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Details about Mark Wohar

E-mail:
Homepage:http://cba2.unomaha.edu/faculty/mwohar/WEB/homepage.html
Phone:402-554-3712
Postal address:University of Nebraska-Omaha Department of Economics MH 332S Omaha, NE 68182 USA
Workplace:Department of Economics, University of Nebraska-Omaha, (more information at EDIRC)

Access statistics for papers by Mark Wohar.

Last updated 2019-08-17. Update your information in the RePEc Author Service.

Short-id: pwo4


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Working Papers

2019

  1. Bitcoin: competitor or complement to gold?
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Economics Bulletin (2019)
  2. Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  3. Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
  4. Halloween Effect in Developed Stock Markets: A US Perspective
    Working Papers, University of Pretoria, Department of Economics Downloads
  5. Historical Evolution of Monthly Anomalies in International Stock Markets
    Working Papers, University of Pretoria, Department of Economics Downloads
  6. Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
    Working Papers, University of Pretoria, Department of Economics
  7. Is the Housing Market in the United States Really Weakly-Efficient?
    Working Papers, University of Pretoria, Department of Economics Downloads
  8. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
    Working Papers, University of Pretoria, Department of Economics Downloads
  9. Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics
  10. Rise and Fall of Calendar Anomalies over a Century
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  11. Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
  12. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  13. The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach
    Working Papers, University of Pretoria, Department of Economics
  14. Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold
    Working Papers, University of Pretoria, Department of Economics

2018

  1. Are BRICS Exchange Rates Chaotic?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics Letters (2019)
  2. Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis
    Post-Print, HAL
    See also Journal Article in Finance Research Letters (2018)
  3. Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2019)
  4. Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2018)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  5. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics Downloads
  6. Measuring the response of gold prices to uncertainty: An analysis beyond the mean
    Papers, arXiv.org Downloads View citations (7)
    Also in Post-Print, HAL (2018) Downloads View citations (7)

    See also Journal Article in Economic Modelling (2018)
  7. Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics Downloads
  8. Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. Oil Shocks and Volatility Jumps
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. Persistence of Economic Uncertainty: A Comprehensive Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2019)
  11. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
    Working Papers, University of Pretoria, Department of Economics
  12. Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
  13. The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  14. The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2019)
  15. The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
  16. Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2019)
  17. Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress
    Working Papers, University of Pretoria, Department of Economics
  18. Volatility Jumps: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2018)

2017

  1. An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
  2. Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2019)
  3. Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Macroeconomics (2018)
  4. Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
    Working Papers, University of Pretoria, Department of Economics
  5. Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2018)
  6. Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  7. Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The European Journal of Finance (2019)
  8. News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2018)
  9. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  10. The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
  11. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2018)
  12. Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  13. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2017) Downloads
  14. Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
  15. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
    Working Papers, University of Pretoria, Department of Economics
  16. Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Review of Finance (2018)

2016

  1. Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economics and Finance (2018)
  2. Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  3. Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  4. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in The Quarterly Review of Economics and Finance (2017)
  5. Forecasting US GNP Growth: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  6. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
  7. Periodically Collapsing Bubbles in the South African Stock Market
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Research in International Business and Finance (2016)
  8. Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in The European Journal of Finance (2018)
  9. Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. The Depreciation of the Pound Post-Brexit: Could it have been Predicted?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2017)
  11. The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Review of Economics & Finance (2017)
  12. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  13. The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Empirica (2019)
  14. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Open Economies Review (2017)
  15. The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2018)

2015

  1. Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics (2018)
  2. Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2017)
  4. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Open Economies Review (2016)
  5. Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2017)
  6. Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2017)
  7. The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test
    Working Papers, University of Pretoria, Department of Economics

2014

  1. Examining real interest parity: which component reverts quickest and in which regime?
    Discussion Paper Series, Department of Economics, Loughborough University Downloads
    See also Journal Article in International Review of Financial Analysis (2015)

2012

  1. Trends and Cycles in Real Commodity Prices: 1650-2010
    CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University Downloads View citations (3)

