best performance for most of the countries. The country's income, industrial production, and stock markets are also found to have valuable information about the future movements in real house price growth. There is also some evidence supporting the influence of the global housing price growth in out‐of‐sample forecasting of real house price growth in these OECD countries. [ABSTRACT FROM AUTHOR]

ABSTRACT Previous studies applying traditional unit root tests generally have difficulty providing widespread evidence supporting the real interest rate parity hypothesis (RIPH). This paper aims to analyse the empirical fulfilment of RIPH for 17 OECD countries by employing many recently developed unit root tests. Power of the tests is raised by taking different approaches, such as using cross-sectional information, accounting for non-linear adjustment towards the equilibrium and allowing for structural changes. The combined results of the tests using panel information show that broad evidence in favour of RIPH prevails for 13 of the 17 countries. By contrast, univariate tests fail to make widespread rejections of the unit-root hypothesis. Our evidence reveals a high degree of market integration for developed countries, and the effect of monetary policies as a stabilization tool might be limited at least in the long run. [ABSTRACT FROM AUTHOR]

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This paper posits that countries with a constitutional right to social security that can be enforced by courts via judicial review will show patterns of spending on social security that are distinct from countries with other constitutional and judicial arrangements. Governments in countries with enforceable rights will be constrained to spend more on transfer programs to avoid censure from the courts. The hypotheses are tested using data from 22 OECD countries using time-series cross-section analysis. The results show that enforceable rights are associated with higher growth rates in social security spending and lower fluctuation in expenditures on social programs, although the amount of GDP spent on social transfers is unaffected by rights. These results are consistent with the idea that governments' spending habits are constrained by positive rights, but rebut the argument that rights lead to economic distortions. [ABSTRACT FROM AUTHOR]

This paper re-examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in ), using the ) tests. We use ) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size-adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of ): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z-test on inflation rates. We then apply a powerful covariate augmented Dickey-Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of ), the bootstrap covariate augmented Dickey-Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries. [ABSTRACT FROM AUTHOR]

Focuses on approaches used in constructing bounds on the economic indicator per capita income differentials in OECD countries. Strengths and weaknesses of the approaches used; Sensitivity of the purchasing power parity-based comparisons to the choice of index number formula; Description of the approaches used in constructing bounds.

The existence of a quasi-periodic cycle in growth rates of major economic indicators has become one of the more popular stylized facts in interpreting postwar macro-dynamics. In this paper, we examine the statistical record of sixteen OECD countries over the 1950-1970 period to determine the degree of regularity in movements of annual growth rates in both GNP and several disaggregated components. The WALLIS-MOORE test is employed to establish the significance of the deviation of growth rate fluctuations from those of a purely random series. In only 13 of the 90 series investigated were these deviations statistically significant and in only two countries, Germany and Finland, were more than one growth series significantly non-random. These results suggest that there is little statistical significance to the growth cycle hypothesis from an annual perspective and that postwar macro-dynamics generally fail to reflect in the growth rate domain much of the regularity observed in the more traditional business cycle of the prewar period. [ABSTRACT FROM AUTHOR]

We examine the global dimension of inflation in 24 OECD countries between 1980 and 2007 in a Phillips curve framework. We decompose output gaps and changes in unit labour costs into common (or global) and idiosyncratic components using a factor analysis and introduce these components separately in the regression. We find that the common component of changes in unit labour costs has a notable impact on inflation. Movements in import price inflation (not driven by oil supply) and foreign competition and global interest rate developments also affect inflation. Policy makers need to carefully observe those variables when assessing inflation developments. [ABSTRACT FROM AUTHOR]

This article uses survival analysis to investigate the duration of Spanish firms' trade relationships by destination over 1997-2006. Whereas firm export status is highly persistent, firms' destination portfolio is very dynamic: a typical firm-country exporting relationship has a median duration of 2 years. Yet, if a firm manages to export to a country beyond 2 years the risk of exiting that market sharply falls afterwards. The results indicate that not only firm heterogeneity but also destination heterogeneity are crucial to explain survival in export markets. In particular, country (political) risk heavily shapes the effect of firm, product, and other destination characteristics on the length of trade relationships. Whereas firm productivity, comparative advantage, partners' GDP, and proximity enhance duration of trade with low-risk countries, they have no effect on trade survival with high-risk countries. On the contrary, information spillovers are particularly relevant to enhance survival of trade relationships with high-risk countries. [ABSTRACT FROM AUTHOR]

We investigate for 26 OECD economies whether their current account imbalances to GDP are driven by stochastic trends. Regarding bounded stationarity as the more natural counterpart of sustainability, results from Phillips–Perron tests for unit root and bounded unit root processes are contrasted. While the former hint at stationarity of current account imbalances for 12 economies, the latter indicate bounded stationarity for only six economies. Through panel-based test statistics, current account imbalances are diagnosed as bounded non-stationary. Thus, (spurious) rejections of the unit root hypothesis might be due to the existence of bounds reflecting hidden policy controls or financial crises. [ABSTRACT FROM AUTHOR]