Browsing Refereed Publications by Type "Article"
Now showing items 1-20 of 52
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Boom-bust cycles and the forecasting performance of linear and non-linear models of house prices
(Springer, 2008-04)The tremendous rise in house prices over the last decade has been both a national and a global phenomenon. The growth of secondary mortgage holdings and the increased impact of house prices on consumption and other components ... -
Bubbles, busts, breaks, and segmentation
(American Real Estate Society, 2013)Given the recent turmoil in the housing market in the United States, several papers have examined whether price dynamics in municipalities displayed a structural change, which would suggest bubble and bust behavior. Some ... -
Can money market mutual funds provide sufficient liquidity to replace deposit insurance?
(Springer, 2001-09)Narrow banking is an arrangement in which deposittaking and lending functions are separated and performed by different institutions. This separation is aimed at avoiding panics at uninsured banks, without moral hazard ... -
Central Bank Independence, Inflation and Uncertainty: The Case of Colombia
(Taylor & Francis, 2009)Colombia undertook reform of its central bank in 1991, pushing it in the direction of greater independence. We find that this reform led to a significant decrease in the level of inflation, as well as inflation uncertainty, ... -
Changing inflation dynamics and uncertainty in the United States
(Southern Economic Journal, 2009-01)Inflation uncertainty has been shown theoretically and empirically to lower real Output (Friedman 1977; Grier et al. 2004). Employing a Markov-switching model with regime-varying variance, as well as more traditional ... -
Clustering in U.K. home price volatility
(American Real Estate Society, 2011)In the wake of the 2007-2009 global financial crisis, there has been heightened interest in correctly gauging the probability of large losses on assets, particularly house prices. If an asset exhibits GARCH effects in its ... -
Contagion versus interdependence across regional U.S. housing markets and implications for RMBS geographic diversification strategy
(American Real Estate Society, 2015)Home prices in the United States often exhibit little (and sometimes even negative) correlation across different regions. This reflects segmentation in the national housing market and also provides an apparent opportunity ... -
Convergence in the Eurozone: Progress Towards the Goal?
(Wiley-Blackwell, 2020-09-23)Convergence in per capita income across member countries is a stated goal of the European Union. This goal applies, of course, to all eurozone nations. The impact of a common currency on income convergence is both theoretically ... -
Covered interest arbitrage: Then versus now
(Wiley-Blackwell Publishing, 2006-05)We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using ... -
Did the classical gold standard lead to greater business cycle synchronization? Evidence from new measures
(John Wiley & Sons Ltd, 2014-02)Previous studies have presented findings suggesting that the gold standard may have led to an increase in business cycle synchronization among its member countries. This follows a growing literature which posits that ... -
Did the classical gold standard lead to greater price level convergence? A new approach
(Springer International Publishing AG, 2015-04)Some previous research has indicated that the classical gold standard led to greater price level co-movement among member countries than would be observed in later Bretton Woods and floating exchange rate regimes. This ... -
Did the euro common currency increase or decrease business cycle synchronization for its member countries?
(John Wiley and Sons, 2018-07)We use two variants of Markov switching models to assess changes in output synchronization since the creation of the euro. Out of eight eurozone countries investigated, only onethe Netherlandshas synchronization increased ... -
Do frontier equity markets exhibit common trends and still provide diversification opportunities?
(Taylor & Francis, 2006-08-19)Many small, frontier equity markets in regions such as Africa and Eastern Europe have opened in recent years. As in other larger emerging markets, important issues for investors are the extent of financial integration with ... -
Do inflation targeting handcuffs restrain leviathan? Hard pegs vs. inflation targets for fiscal discipline in emerging markets
(Taylor & Francis, 7/1/2007)Inflation targeting has been increasingly adopted in emerging markets as fixed exchange rates have fallen in popularity. An important question is whether inflation targeting provides the same level of fiscal discipline as ... -
The dynamics of house prices and income in the UK
(Global Social Science Institute, 2020)Asset prices and fundamentals can move apart, as is the case during bubble episodes. However, they should exhibit a stable relationship in the long run. For UK housing, previous studies have investigated whether house ... -
Effectiveness of capital controls: the Case of Brazil
(John Wiley & Sons, Ltd., 2004-02)The emerging market crises of the past decade have led some observers to question the wisdom of a completely open capital account. But even if capital controls are desirable, empirical evidence is needed to demonstrate ... -
Exchange rates, inflation and growth in small, open economies: a difference-in-differences approach
(Taylor & Francis, 4/11/2011)Financial crises in emerging markets have led many observers to recommend abandoning fixed exchange rates and adopting more flexible regimes. Moreover, some recent research suggests that the correct exchange rate regime ... -
Fixed exchange rates and disinflation in emerging markets: how large is the effect?
(Springer, 2008-10)We examine developing countries which have institutional quality ratings for the effects of exchange rate rigidity on inflation. The level of institutional development exerts no effect on the impact of currency regimes. ... -
Fixed exchange rates and sticky Prices in emerging markets
(John Wiley & Sons, Ltd., 2003-06-23)In the wake of financial crises in emerging markets, firmly fixed exchange rates and even dollarization have been advocated as a means to decrease vulnerability. There are many important new issues related to fixing the ... -
The foreclosure-house price nexus: a panel VAR model for US states, 1981-2009
(Wiley-Blackwell, 2013-07-19)Despite housing's economic importance, little has been written on how foreclosures and home prices interact in a framework that includes macroeconomic and housing variables such as employment, permits or sales. Panel VAR ...