Browsing Refereed Publications by Title
Now showing items 33-52 of 52
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Long-range dependence in U.S. home price volatility
(Springer, 2011-04)The existence of GARCH effects in a financial price series means that the probability of large losses is much higher than standard mean-variance analysis suggests. Accordingly, several recent papers have investigated whether ... -
Mexico's business cycles and synchronization with the USA in the post-NAFTA Years
(Wiley-blackwell, 2011-11)A number of papers have investigated the increasing macroeconomic ties between Mexico and the USA. These studies have relied on linear models, however, making their results suspect. Other papers have investigated nonlinearity ... -
One continent, one currency? Varieties of common currency experience in Europe and Latin America
(John Wiley & Sons, Inc., 2006-08)Currency unions have been promoted as a means to increase trade, investment and growth. A crucial issue in giving up the domestic currency is the loss of a mechanism to absorb real external shocks. High real exchange ... -
Quantitative goals for monetary policy: a quantile regression approach
(Taylor & Francis, 2009)A recent paper by Fatas et al. (2006 Fatas, A, Mihov, I and Rose, A. 2006. Quantitative goals for monetary policy. Journal of Money, Credit and Banking, 39: 1163-76. [Google Scholar] ) indicates that formal monetary ... -
Regional convergence and structural change in US housing markets
(Routledge, 2019-10-24)If house prices are convergent at the national level, monetary policy is easier to implement, and labour has an easier time achieving mobility across regions. Accordingly there have been several studies on home price ... -
Regional house price co-movement in the USA: the medium cycle is not the business cycle
(Springer Nature, 2022-08-02)Co-movement in different regional housing markets has implications for portfolio management, as well as the effectiveness of monetary and other policies. Such co-movement has thus been the subject of several previous ... -
Regional house price segmentation and convergence in the US: a new approach
(Springer US, 2015-01)This paper investigates the extent of regional integration (or, conversely, segmentation) in US home values. In contrast to some previous studies, we examine the degree of integration in the US with a data set which runs ... -
Scottish home prices: Compatible with Euro membership?
(Universita Carlo Cattaneo, 2021)Although the Scottish electorate voted down independence in 2014, Brexit has led to renewed calls from Scottish political leaders for a second referendum. Scottish independence would likely lead to joining the European ... -
Securitization, liquidity, and the Brady plan
(Elsevier, 1999)Securitization of bank loans is proposed as a solution to the ongoing debt difficulties for emerging market nations. This paper analyzes the effects of the Brady plan for four participating countries. In addition to resolving ... -
The Barings crisis in Argentina: the role of exogenous European money market factors
(Taylor & Francis, 2002-01)The Barings crisis of 1890 was a wrenching financial crash and recession for Argentina. The episode is similar in many respects to the balance of payments difficulties in emerging markets during the 1990s. In particular, ... -
The East African Monetary Union: is the level of business cycle synchronization sufficient?
(Redfame Publishing, 2015)The East African Community (Burundi, Kenya, Rwanda, Tanzania and Uganda) has a goal of a currency union, as part of a movement toward eventual political union. A key factor in making a currency union desirable is a high ... -
The end of the Asian myth: why were the experts fooled?
(Elsevier, 1999-10)This article examines the reasons behind the overoptimism of a large segment of the economics profession concerning the performance of East Asian economies, which was shattered by the financial crises of 1997-1998. It also ... -
The home price-income relationship for US states
(Routledge, 2023-05-07)There are conflicting theories on whether house prices and income should share a long-run relationship. Empirical work on the topic has yielded mixed results. Most previous studies have investigated whether the house ... -
The Housing bubble: how much blame does the Fed really deserve?
(American Real Estate Society, 2014)Two recent empirical papers have blamed the Fed for the latest boom and bust in housing. Neither study includes long-term interest rates, which are more affected by global factors than the federal funds rate (FFR). In this ... -
The impact of the U.S. on Latin American business cycles: a new approach
(Elsevier, 2017)Business cycles in Latin America have tended to be more volatile than those in wealthier nations such as the US. Accordingly, much research has been conducted on Latin business cycles, as well as the impact of the US on ... -
The pricing of risk in emerging credit markets: bonds versus loans
(Kluwer Academic Publishers, 2000-05)Much of the volatility in emerging markets in the 1990s stems from the fact that the major form of foreign investment is the bond rather than the bank loans which predominated until the debt crisis of the 1980s. Bondholders ... -
The Role of non-bank financial intermediaries in propagating Korea's financial crisis
(World Scientific Publishing, 2003-03)The Korean crisis has been analyzed for the causal role banks played through the "credit view". Non-bank lenders have grown more important than banks in providing loans, but their role in creating financial instability has ... -
Trading externalities and new equity issues in emerging markets
(Elsevier, 2005-02)The volatility in emerging market finance over the last decade has highlighted the importance of developing equity exchanges to enhance risk sharing between international investors. Debt markets do not allow for as much ... -
Volatility clustering in US home prices
(American Real Estate Society, 2008)Generalized autoregressive conditional heteroscedasticity (GARCH) effects imply the probability of large losses is greater than standard mean-variance analysis suggests. Accurately capturing GARCH for housing markets is ... -
Volatility transmission in U.K. housing: a multivariate GARCH approach
(American Real Estate Society, 2010)Despite its importance for gauging the probability of large losses and portfolio management, there has not been an investigation of how GARCH conditional volatility is transmitted between regions in the United Kingdom. ...