2011

  1. Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation
    2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists Downloads

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 Downloads
  2. The Long and the Short of It: Long Memory Regressors and Predictive Regressions
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads

2003

  1. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (13)

    See also Journal Article in Economic Inquiry (2004)
  2. Trends and Persistence in Primary Commodity Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (1)

2001

  1. Low frequency movements in stock prices: a state space decomposition
    Working Papers, Federal Reserve Bank of Dallas Downloads
    See also Journal Article in The Review of Economics and Statistics (2002)
  2. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
    Economic Papers, Trinity College Dublin, Economics Department Downloads View citations (4)
  3. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (8)

1997

  1. Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market
    Finance, University Library of Munich, Germany Downloads
  2. Nonlinear dynamics and covered interest rate parity
    Working Papers, Federal Reserve Bank of Dallas Downloads View citations (2)
    See also Journal Article in Empirical Economics (1998)
  3. The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act
    Finance, University Library of Munich, Germany Downloads

1996

  1. Two Puzzles in the Analysis of Foreign Exchange Market Efficiency
    Discussion Papers, University of Nottingham, School of Economics View citations (1)
    See also Journal Article in International Review of Financial Analysis (1998)

1993

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

Undated

  1. The Dynamics of Inflation: A Study of a Large Number of Countries
    EcoMod2010, EcoMod Downloads
    See also Journal Article in Applied Economics (2012)
  2. The Strategic Implications of Setting Border Tax Adjustments
    EcoMod2010, EcoMod Downloads

Journal Articles

2019

  1. Are BRICS exchange rates chaotic?
    Applied Economics Letters, 2019, 26, (13), 1104-1110 Downloads View citations (1)
    See also Working Paper (2018)
  2. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 17 Downloads
    See also Working Paper (2017)
  3. Bitcoin: competitor or complement to gold?
    Economics Bulletin, 2019, 39, (1), 186-191 Downloads View citations (3)
    See also Working Paper (2019)
  4. Exchange rate returns and volatility: the role of time-varying rare disaster risks
    The European Journal of Finance, 2019, 25, (2), 190-203 Downloads
    See also Working Paper (2017)
  5. Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries
    Empirical Economics, 2019, 56, (2), 523-549 Downloads
  6. Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data
    Applied Economics Letters, 2019, 26, (16), 1317-1321 Downloads
    See also Working Paper (2018)
  7. Growth volatility and inequality in the U.S.: A wavelet analysis
    Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 48-73 Downloads
    See also Working Paper (2018)
  8. Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
    Applied Energy, 2019, 233-234, 612-621 Downloads View citations (5)
  9. Persistence of economic uncertainty: a comprehensive analysis
    Applied Economics, 2019, 51, (41), 4477-4498 Downloads
    See also Working Paper (2018)
  10. Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index
    International Review of Economics & Finance, 2019, 60, (C), 1-25 Downloads
  11. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for an Oil-Importing Country: The Case of South Africa
    Emerging Markets Finance and Trade, 2019, 55, (7), 1593-1618 Downloads
  12. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
    Empirica, 2019, 46, (2), 353-368 Downloads View citations (2)
    See also Working Paper (2016)
  13. The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests
    Finance Research Letters, 2019, 29, (C), 315-322 Downloads
    See also Working Paper (2018)
  14. The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data
    The North American Journal of Economics and Finance, 2019, 47, (C), 391-405 Downloads
    See also Working Paper (2017)
  15. Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017
    Journal of Multinational Financial Management, 2019, 49, (C), 81-88 Downloads
    See also Working Paper (2018)

