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Details about David A. Peel

Homepage:http://www.lums.lancs.ac.uk/economics/profiles/david-peel/
Workplace:Department of Economics, Management School, Lancaster University, (more information at EDIRC)

Access statistics for papers by David A. Peel.

Last updated 2019-04-07. Update your information in the RePEc Author Service.

Short-id: ppe143


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Working Papers

2017

  1. Exuberance in the U.K. Regional Housing Markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  2. Pre-Decision Side-Bet Sequences
    Working Papers, Lancaster University Management School, Economics Department Downloads

2016

  1. Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K
    Working Papers, Lancaster University Management School, Economics Department Downloads

2015

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (13)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2016)
  2. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
    Working Papers, Banco de España Downloads View citations (1)

2014

  1. Episodes of exuberance in housing markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (7)

2013

  1. Higher-order moments in the theory of diversification and portfolio composition
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)

2012

  1. A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (14)

2011

  1. On the stability of the CRRA utility under high degrees of uncertainty
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)

2010

  1. Further empirical evidence on the consumption-real exchange rate anomaly
    Working Papers, Lancaster University Management School, Economics Department Downloads
  2. The Impact of ECB and FED announcements on the Euro Interest Rates
    DEP - series of economic working papers, University of Genoa, Research Doctorate in Public Economics Downloads View citations (2)
    See also Journal Article in Economics Letters (2011)

2009

  1. Bubbles in House Prices and their Impact on Consumption: Evidence for the US
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (17)
  2. ESTAR model with multiple fixed points. Testing and Estimation
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  3. Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  4. Linkages between Shanghai and Hong Kong stock indices
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (13)
    See also Journal Article in Applied Financial Economics (2009)
  5. Real Exchange Rates and Time-Varying Trade Costs
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2011)
  6. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2010)

2007

  1. Inflation Dynamics in the US -A Nonlinear Perspective
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (3)

2006

  1. Are analysts’ loss functions asymmetric?
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (3)
  2. On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2005) Downloads

    See also Journal Article in Open Economies Review (2007)
  3. On the relationship between Nominal Exchange Rates and domestic and foreign prices
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2007)
  4. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2006) Downloads

    See also Journal Article in Economics Letters (2007)

2005

  1. A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (9)
    Also in Working Papers, Lancaster University Management School, Economics Department (2005) Downloads View citations (1)
  2. Are analysts' loss functions asymmetric?
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)
    See also Journal Article in Journal of Forecasting (2012)
  3. Cumulative prospect theory and gambling
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (4)
  4. Habit, aggregation and long memory: evidence from television audience data
    Working Papers, Lancaster University Management School, Economics Department Downloads
    See also Journal Article in Applied Economics (2007)
  5. Smooth transition models and arbitrage consistency
    Working Papers, Lancaster University Management School, Economics Department View citations (11)
    See also Journal Article in Economica (2005)
  6. THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (7)
    See also Journal Article in Applied Economics (2005)
  7. Temporal aggregation of an ESTAR process
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  8. The long memory model of political support: some further results
    Working Papers, Lancaster University Management School, Economics Department Downloads
    See also Journal Article in Applied Economics (2007)

2004

  1. ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (4)
    See also Journal Article in Journal of Forecasting (2004)
  2. Calvo Contracts: A Critique
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
  3. NONLINEAR PPP UNDER THE GOLD STANDARD
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (4)
  4. TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (8)
    See also Journal Article in Journal of Applied Econometrics (2006)

2002

  1. Exploitability as a Specification Test of the Phillips Curve
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
  2. Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)

2001

  1. Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (519)
    See also Journal Article in International Economic Review (2001)

1998

  1. Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences
    FMG Discussion Papers, Financial Markets Group Downloads View citations (38)

1984

  1. Money and activity in the U.K. 1961-1983: surprise? surprise!
    Working Papers, Federal Reserve Bank of St. Louis Downloads

1983

  1. The Life Cycle Hypothesis and Rational Expectations: Some Further Empirical Results
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads

1981

  1. On Optimal Returns to a Factor
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads

Undated

  1. Spreads, Efficiency and Outcome Uncertainty: Evidence from the Rugby League
    Discussion Papers, Department of Economics, University of Wales, Aberystwyth

Journal Articles

2018

  1. A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP
    Macroeconomic Dynamics, 2018, 22, (07), 1825-1843 Downloads
  2. An explanation of each-way wagers in three models of risky choice
    Applied Economics, 2018, 50, (22), 2431-2438 Downloads
  3. Consistency of two major data sources for exchange rates in the interwar period and further evidence on the behaviour of exchange rates during hyperinflations
    International Journal of Finance & Economics, 2018, 23, (4), 442-455 Downloads
  4. Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 17 Downloads
  5. On the persistence and dynamics of Big 4 real audit fees: Evidence from the UK
    Journal of Business Finance & Accounting, 2018, 45, (5-6), 714-727 Downloads
  6. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
    Journal of Money, Credit and Banking, 2018, 50, (5), 833-856 Downloads View citations (1)

