Details about Mark Wohar

Access statistics for papers by Mark Wohar.

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Short-id: pwo4

Working Papers

2005

1. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence
   Computing in Economics and Finance 2005, Society for Computational Economics
2. The Long and the Short of It: Long Memory Regressors and Predictive Regressions
   Computing in Economics and Finance 2005, Society for Computational Economics

2003

3. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes
   Computing in Economics and Finance 2003, Society for Computational Economics View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations
   See also Journal Article in Economic Inquiry (2004)
4. Trends and Persistence in Primary Commodity Prices
   Royal Economic Society Annual Conference 2003, Royal Economic Society

2001

5. Low frequency movements in stock prices: a state space decomposition
   Working Papers, Federal Reserve Bank of Dallas
   See also Journal Article in The Review of Economics and Statistics (2002)
6. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
   Economic Papers, Trinity College Dublin, Economics Department
7. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests
   Working Paper, Federal Reserve Bank of Cleveland View citations

1997

8. Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market
   Finance, EconWPA
9. Nonlinear dynamics and covered interest rate parity
   Working Papers, Federal Reserve Bank of Dallas View citations
   See also Journal Article in Empirical Economics (1998)
10. The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act
    Finance, EconWPA

1993

11. Convergence in Interest Rates and Inflation Rates Across Countries and Across Time
    Working Papers, Wilfrid Laurier University, Department of Economics

Undated

12. Two Puzzles in the Analysis of Foreign Exchange Market Efficiency
    Discussion Papers, University of Nottingham, School of Economics View citations
    See also Journal Article in International Review of Financial Analysis (1998)

Journal Articles

2009

1. Can the term spread predict output growth and recessions? a survey of the literature
   Review, 2009, (Sep), 419-440
2. Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective
   Journal of Applied Econometrics, 2009, 24, (1), 35-75
3. Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence
   Journal of International Money and Finance, 2009, 28, (3), 427-453

2007

4. Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States
   The Annals of Regional Science, 2007, 41, (1), 171-188
5. Do increases in petroleum product prices put the incumbent party at risk in US presidential elections?
   Applied Economics, 2007, 39, (6), 727-737
6. Domestic–foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models
   Southern Economic Journal, 2007, 73, (3), 814–829 View citations
7. Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models

   This is a significantly revised version of our previous paper, 'Forecasting US Business Fixed Investment Spending'. The results reported in this paper were generated using GAUSS 6.0. The GAUSS programs are available at http:||pages.slu.edu|faculty|rapachde|Research.htm.

   
   Journal of Forecasting, 2007, 26, (1), 33-51

2006

8. IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
   Journal of Financial Research, 2006, 29, (1), 79-93
9. In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
   Journal of Empirical Finance, 2006, 13, (2), 231-247 View citations
10. On the prevalence of trends in primary commodity prices
    Journal of Development Economics, 2006, 79, (1), 146-167 View citations
11. Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
    Journal of Financial Econometrics, 2006, 4, (2), 238-274 View citations
12. The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior
    International Journal of Forecasting, 2006, 22, (2), 341-361 View citations
13. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration
    International Journal of Finance & Economics, 2006, 11, (2), 139-153
14. What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
    Southern Economic Journal, 2006, 73, (1), 55–78 View citations

2005

15. Macro variables and international stock return predictability
    International Journal of Forecasting, 2005, 21, (1), 137-166 View citations
16. Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?
    Journal of Money, Credit and Banking, 2005, 37, (5), 887-906 View citations
17. Valuation ratios and long-horizon stock price predictability
    Journal of Applied Econometrics, 2005, 20, (3), 327-344 View citations

2004

18. A Cautionary Note on the Order of Integration of Post-war Aggregate Wage, Price and Productivity Measures
    Manchester School, 2004, 72, (2), 261-282
19. A cointegrated structural VAR model of the Canadian economy
    Applied Economics, 2004, 36, (3), 195-213
20. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 View citations
    See also Working Paper (2003)
21. Technological convergence among US regions and states
    Economics of Innovation and New Technology, 2004, 13, (2), 101-126 View citations
22. Testing the monetary model of exchange rate determination: a closer look at panels
    Journal of International Money and Finance, 2004, 23, (6), 867-895 View citations
23. The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries
    Southern Economic Journal, 2004, 70, (4), 920-941 View citations
24. The persistence in international real interest rates
    International Journal of Finance & Economics, 2004, 9, (4), 339-346 View citations

2002

25. Low-Frequency Movements in Stock Prices: A State-Space Decomposition
    The Review of Economics and Statistics, 2002, 84, (4), 649-667 View citations
    See also Working Paper (2001)
26. Testing the monetary model of exchange rate determination: new evidence from a century of data
    Journal of International Economics, 2002, 58, (2), 359-385 View citations