2018

  1. Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis
    Finance Research Letters, 2018, 26, (C), 100-105 Downloads
    See also Working Paper (2018)
  2. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
    Applied Economics, 2018, 50, (53), 5712-5727 Downloads View citations (3)
    See also Working Paper (2015)
  3. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
    Journal of Macroeconomics, 2018, 57, (C), 317-337 Downloads View citations (8)
    See also Working Paper (2017)
  4. Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach
    Journal of Economics and Finance, 2018, 42, (2), 339-351 Downloads View citations (3)
    See also Working Paper (2016)
  5. Do house prices hedge inflation in the US? A quantile cointegration approach
    International Review of Economics & Finance, 2018, 54, (C), 15-26 Downloads View citations (1)
    See also Working Paper (2017)
  6. Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆
    The North American Journal of Economics and Finance, 2018, 43, (C), 87-96 Downloads View citations (4)
  7. Exchange rate pass-through in the Asian countries: does inflation volatility matter?
    Applied Economics Letters, 2018, 25, (5), 309-312 Downloads
  8. Global factors and equity market valuations: Do country characteristics matter?
    International Journal of Finance & Economics, 2018, 23, (4), 427-441 Downloads
  9. Measuring the response of gold prices to uncertainty: An analysis beyond the mean
    Economic Modelling, 2018, 75, (C), 105-116 Downloads View citations (7)
    See also Working Paper (2018)
  10. News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
    Journal of Multinational Financial Management, 2018, 47-48, 76-90 Downloads
    See also Working Paper (2017)
  11. Nonlinear Taylor rules: evidence from a large dataset
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 14 Downloads View citations (1)
  12. Stock returns forecasting with metals: sentiment vs. fundamentals
    The European Journal of Finance, 2018, 24, (6), 458-477 Downloads
  13. Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries
    The European Journal of Finance, 2018, 24, (4), 333-346 Downloads View citations (1)
    See also Working Paper (2016)
  14. Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks
    Manchester School, 2018, 86, (4), 488-511 Downloads View citations (2)
  15. The predictive power of the yield spread for future economic expansions: Evidence from a new approach
    Economic Modelling, 2018, 75, (C), 181-195 Downloads
  16. The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
    Finance Research Letters, 2018, 25, (C), 131-136 Downloads View citations (1)
    See also Working Paper (2016)
  17. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 Downloads View citations (2)
    See also Working Paper (2017)
  18. UK macroeconomic volatility: Historical evidence over seven centuries
    Journal of Policy Modeling, 2018, 40, (4), 767-789 Downloads
  19. Volatility jumps: The role of geopolitical risks
    Finance Research Letters, 2018, 27, (C), 247-258 Downloads View citations (3)
    See also Working Paper (2018)
  20. Volatility spillovers across global asset classes: Evidence from time and frequency domains
    The Quarterly Review of Economics and Finance, 2018, 70, (C), 194-202 Downloads View citations (8)
    See also Working Paper (2017)
  21. Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    International Review of Finance, 2018, 18, (3), 495-506 Downloads
    See also Working Paper (2017)

2017

  1. A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set
    The Financial Review, 2017, 52, (3), 405-433 Downloads
  2. Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data
    Energy Economics, 2017, 61, (C), 72-86 Downloads View citations (14)
    See also Working Paper (2015)
  3. Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
    International Review of Economics & Finance, 2017, 48, (C), 269-279 Downloads View citations (1)
  4. Do commodities make effective hedges for equity investors?
    Research in International Business and Finance, 2017, 42, (C), 1274-1288 Downloads View citations (3)
  5. Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
    International Finance, 2017, 20, (3), 289-316 Downloads View citations (3)
  6. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 276-284 Downloads View citations (2)
    See also Working Paper (2016)
  7. Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
    Journal of Forecasting, 2017, 36, (6), 640-650 Downloads
    See also Working Paper (2015)
  8. Forecasting market returns: bagging or combining?
    International Journal of Forecasting, 2017, 33, (1), 102-120 Downloads View citations (2)
  9. Forecasting oil and stock returns with a Qual VAR using over 150years off data
    Energy Economics, 2017, 62, (C), 181-186 Downloads View citations (13)
    See also Working Paper (2015)
  10. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 178-191 Downloads View citations (20)
    See also Working Paper (2016)
  11. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
    World Development, 2017, 89, (C), 57-70 Downloads View citations (4)
  12. Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries
    International Review of Economics & Finance, 2017, 51, (C), 245-257 Downloads View citations (3)
  13. Predictability and underreaction in industry-level returns: Evidence from commodity markets
    Journal of Commodity Markets, 2017, 6, (C), 1-15 Downloads
  14. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach
    Open Economies Review, 2017, 28, (1), 47-59 Downloads
    See also Working Paper (2016)
  15. The cyclicality of fiscal policy: New evidence from unobserved components approach
    Journal of Macroeconomics, 2017, 53, (C), 222-234 Downloads
  16. The depreciation of the pound post-Brexit: Could it have been predicted?
    Finance Research Letters, 2017, 21, (C), 206-213 Downloads View citations (6)
    See also Working Paper (2016)
  17. The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
    International Review of Economics & Finance, 2017, 51, (C), 283-294 Downloads View citations (4)
    See also Working Paper (2016)