2017

  1. LOSS AVERSION AND RUINOUS OPTIMAL WAGERS IN CUMULATIVE PROSPECT THEORY
    Economics Bulletin, 2017, 37, (1), 352-360 Downloads
  2. TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
    International Economic Review, 2017, 58, (4), 1191-1226 Downloads View citations (1)
  3. Wagering on more than one outcome in an event in Cumulative Prospect Theory and Rank Dependent Utility
    Economics Letters, 2017, 154, (C), 45-47 Downloads View citations (1)

2016

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    The Journal of Real Estate Finance and Economics, 2016, 53, (4), 419-449 Downloads View citations (12)
    See also Working Paper (2015)
  2. Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility
    Economics Bulletin, 2016, 36, (2), 688-695 Downloads
  3. On the Positive Expected Utility of Combination Wagers
    Decision Analysis, 2016, 13, (3), 209-212 Downloads
  4. Pure higher-order effects in the portfolio choice model
    Finance Research Letters, 2016, 19, (C), 255-260 Downloads View citations (2)

2015

  1. Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation
    Economics Letters, 2015, 132, (C), 13-17 Downloads View citations (1)

2013

  1. AN EXAMPLE OF AN OPTIMAL FORECAST EXHIBITING DECREASING BIAS WITH INCREASING FORECAST HORIZON
    Bulletin of Economic Research, 2013, 65, (4), 362-371 Downloads
  2. Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets
    Economics Letters, 2013, 119, (3), 264-267 Downloads View citations (1)
  3. Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 297-312 Downloads View citations (4)
  4. Nonlinear dynamics in economics and finance and unit root testing
    The European Journal of Finance, 2013, 19, (6), 572-588 Downloads
  5. On the Implications of the Markowitz Model of Utility embodying Gain Seeking Preferences for Odds on Betting and Bookmakers choice of Spread or Odds Betting
    Economics Bulletin, 2013, 33, (2), 1420-1428 Downloads
  6. Systematic Positive Expected Returns in the UK Fixed Odds Betting Market: An Analysis of the Fink Tank Predictions
    International Journal of Financial Studies, 2013, 1, (4), 1-15 Downloads View citations (1)

2012

  1. Are Analysts' Loss Functions Asymmetric?
    Journal of Forecasting, 2012, 31, (8), 736-756 View citations (4)
    See also Working Paper (2005)
  2. Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
    Journal of Forecasting, 2012, 31, (7), 580-595 View citations (2)
  3. Further examples of the impact of skewness on the expected utility of a risk-averse agent
    Applied Economics Letters, 2012, 19, (12), 1117-1121 Downloads View citations (2)
  4. On the potential for observational equivalence in experiments on risky choice when a power value function is assumed
    Economics Letters, 2012, 116, (1), 8-10 Downloads
  5. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
    Economics Letters, 2012, 115, (2), 244-248 Downloads View citations (9)
  6. THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002
    Economic Affairs, 2012, 32, (2), 91-93 Downloads View citations (2)
  7. The Bank of Korea's nonlinear monetary policy rule
    Applied Economics Letters, 2012, 19, (12), 1193-1202 Downloads View citations (1)

2011

  1. Real exchange rates and time-varying trade costs
    Journal of International Money and Finance, 2011, 30, (6), 1157-1179 Downloads View citations (8)
    See also Working Paper (2009)
  2. Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
    Journal of Futures Markets, 2011, 31, (2), 192-203 Downloads
  3. The impact of ECB and FED announcements on the Euro interest rates
    Economics Letters, 2011, 113, (2), 139-142 Downloads View citations (5)
    See also Working Paper (2010)

2010

  1. An Empirical Analysis of Choices Between Gambles of Children and Adults in China
    Journal of Gambling Business and Economics, 2010, 4, (1), 1-18 Downloads
  2. Further empirical evidence of nonlinearity in the us monetary policy rule
    Economics Bulletin, 2010, 30, (3), 2464-2477 Downloads View citations (2)
  3. Habit and long memory in UK lottery sales
    Economics Letters, 2010, 109, (1), 7-10 Downloads
  4. Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion
    Journal of Money, Credit and Banking, 2010, 42, (1), 135-150 Downloads View citations (15)
  5. On lottery sales, jackpot sizes and irrationality: A cautionary note
    Economics Letters, 2010, 109, (3), 161-163 Downloads View citations (3)
  6. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 1-40 Downloads View citations (8)
    See also Working Paper (2009)
  7. Spreads versus professional forecasters as predictors of future output change
    Journal of Forecasting, 2010, 29, (6), 517-522 Downloads View citations (3)
  8. Systematic and varying biases in parallel state contingent gambling markets
    Economics Letters, 2010, 109, (2), 82-84 Downloads
  9. The forward premium puzzle in the interwar period and deviations from covered interest parity
    Economics Letters, 2010, 108, (1), 55-57 Downloads View citations (7)