2001

27. Explaining stock price movements: is there a case for fundamentals?
    Economic and Financial Policy Review, 2001, (Q III), 22-34 View citations
28. Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993
    Journal of Economics and Business, 2001, 53, (1), 85-102 View citations

1999

29. Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market
    Journal of Finance, 1999, 54, (1), 307-317 View citations
30. Derivative activities and managerial incentives in the banking industry
    Journal of Corporate Finance, 1999, 5, (3), 251-276 View citations
31. Models with Unexpected Components: The Case for Efficient Estimation
    Review of Quantitative Finance and Accounting, 1999, 13, (3), 295-313
32. The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act
    Review of Financial Economics, 1999, 8, (2), 101-119

1998

33. Cointegration, forecasting and international stock prices
    Global Finance Journal, 1998, 9, (2), 181-204 View citations
34. Nonlinear dynamics and covered interest rate parity
    Empirical Economics, 1998, 23, (4), 535-559 View citations
    See also Working Paper (1997)
35. Stock Price Effects of Permanent and Transitory Shocks
    Economic Inquiry, 1998, 36, (4), 540-52 View citations
36. Two puzzles in the analysis of foreign exchange market efficiency
    International Review of Financial Analysis, 1998, 7, (2), 95-111 View citations
    See also Working Paper

1997

37. Convergence in Interest Rates and Inflation Rates across Countries and over Time
    Review of International Economics, 1997, 5, (1), 129-41 View citations

1996

38. Abnormal profits and relative strength in mutual fund returns
    Review of Financial Economics, 1996, 5, (2), 101-116
39. Cointegration and the term structure: A multicountry comparison
    International Review of Economics & Finance, 1996, 5, (1), 21-34 View citations
40. Nontradable Goods Prices and Per-Capita Income: An Application to Regional Korean Data
    Applied Economics, 1996, 28, (5), 551-58
41. PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review
    Journal of Applied Econometrics, 1996, 11, (1), 105-15
42. The Differing Effects of Pre- and Post-1981 Federal Budget Deficits on Tax-Adjusted Real Interest Rates
    Applied Economics, 1996, 28, (1), 45-53
43. The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness
    Economic Journal, 1996, 106, (434), 26-38 View citations

1995

44. Determinants of Persistence in Relative Performance of Mutual Funds
    Journal of Financial Research, 1995, 18, (4), 415-30 View citations
45. Public and private investment: Are there causal linkages?
    Journal of Macroeconomics, 1995, 17, (1), 1-30 View citations
46. The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity
    Journal of Money, Credit and Banking, 1995, 27, (2), 476-97 View citations
47. The expectations theory of interest rates: Cointegration and factor decomposition
    International Journal of Forecasting, 1995, 11, (2), 253-262 View citations

1994

48. S&P 500 Index Options Prices and the Black-Scholes Option Pricing Model
    Applied Financial Economics, 1994, 4, (4), 249-63

1993

49. Corporate Ownership and the Thrift Crisis
    Journal of Law & Economics, 1993, 36, (2), 719-56 View citations

1992

50. Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets
    The Financial Review, 1992, 27, (4), 503-30

1991

51. New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum
    Journal of Financial Research, 1991, 14, (1), 83-92 View citations
52. TESTING ALTERNATIVE SPECIFICATIONS OF RESERVE FLOW EQUATIONS: THE JAPANESE EXPERIENCE, 1959--1986
    International Economic Journal, 1991, 5, (1), 35-50

1990

53. Monetary institutions, budget deficits and inflation: Empirical results for eight countries
    European Journal of Political Economy, 1990, 6, (4), 531-551
54. The Adjustment of Expectations to a Change in Regime: Comment
    American Economic Review, 1990, 80, (4), 968-76 View citations

1989

55. External Shocks and Fiscal Deficits in a Monetary Model of International Reserve Determination: Honduras, 1960-83
    Applied Economics, 1989, 21, (7), 921-29

1987

56. Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982
    Journal of Applied Econometrics, 1987, 2, (1), 1-25
57. Regulation, Scale and Productivity: Reply
    International Economic Review, 1987, 28, (2), 535-39
58. The determinants of international reserves in the small open economy: The case of Honduras
    Journal of Macroeconomics, 1987, 9, (3), 439-450 View citations

1984

59. Monetarism and the Aggregate Economy: Some Longer-Run Evidence
    The Review of Economics and Statistics, 1984, 66, (4), 619-29 View citations

1983

60. Regulation, Scale Economies, and Productivity in Steam-Electric Generation
    International Economic Review, 1983, 24, (1), 57-79 View citations