2016

  1. An evaluation of ECB policy in the Euro's big four
    Journal of Macroeconomics, 2016, 48, (C), 203-213 Downloads
  2. Can commodity returns forecast Canadian sector stock returns?
    International Review of Economics & Finance, 2016, 41, (C), 172-188 Downloads View citations (5)
  3. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Open Economies Review, 2016, 27, (2), 229-250 Downloads View citations (18)
    See also Working Paper (2015)
  4. FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION
    Bulletin of Economic Research, 2016, 68, (2), 151-167 Downloads
  5. Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence
    Economic Systems, 2016, 40, (4), 638-657 Downloads View citations (4)
  6. Periodically collapsing bubbles in the South African stock market
    Research in International Business and Finance, 2016, 38, (C), 191-201 Downloads View citations (5)
    See also Working Paper (2016)
  7. Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
    International Review of Economics & Finance, 2016, 41, (C), 122-143 Downloads View citations (17)
  8. Structural Breaks in Volatility: The Case of Chinese Stock Returns
    Chinese Economy, 2016, 49, (2), 81-93 Downloads

2015

  1. A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS
    Macroeconomic Dynamics, 2015, 19, (04), 728-752 Downloads View citations (1)
  2. Asymmetric tax multipliers
    Journal of Macroeconomics, 2015, 43, (C), 38-48 Downloads View citations (5)
  3. Capital Inflows and Economic Growth: Does the Role of Institutions Matter?
    International Journal of Finance & Economics, 2015, 20, (3), 253-275 Downloads View citations (9)
  4. Consumption growth, preference for smoothing, changes in expectations and risk premium
    The Quarterly Review of Economics and Finance, 2015, 56, (C), 80-97 Downloads View citations (7)
  5. Examining real interest parity: Which component reverts quickest and in which regime?
    International Review of Financial Analysis, 2015, 39, (C), 72-83 Downloads View citations (1)
    See also Working Paper (2014)
  6. Location, location, location: currency effects and return predictability?
    Applied Economics, 2015, 47, (18), 1883-1898 Downloads View citations (1)
  7. Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model
    Applied Economics, 2015, 47, (59), 6395-6408 Downloads View citations (1)
  8. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
    Journal of International Money and Finance, 2015, 56, (C), 36-54 Downloads View citations (5)

2014

  1. Breaks, trends and unit roots in commodity prices: a robust investigation
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 23-40 Downloads View citations (9)
  2. Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
    International Review of Economics & Finance, 2014, 33, (C), 371-390 Downloads View citations (2)
  3. Expected returns and expected dividend growth: time to rethink an established empirical literature
    Applied Economics, 2014, 46, (21), 2462-2476 Downloads View citations (1)
  4. Sources of the stock price fluctuations in Chinese equity market
    The European Journal of Finance, 2014, 20, (7-9), 829-846 Downloads View citations (1)
  5. Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
    Journal of International Money and Finance, 2014, 41, (C), 95-109 Downloads View citations (9)
  6. The conditional influence of term spread and pattern changes on future equity returns
    Applied Economics, 2014, 46, (9), 913-923 Downloads View citations (2)
  7. The relationship between energy and equity markets: Evidence from volatility impulse response functions
    Energy Economics, 2014, 43, (C), 297-305 Downloads View citations (35)