2009

  1. A More General Non-expected Utility Model as an Explanation of Gambling Outcomes for Individuals and Markets
    Economica, 2009, 76, (302), 251-263 Downloads View citations (5)
  2. An Explanation of Optimal Each-Way Bets based on Non-Expected Utility Theory
    Journal of Gambling Business and Economics, 2009, 3, (2), 15-35 Downloads
  3. Linkages between Shanghai and Hong Kong stock indices
    Applied Financial Economics, 2009, 19, (23), 1847-1857 Downloads View citations (14)
    See also Working Paper (2009)
  4. On skewness of return and buying more than one ticket in a lottery
    Applied Economics Letters, 2009, 16, (10), 1029-1032 Downloads
  5. Skewness as an explanation of gambling in cumulative prospect theory
    Applied Economics, 2009, 41, (6), 685-689 Downloads View citations (2)
  6. Testing for central bank independence and inflation using the wild bootstrap
    Economics Bulletin, 2009, 29, (3), 1602-1607 Downloads
  7. The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-Normal Shocks
    Economics Bulletin, 2009, 29, (3), 1608-1620 Downloads
  8. The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory
    Economics Letters, 2009, 105, (3), 326-329 Downloads

2008

  1. Bounded cumulative prospect theory: some implications for gambling outcomes
    Applied Economics, 2008, 40, (1), 5-15 Downloads View citations (5)
  2. Further Analysis of the Markowitz Model of Utility with a Small Degree of Probability Distortion
    Journal of Gambling Business and Economics, 2008, 2, (3), 71-83 Downloads View citations (2)
  3. Introduction: economics of betting markets
    Applied Economics, 2008, 40, (1), 1-3 Downloads View citations (1)
  4. Subjective Skewness of Return as an Explanation of the Optimal Choice between Gambles in Cumulative Prospect Theory
    Journal of Gambling Business and Economics, 2008, 2, (2), 97-107 Downloads
  5. The Markowitz model of utility supplemented with a small degree of probability distortion as an explanation of outcomes of Allais experiments over large and small payoffs and gambling on unlikely outcomes
    Applied Economics, 2008, 40, (1), 17-26 Downloads View citations (1)

2007

  1. Betting on odds on Favorites as an Optimal Choice in Cumulative Prospect Theory
    Economics Bulletin, 2007, 4, (26), 1-10 Downloads View citations (2)
  2. Deterministic impulse response in a nonlinear model. An analytical expression
    Economics Letters, 2007, 95, (3), 315-319 Downloads View citations (2)
  3. Gambling and nonexpected utility: the perils of the power function
    Applied Economics Letters, 2007, 14, (2), 79-82 Downloads View citations (1)
  4. Habit, aggregation and long memory: evidence from television audience data
    Applied Economics, 2007, 39, (3), 321-327 Downloads View citations (1)
    See also Working Paper (2005)
  5. Implementing the wild bootstrap using a two-point distribution
    Economics Letters, 2007, 96, (3), 309-315 Downloads View citations (18)
  6. On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets
    Open Economies Review, 2007, 18, (1), 119-125 Downloads View citations (2)
    See also Working Paper (2006)
  7. On the relationship between nominal exchange rates and domestic and foreign prices
    Applied Financial Economics, 2007, 17, (2), 105-117 Downloads View citations (4)
    See also Working Paper (2006)
  8. Simulating stock returns under switching regimes - A new test of market efficiency
    Economics Letters, 2007, 94, (2), 235-239 Downloads View citations (4)
    See also Working Paper (2006)
  9. Some implications of a quartic loss function
    Economics Bulletin, 2007, 7, (13), 1-7 Downloads
  10. The long memory model of political support: some further results
    Applied Economics, 2007, 39, (20), 2547-2552 Downloads View citations (5)
    See also Working Paper (2005)

2006

  1. Expected stock returns, aggregate consumption and wealth: Some further empirical evidence
    Journal of Macroeconomics, 2006, 28, (2), 439-445 Downloads View citations (4)
  2. On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
    Economics Letters, 2006, 90, (2), 272-277 Downloads View citations (10)
  3. Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-23 Downloads View citations (4)
  4. Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
    Journal of Applied Econometrics, 2006, 21, (5), 655-668 Downloads View citations (8)
    See also Working Paper (2004)
  5. The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
    Finance Research Letters, 2006, 3, (4), 273-276 Downloads View citations (1)

2005

  1. Non-linearity in stock index returns: the volatility and serial correlation relationship
    Economic Modelling, 2005, 22, (1), 1-19 Downloads View citations (1)
  2. Smooth Transition Models and Arbitrage Consistency
    Economica, 2005, 72, (3), 413-430 Downloads View citations (6)
    See also Working Paper (2005)
  3. Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
    Economics Letters, 2005, 87, (2), 221-226 Downloads View citations (4)
  4. The process followed by PPP data. On the properties of linearity tests
    Applied Economics, 2005, 37, (21), 2515-2522 Downloads View citations (7)
    See also Working Paper (2005)
  5. The term spread and real economic activity in the US inter-war period
    Journal of Macroeconomics, 2005, 27, (2), 331-343 Downloads View citations (2)