2013

  1. A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH
    Manchester School, 2013, 81, (3), 386-400 Downloads View citations (4)
  2. An Unobserved Components Model that Yields Business and Medium‐Run Cycles
    Journal of Money, Credit and Banking, 2013, 45, (7), 1351-1373 Downloads
  3. Causality between trading volume and returns: Evidence from quantile regressions
    International Review of Economics & Finance, 2013, 27, (C), 144-159 Downloads View citations (34)
  4. Changes in the oil price-inflation pass-through
    Journal of Economics and Business, 2013, 68, (C), 24-42 Downloads View citations (14)
  5. International herding: Does it differ across sectors?
    Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 55-84 Downloads View citations (22)
  6. Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
    Econometric Reviews, 2013, 32, (3), 318-360 Downloads View citations (8)
  7. Long-run growth empirics and new challenges for unified theory
    Applied Economics, 2013, 45, (28), 3973-3987 Downloads View citations (6)
  8. The contribution of economic fundamentals to movements in exchange rates
    Journal of International Economics, 2013, 90, (1), 1-16 Downloads View citations (33)
  9. The determinants of quantile autocorrelations: Evidence from the UK
    International Review of Financial Analysis, 2013, 29, (C), 51-61 Downloads View citations (3)
  10. The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
    International Review of Financial Analysis, 2013, 26, (C), 40-50 Downloads View citations (7)
  11. The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset
    Applied Economics, 2013, 45, (26), 3683-3690 Downloads View citations (2)
  12. Time varying stock return predictability: Evidence from US sectors
    Finance Research Letters, 2013, 10, (1), 34-40 Downloads View citations (7)
  13. UK stock market predictability: evidence of time variation
    Applied Financial Economics, 2013, 23, (12), 1043-1055 Downloads View citations (1)

2012

  1. An empirical investigation of the Taylor curve
    Journal of Macroeconomics, 2012, 34, (2), 380-390 Downloads View citations (3)
  2. Commodity volatility breaks
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (2), 395-422 Downloads View citations (81)
  3. Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns
    Applied Financial Economics, 2012, 22, (18), 1491-1500 Downloads View citations (2)
  4. Output and stock prices: an examination of the relationship over 200 years
    Applied Financial Economics, 2012, 22, (19), 1615-1629 Downloads View citations (6)
  5. The dynamics of inflation: a study of a large number of countries
    Applied Economics, 2012, 44, (16), 2001-2026 Downloads View citations (7)
    See also Working Paper
  6. “Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads
    Journal of International Money and Finance, 2012, 31, (6), 1339-1357 Downloads View citations (10)

2011

  1. PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK
    Manchester School, 2011, 79, (3), 510-527 Downloads View citations (17)
  2. Pierre L. Siklos, Martin T. Bohl and Mark E. Wohar, Challenges in central banking: the current institutional environment and forces affecting monetary policy, Cambridge University Press (2010)
    Journal of International Economics, 2011, 83, (1), 93-94 Downloads
  3. Structural breaks in volatility: the case of UK sector returns
    Applied Financial Economics, 2011, 21, (15), 1079-1093 Downloads View citations (8)
  4. Sum of the parts stock return forecasting: international evidence
    Applied Financial Economics, 2011, 21, (12), 837-845 Downloads View citations (3)

2010

  1. An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear
    Applied Financial Economics, 2010, 20, (22), 1697-1707 Downloads
  2. Persistence and time-varying coefficients
    Economics Letters, 2010, 108, (1), 85-88 Downloads
  3. Stock return predictability and dividend-price ratio: a nonlinear approach
    International Journal of Finance & Economics, 2010, 15, (4), 351-365 Downloads View citations (11)
  4. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
    The Review of Economics and Statistics, 2010, 92, (2), 367-377 Downloads View citations (99)
  5. UK stock price effects of permanent and transitory shocks
    The European Journal of Finance, 2010, 16, (7), 641-656 Downloads
    Also in Economic Inquiry, 1998, 36, (4), 540-52 (1998) View citations (11)