2004

  1. Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
    Journal of Forecasting, 2004, 23, (5), 373-384 Downloads View citations (3)
    See also Working Paper (2004)
  2. Estimates of US monetary policy rules with allowance for changes in the output gap
    Applied Economics Letters, 2004, 11, (10), 601-605 Downloads View citations (5)
  3. Further empirical analysis of the time series properties of financial ratios based on a panel data approach
    Applied Financial Economics, 2004, 14, (3), 155-163 Downloads View citations (5)
  4. Nonlinear Purchasing Power Parity under the Gold Standard
    Southern Economic Journal, 2004, 71, (2), 302-313 View citations (4)
  5. The utility of gambling and the favourite-longshot bias
    The European Journal of Finance, 2004, 10, (5), 379-390 Downloads View citations (4)
  6. Utility and the Skewness of Return in Gambling
    The Geneva Papers on Risk and Insurance Theory, 2004, 29, (2), 145-163 Downloads View citations (7)
    Also in The Geneva Risk and Insurance Review, 2004, 29, (2), 145-163 (2004) Downloads View citations (6)

2003

  1. Another example of a non-linear time series with misleading linear properties
    Applied Economics Letters, 2003, 10, (1), 47-51 Downloads View citations (4)
  2. Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes
    Economics Letters, 2003, 78, (2), 147-152 Downloads View citations (6)
  3. Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS
    Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 421-437 Downloads View citations (34)
  4. Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997
    Journal of Money, Credit and Banking, 2003, 35, (5), 787-99 View citations (13)
  5. Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences
    Economic Journal, 2003, 113, (489), 657-665 Downloads View citations (130)
  6. Optimal monetary policy: is price-level targeting the next step?
    Scottish Journal of Political Economy, 2003, 50, (5), 650-667 Downloads View citations (7)
  7. Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend
    Manchester School, 2003, 71, (Supplement), 39-53 Downloads View citations (7)
  8. Purchasing power parity over two centuries: trends and nonlinearity
    Applied Economics, 2003, 35, (5), 609-617 Downloads View citations (24)
  9. Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach
    International Review of Economics & Finance, 2003, 12, (2), 187-206 Downloads View citations (28)
  10. Some Further Empirical Evidence on the Impact of Oil Price Changes on Petrol Prices
    International Journal of the Economics of Business, 2003, 10, (2), 195-203 Downloads View citations (3)
  11. Some analysis of the properties of the Harville place formulae when allowance is made for the favourite-long shot bias employing Shin Win probabilities
    Applied Economics Letters, 2003, 10, (1), 53-57 Downloads
  12. The Favourite-Longshot Bias, Bookmaker Margins and Insider Trading in a Variety of Betting Markets
    Bulletin of Economic Research, 2003, 55, (3), 263-273 Downloads View citations (16)
  13. The Time Series Properties of Financial Ratios: Lev Revisited
    Journal of Business Finance & Accounting, 2003, 30, (5-6), 699-714 Downloads View citations (19)
  14. The optimal output target and degree of banker conservativeness in a model with a non-linear Phillips curve
    Applied Economics Letters, 2003, 10, (6), 323-330 Downloads

2002

  1. Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture
    Journal of Money, Credit and Banking, 2002, 34, (1), 51-75 View citations (56)
  2. Insider Trading, Herding Behaviour and Market Plungers in the British Horse-Race Betting Market
    Economica, 2002, 69, (274), 327-38 Downloads View citations (11)
  3. Is one price enough to value a state-contingent asset correctly? Evidence from a gambling market
    Applied Financial Economics, 2002, 12, (1), 33-38 Downloads View citations (3)
  4. Modelling political popularity: a correction
    Journal of the Royal Statistical Society Series A, 2002, 165, (1), 187-189 Downloads View citations (5)
  5. Skewness as an explanation of gambling by locally risk averse agents
    Applied Economics Letters, 2002, 9, (15), 1025-1028 Downloads View citations (7)

2001

  1. Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles
    International Economic Review, 2001, 42, (4), 1015-42 View citations (460)
    See also Working Paper (2001)
  2. The Incidence of Insider Trading in Betting Markets and the Gabriel and Marsden Anomaly
    Manchester School, 2001, 69, (2), 197-207 Downloads View citations (4)
  3. The Relationship between Two Indicators of Insider Trading in British Racetrack Betting
    Economica, 2001, 68, (269), 97-104 Downloads View citations (3)
  4. Uncertain central bankers preferences: some implications of multiplicative versus additive uncertainty
    Applied Economics Letters, 2001, 8, (1), 17-20 Downloads View citations (1)
    Also in Applied Economics Letters, 2000, 7, (12), 771-773 (2000) Downloads
  5. Volatility persistence in asset markets: long memory in high/low prices
    Applied Financial Economics, 2001, 11, (3), 253-260 Downloads View citations (8)

2000

  1. International relocation: firm and industry determinants
    Economics Letters, 2000, 67, (2), 179-186 Downloads View citations (49)
  2. Non-linear Dynamics of Inflation in High Inflation Economies
    Manchester School, 2000, 68, 23-37 Downloads View citations (12)
  3. Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals
    Journal of International Money and Finance, 2000, 19, (1), 33-53 Downloads View citations (285)
  4. Optimal monetary policy with a nonlinear Phillips curve
    Economics Letters, 2000, 67, (2), 159-164 Downloads View citations (43)
  5. Product bundling and a rule of thumb versus the Harville formulae: can each way bets with UK bookmakers generate abnormal returns
    Applied Economics, 2000, 32, (13), 1737-1744 Downloads View citations (1)
  6. The Favourite-Longshot Bias and Market Efficiency in UK Football Betting
    Scottish Journal of Political Economy, 2000, 47, (1), 25-36 Downloads View citations (21)
  7. Threshold nonlinearities in unemployment rates: further evidence for the UK and G3 economies
    Applied Economics, 2000, 32, (6), 705-715 Downloads View citations (15)

1999

  1. Estimates of the degree of insider trading in two disparate betting markets
    Applied Economics Letters, 1999, 6, (3), 191-193 Downloads
  2. Market movers and tote and bookmakers returns: further empirical evidence on a market anomaly
    Applied Economics Letters, 1999, 6, (12), 801-804 Downloads
  3. Place returns between the tote and bookmakers: empirical evidence of a market anomaly
    Applied Economics Letters, 1999, 6, (12), 789-792 Downloads
  4. Uncertainty in the Central Bank's weight on output: some new results
    Applied Economics Letters, 1999, 6, (10), 659-662 Downloads

1998

  1. A non-linear error correction mechanism based on the bilinear model1
    Economics Letters, 1998, 58, (2), 165-170 Downloads View citations (20)
  2. A note on some properties of the ESTAR model
    Economics Letters, 1998, 60, (3), 311-315 Downloads View citations (3)
  3. Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence
    Economica, 1998, 65, (258), 211-29 Downloads View citations (15)
  4. Periodically collapsing stock price bubbles: a robust test
    Economics Letters, 1998, 61, (2), 221-228 Downloads View citations (40)
  5. Rationality testing under asymmetric loss
    Economics Letters, 1998, 61, (1), 49-54 Downloads View citations (45)
  6. The nonlinear time series properties of unemployment rates: some further evidence
    Applied Economics, 1998, 30, (2), 287-294 Downloads View citations (13)
  7. The slope of the yield curve and real economic activity: tracing the transmission mechanism
    Economics Letters, 1998, 59, (3), 353-360 Downloads View citations (16)
  8. The variance of economic activity over the business cycle: some further evidence
    Applied Economics Letters, 1998, 5, (11), 669-673 Downloads
  9. Threshold nonlinearities in output: some international evidence
    Applied Economics, 1998, 30, (3), 323-333 Downloads View citations (14)

1997

  1. Ajustement non linéaire vers le taux de change d'équilibre à long terme. Le modèle monétaire revisité
    Revue Économique, 1997, 48, (3), 653-659 Downloads View citations (2)
  2. Handicaps, outcome uncertainty and attendance demand
    Applied Economics Letters, 1997, 4, (9), 567-570 Downloads View citations (16)
  3. Modelling Political Popularity: an Analysis of Long-range Dependence in Opinion Poll Series
    Journal of the Royal Statistical Society Series A, 1997, 160, (3), 471-490 Downloads View citations (32)
  4. Non-linearities in East European Black-Market Exchange Rates
    International Journal of Finance & Economics, 1997, 2, (1), 39-57 Downloads View citations (9)
  5. Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation
    Journal of Political Economy, 1997, 105, (4), 862-79 Downloads View citations (457)

1996

  1. Attendance demand: an investigation of repeat fixtures
    Applied Economics Letters, 1996, 3, (6), 391-394 Downloads View citations (20)
  2. Long-Memory Risk Premia in Exchange Rates
    The Manchester School of Economic & Social Studies, 1996, 64, (4), 421-38 View citations (8)
  3. Some Empirical Evidence on the Time-Series Properties of Four UK Asset Prices
    Economica, 1996, 63, (251), 405-26 Downloads View citations (3)

1995

  1. A test for rational expectations when some variables are I(2)
    Applied Economics Letters, 1995, 2, (2), 42-44 Downloads
  2. Asymmetry in the variance of economic activity: evidence for long-run UK GDP
    Applied Economics Letters, 1995, 2, (11), 415-418 Downloads View citations (1)
  3. Bilinear quadratic ARCH and volatility spillovers in inter-war exchange rates
    Applied Economics Letters, 1995, 2, (7), 215-219 Downloads View citations (6)
  4. Evidence on volatility spillovers in the interwar floating exchange rate period based on high/low prices
    Applied Economics Letters, 1995, 2, (10), 394-396 Downloads View citations (5)
  5. The Time Series Behaviour of Spot Exchange Rates in the German Hyper-inflation Period: (Was the Process Chaotic?)
    Empirical Economics, 1995, 20, (3), 455-71 View citations (1)
  6. Time-Varying Risk Premia and the Term Structure of Forward Exchange Rates
    The Manchester School of Economic & Social Studies, 1995, 63, (1), 69-81 View citations (1)