2009

  1. Can the term spread predict output growth and recessions? a survey of the literature
    Review, 2009, (Sep), 419-440 Downloads View citations (47)
  2. Determinants of State Labor Productivity: The Changing Role of Density
    Journal of Regional Analysis and Policy, 2009, 39, (1), 10 Downloads
  3. Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective
    Journal of Applied Econometrics, 2009, 24, (1), 35-75 Downloads View citations (6)
  4. 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 Downloads View citations (10)

2008

  1. The Composition of Industry and the Duration of State Recessions
    Journal of Regional Analysis and Policy, 2008, 38, (3), 16 Downloads View citations (1)

2007

  1. 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 Downloads View citations (15)
  2. Do increases in petroleum product prices put the incumbent party at risk in US presidential elections?
    Applied Economics, 2007, 39, (6), 727-737 Downloads View citations (2)
  3. Domestic–foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models
    Southern Economic Journal, 2007, 73, (3), 814–829 View citations (1)
  4. 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 Downloads View citations (1)
  5. Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
    Journal of Economic Insight (formerly the Journal of Economics (MVEA)), 2007, 33, (2), 1-19

2006

  1. IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
    Journal of Financial Research, 2006, 29, (1), 79-93 Downloads View citations (10)
  2. Identifying regime changes in closed-end fund discounts
    Journal of Economics and Finance, 2006, 30, (1), 115-132 Downloads
  3. 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 Downloads View citations (78)
  4. On the prevalence of trends in primary commodity prices
    Journal of Development Economics, 2006, 79, (1), 146-167 Downloads View citations (80)
  5. Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
    Journal of Financial Econometrics, 2006, 4, (2), 238-274 Downloads View citations (65)
  6. The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior
    International Journal of Forecasting, 2006, 22, (2), 341-361 Downloads View citations (54)
  7. 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 Downloads View citations (7)
  8. What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
    Southern Economic Journal, 2006, 73, (1), 55–78 View citations (4)

2005

  1. Macro variables and international stock return predictability
    International Journal of Forecasting, 2005, 21, (1), 137-166 Downloads View citations (130)
  2. 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 (77)
  3. The Impact of Petroleum Product Prices on State Economic Conditions: An Analysis of the Economic Base
    The Review of Regional Studies, 2005, 35, (2), 161-86 Downloads View citations (1)
  4. Valuation ratios and long-horizon stock price predictability
    Journal of Applied Econometrics, 2005, 20, (3), 327-344 Downloads View citations (22)

2004

  1. A Cautionary Note on the Order of Integration of Post-war Aggregate Wage, Price and Productivity Measures
    Manchester School, 2004, 72, (2), 261-282 Downloads
  2. A cointegrated structural VAR model of the Canadian economy
    Applied Economics, 2004, 36, (3), 195-213 Downloads View citations (2)
  3. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 Downloads View citations (56)
    See also Working Paper (2003)
  4. Technological convergence among US regions and states
    Economics of Innovation and New Technology, 2004, 13, (2), 101-126 Downloads View citations (6)
  5. Testing the monetary model of exchange rate determination: a closer look at panels
    Journal of International Money and Finance, 2004, 23, (6), 867-895 Downloads View citations (74)
  6. The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries
    Southern Economic Journal, 2004, 70, (4), 920-941 View citations (13)
  7. The persistence in international real interest rates
    International Journal of Finance & Economics, 2004, 9, (4), 339-346 Downloads View citations (34)

2002

  1. Low-Frequency Movements in Stock Prices: A State-Space Decomposition
    The Review of Economics and Statistics, 2002, 84, (4), 649-667 Downloads View citations (41)
    See also Working Paper (2001)
  2. Testing the monetary model of exchange rate determination: new evidence from a century of data
    Journal of International Economics, 2002, 58, (2), 359-385 Downloads View citations (142)