1994

  1. Cross country evidence on nonlinearity in industrial production between the wars
    Applied Economics Letters, 1994, 1, (5), 77-80 Downloads View citations (2)
  2. Purchasing power parity yet again: evidence from spatially separated commodity markets
    Journal of International Money and Finance, 1994, 13, (6), 637-657 Downloads View citations (20)
  3. Testing for non-linear dependence in inter-war exchange rates
    Review of World Economics (Weltwirtschaftliches Archiv), 1994, 130, (2), 391-417 Downloads View citations (14)
  4. The German Hyperinflation and the Demand for Money Revisited
    International Economic Review, 1994, 35, (1), 1-22 Downloads View citations (21)

1992

  1. Some analysis of the long-run time series properties of consumption and income in the U.K
    Economics Letters, 1992, 39, (2), 173-178 Downloads View citations (3)
  2. The Demand for Football: Some Evidence on Outcome Uncertainty
    Empirical Economics, 1992, 17, (2), 323-31 View citations (54)

1991

  1. Estimates of a traditional aggregate import demand model for five countries
    Economics Letters, 1991, 35, (4), 435-439 Downloads View citations (18)
  2. Forward foreign exchange rates and risk premia--a reappraisal
    Journal of International Money and Finance, 1991, 10, (3), 443-456 Downloads View citations (5)
  3. Some evidence on the efficiency of the sterling-dollar and sterling-franc forward exchange rates in the interwar period
    Economics Letters, 1991, 35, (3), 317-322 Downloads View citations (3)
  4. The effects of exchange rate volatility on exports: Some new estimates
    Economics Letters, 1991, 37, (2), 173-177 Downloads View citations (85)

1990

  1. On Testing for Unbiasedness and Efficiency of Forecasts
    The Manchester School of Economic & Social Studies, 1990, 58, (2), 120-27 View citations (112)

1989

  1. Empirical evidence on the properties of exchange rate forecasts and the risk premium
    Economics Letters, 1989, 31, (4), 387-391 Downloads View citations (3)
  2. Information, Prices and Efficiency in a Fixed-Odds Betting Market
    Economica, 1989, 56, (223), 323-41 Downloads View citations (31)
  3. On testing the properties of directly obtained expectations data
    Economics Letters, 1989, 30, (2), 137-139 Downloads View citations (1)
  4. The Determinants of Arms Expenditures of NATO and the Warsaw Pact: Some Further Evidence
    Journal of Peace Research, 1989, 26, (1), 69-77 Downloads

1988

  1. A multilogit approach to predicting corporate failure--Some evidence for the UK corporate sector
    Omega, 1988, 16, (4), 309-318 Downloads View citations (4)
  2. Critical bounds for MA(2) and MA(3) processes
    Economics Letters, 1988, 27, (2), 133-140 Downloads
  3. Economic surprises and the behaviour of asset prices: Some analyses and further empirical results
    Economics Letters, 1988, 27, (4), 375-379 Downloads
  4. Outcome Uncertainty and the Demand for Football: An Analysis of Match Attendances in the English Football League
    Scottish Journal of Political Economy, 1988, 35, (3), 242-49 View citations (36)

1987

  1. Consumer Expenditure, the Demand for Money, and the Hall Hypothesis
    Empirical Economics, 1987, 12, (1), 3-17
  2. Further empirical evidence on popularity and electoral cycle effects
    Economics Letters, 1987, 23, (1), 31-36 Downloads
  3. On Testing the Relationship between Exchange Rate Movements and Monetary Surprises: A Comment
    The Manchester School of Economic & Social Studies, 1987, 55, (2), 197-202
  4. The Accuracy of OECD Forecasts
    Empirical Economics, 1987, 12, (3), 175-86 View citations (6)

1986

  1. Expectations formation, public forecasts and the wage equation
    Economic Modelling, 1986, 3, (2), 129-134 Downloads View citations (1)
  2. On Lagged Adjustment, Permanent Income, Expectations Formation and the Demand for Money
    Oxford Bulletin of Economics and Statistics, 1986, 48, (1), 61-72
  3. Predicting corporate failure-- Some results for the UK corporate sector
    Omega, 1986, 14, (1), 5-12 Downloads View citations (21)
  4. Public forecasts and their impact on expectation formation
    Economic Modelling, 1986, 3, (2), 126-128 Downloads
  5. The impact of benefits on unemployment in Britain in the interwar period: Some further empirical evidence
    Journal of Macroeconomics, 1986, 8, (2), 227-232 Downloads
  6. The velocity of money and the random walk hypothesis
    Economics Letters, 1986, 20, (1), 63-66 Downloads
  7. What Can Economics Learn from Political Science, and Vice Versa?
    American Economic Review, 1986, 76, (2), 62-65 Downloads View citations (3)

1985

  1. Behaviour of the Liverpool model with weight given to alternative public forecasts
    Economic Modelling, 1985, 2, (1), 33-38 Downloads
  2. Global capital markets and the impact of changes in the money stock on real activity
    Journal of Macroeconomics, 1985, 7, (4), 577-582 Downloads
  3. Some Further Evidence on the Predictability of UK Asset Prices [Efficient Capital Markets: A Review of Theory and Empirical Work]
    Bulletin of Economic Research, 1985, 37, (3), 249-57
  4. Some empirical evidence on the determinants of incomes policies in the UK
    Economics Letters, 1985, 19, (1), 23-26 Downloads
  5. Surprises in the Consumption Function, Incomplete Current Information, and Moving Average Errors: A Note [Stochastic Implications of the Life Cycle Permanent Income Hypothesis: Theory and Evidence]
    Economic Journal, 1985, 95, (377), 183-88 Downloads

1984

  1. Some Empirical Results on "the Rationality" of Expectations Derived from Survey Data
    Empirical Economics, 1984, 9, (3), 151-63
  2. Testing for Unbiasedness and Efficiency under Incomplete Current Information
    Bulletin of Economic Research, 1984, 36, (1), 1-7

1983

  1. Growth and Inflationary Finance: Variations on a Mundellian Theme
    Journal of Political Economy, 1983, 91, (5), 880-87 Downloads
  2. Involuntary Saving through Unanticipated Inflation: Some Further Empirical Evidence
    Empirical Economics, 1983, 8, (2), 87-92
  3. On the effectiveness of automatic stabilizers under rational expectations when there is partial current information
    Economics Letters, 1983, 11, (3), 225-229 Downloads
  4. Some Implications of Partial Current Information Sets in Macroeconomic Models Embodying Rational Expectations
    The Manchester School of Economic & Social Studies, 1983, 51, (3), 235-49 View citations (5)

1982

  1. Testing for Causality between Prices and Money
    Empirical Economics, 1982, 7, (1-2), 1-12
  2. The Microfoundations of the Phillips Curve with Rational Expectations
    Oxford Economic Papers, 1982, 34, (3), 449-51 Downloads
  3. The government behavioural constraint in rational expectations models
    Economics Letters, 1982, 9, (3), 221-227 Downloads
  4. The political theory of the business cycle
    European Economic Review, 1982, 17, (2), 253-270 Downloads View citations (10)

1981

  1. Non-uniqueness and the role of the monetary authorities
    Economics Letters, 1981, 7, (1), 25-28 Downloads View citations (1)
  2. On Fiscal and Monetary Stabilization Policy under Rational Expectations
    Public Finance = Finances publiques, 1981, 36, (2), 290-96
  3. Rational Expectations and Wage and Price Inflexibility: A Note
    Scandinavian Journal of Economics, 1981, 83, (1), 115-20
  4. Some Empirical Evidence on the Influence of Political Parties on the Behaviour of the Unemployment Rate
    Empirical Economics, 1981, 6, (1), 67-73
  5. The Role of Monetary Stabilization Policy under Rational Expectations
    The Manchester School of Economic & Social Studies, 1981, 49, (1), 39-50 View citations (3)
  6. Unemployment and the replacement ratio: Some reduced form estimates for the UK
    Economics Letters, 1981, 8, (4), 349-354 Downloads View citations (1)

1980

  1. Expectations and the Price Equation: Some Estimates for the UK
    Empirical Economics, 1980, 5, (1), 31-37
  2. On the implications of monetary rules in a stochastic framework
    Review of World Economics (Weltwirtschaftliches Archiv), 1980, 116, (2), 253-263 Downloads
  3. The Natural Rate Hypothesis and Rational Expectations-A Critique of Some Recent Developments
    Oxford Economic Papers, 1980, 32, (1), 71-81 Downloads View citations (1)

1979

  1. A Dynamic Model of the Demand for Labour Services
    Bulletin of Economic Research, 1979, 31, (1), 24-30
  2. Divergent Expectations and the Dynamic Stability of Some Simple Macro Economic Models
    Economic Journal, 1979, 89, (356), 789-98 Downloads View citations (1)
  3. Inflation and output dynamics with a floating exchange rate
    European Economic Review, 1979, 12, (1), 73-89 Downloads
  4. On dynamic stability in monetary models which incorporate short- and long-run expectations of inflation in the demand for the money function
    Economics Letters, 1979, 2, (2), 131-136 Downloads
  5. On the Built-in Flexibility of Taxation and the Deterministic and the Stochastic Stability of Macro-Models under Alternative Expectations Schemes
    Public Finance = Finances publiques, 1979, 34, (2), 258-66
  6. On the Dynamic Stability of Monetary Models When the Money Supply is Endogenous
    The Manchester School of Economic & Social Studies, 1979, 47, (4), 349-58
  7. On the political theory of the business cycle
    Economics Letters, 1979, 2, (4), 327-332 Downloads View citations (11)
  8. The Dynamic Behavior of a Simple Macro-Model with Endogenous Labor Supply and Demand
    International Economic Review, 1979, 20, (2), 381-89 Downloads
  9. The Relationship between Prices and Money Supply in Latin America, 1958-1975
    The Review of Economics and Statistics, 1979, 61, (3), 446-50 Downloads View citations (1)
  10. The classical supply hypothesis and the observational equivalence of Classical and Keynesian models
    Economics Letters, 1979, 4, (3), 229-233 Downloads
  11. The dynamic behaviour of a simple macroeconomic model with a tax based incomes policy
    Economics Letters, 1979, 3, (2), 139-143 Downloads

1978

  1. Inflationary expectations and “Self-Generating” inflations
    Review of World Economics (Weltwirtschaftliches Archiv), 1978, 114, (1), 12-23 Downloads View citations (1)
  2. Note--Optimal Recruitment Advertising
    Management Science, 1978, 24, (9), 910-918 Downloads
  3. Short-Run Employment Functions, Excess Supply and the Speed of Adjustment: A Note
    Economica, 1978, 45, (178), 195-202 Downloads View citations (3)
  4. The Influence of Money on Prices in 14 OECD Countries, 1958-1975
    Empirical Economics, 1978, 3, (2), 115-22

1977

  1. An Empirical Investigation of Inflationary Expectations
    Oxford Bulletin of Economics and Statistics, 1977, 39, (4), 291-99 View citations (3)
  2. Derived Demand and Oligopoly
    Bulletin of Economic Research, 1977, 29, (1), 3-8
  3. On the Case of Indexation of Wages and Salaries
    Kyklos, 1977, 30, (2), 259-70
  4. On the properties of alternative monetary rules in an extension of Black's model
    European Economic Review, 1977, 9, (2), 195-208 Downloads View citations (1)
  5. The `tax on wage increses' when the firm is a monopsonist
    Journal of Public Economics, 1977, 8, (2), 247-253 Downloads View citations (2)
  6. Unemployment and unanticipanted inflation: Some empirical results for six countries
    European Economic Review, 1977, 10, (2), 253-271 Downloads

1976

  1. The 'Shake-Out' Hypothesis: A Note
    Oxford Bulletin of Economics and Statistics, 1976, 38, (2), 141-46
  2. The Cost Function
    Bulletin of Economic Research, 1976, 28, (2), 77-84
  3. The Internal/External Labour Market and the Rate of Wage Inflation in UK Manufacturing Industry
    The Manchester School of Economic & Social Studies, 1976, 44, (2), 132-46

1975

  1. A Monte Carlo Study of the Phillips Curve with Errors in Variables
    Oxford Bulletin of Economics and Statistics, 1975, 37, (2), 155-57
  2. The Determinants of the Natural Rate of Unemployment in the Neoclassical Model
    The Economic Record, 1975, 51, (135), 308-19
  3. The Specification of the Short-Run Employment Function: An Empirical Investigation of the Demand for Labour in the UK Manufacturing Sector, 1955-1972
    Oxford Bulletin of Economics and Statistics, 1975, 37, (2), 115-42
  4. The Wage Variable and the Phillips Curve: A Rejoinder
    Scottish Journal of Political Economy, 1975, 22, (3), 323-25
  5. User Cost and the Preference Function
    The Quarterly Journal of Economics, 1975, 89, (1), 154-156 Downloads

1974

  1. A Further Note on the Behaviour of Profit Shares in British Manufacturing Industry
    The Manchester School of Economic & Social Studies, 1974, 42, (1), 29-36
  2. A Note on X-Inefficiency
    The Quarterly Journal of Economics, 1974, 88, (4), 687-688 Downloads
  3. Adjustment Costs and Short-Run Returns to Labour
    The Review of Economics and Statistics, 1974, 56, (3), 393-96 Downloads
  4. The Wage Variable and the Phillips Curve
    Scottish Journal of Political Economy, 1974, 21, (3), 289-93

1973

  1. Some Implications of Utility Maximizing Firms: A Note
    Bulletin of Economic Research, 1973, 25, (2), 148-51
  2. The Non-uniqueness of the Dorfman-Steiner Condition: A Note
    Economica, 1973, 40, (158), 208-09 Downloads

Books

2002

  1. Advanced Macroeconomics
    Books, Edward Elgar Publishing Downloads View citations (12)

Chapters

2017

  1. New empirical evidence on the Tote–SP anomaly and its implications for models of risky choice in gambling markets
    Chapter 6 in The Economics of Sports Betting, 2017, pp 92-104 Downloads

2008

  1. TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION
    Chapter 8 in Advances In Doctoral Research In Management, 2008, pp 151-174 Downloads

Software Items

 
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