2001

  1. Explaining stock price movements: is there a case for fundamentals?
    Economic and Financial Policy Review, 2001, (Q III), 22-34 Downloads View citations (14)
  2. 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 Downloads View citations (6)

1999

  1. Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market
    Journal of Finance, 1999, 54, (1), 307-317 Downloads View citations (28)
  2. Derivative activities and managerial incentives in the banking industry
    Journal of Corporate Finance, 1999, 5, (3), 251-276 Downloads View citations (21)
  3. Models with Unexpected Components: The Case for Efficient Estimation
    Review of Quantitative Finance and Accounting, 1999, 13, (3), 295-313 Downloads View citations (3)
  4. 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 Downloads

1998

  1. Cointegration, forecasting and international stock prices
    Global Finance Journal, 1998, 9, (2), 181-204 Downloads View citations (21)
  2. Nonlinear dynamics and covered interest rate parity
    Empirical Economics, 1998, 23, (4), 535-559 Downloads View citations (56)
    See also Working Paper (1997)
  3. Two puzzles in the analysis of foreign exchange market efficiency
    International Review of Financial Analysis, 1998, 7, (2), 95-111 Downloads View citations (18)
    See also Working Paper (1996)

1997

  1. Convergence in Interest Rates and Inflation Rates across Countries and over Time
    Review of International Economics, 1997, 5, (1), 129-41 View citations (34)

1996

  1. Abnormal profits and relative strength in mutual fund returns
    Review of Financial Economics, 1996, 5, (2), 101-116 Downloads View citations (2)
  2. Cointegration and the term structure: A multicountry comparison
    International Review of Economics & Finance, 1996, 5, (1), 21-34 Downloads View citations (9)
  3. PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review
    Journal of Applied Econometrics, 1996, 11, (1), 105-15 Downloads
  4. 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 Downloads View citations (16)

1995

  1. DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS
    Journal of Financial Research, 1995, 18, (4), 415-430 Downloads View citations (6)
  2. Public and private investment: Are there causal linkages?
    Journal of Macroeconomics, 1995, 17, (1), 1-30 Downloads View citations (38)
  3. The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity
    Journal of Money, Credit and Banking, 1995, 27, (2), 476-97 Downloads View citations (12)
  4. The expectations theory of interest rates: Cointegration and factor decomposition
    International Journal of Forecasting, 1995, 11, (2), 253-262 Downloads View citations (5)

1993

  1. BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
    Journal of Time Series Analysis, 1993, 14, (3), 235-246 Downloads View citations (7)
  2. Corporate Ownership and the Thrift Crisis
    Journal of Law and Economics, 1993, 36, (2), 719-56 Downloads View citations (22)

1992

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

1991

  1. NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM
    Journal of Financial Research, 1991, 14, (1), 83-92 Downloads View citations (15)

1990

  1. Monetary institutions, budget deficits and inflation: Empirical results for eight countries
    European Journal of Political Economy, 1990, 6, (4), 531-551 Downloads View citations (5)
  2. The Adjustment of Expectations to a Change in Regime: Comment
    American Economic Review, 1990, 80, (4), 968-76 Downloads View citations (15)

1989

  1. The Indeterminacy of the Optimal Aggregate for Stabilization Policy under Rational Expectations - L’indeterminatezza dell’aggregato monetario ottimale per la politica di stabilizzazione in presenza di aspettative razionali
    Economia Internazionale / International Economics, 1989, 42, (3-4), 258-278

1987

  1. 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 Downloads View citations (1)
  2. Keynes on Investment and the Business Cycle
    Review of Radical Political Economics, 1987, 19, (4), 39-54 Downloads
  3. Regulation, Scale and Productivity: Reply
    International Economic Review, 1987, 28, (2), 535-39 Downloads
  4. The determinants of international reserves in the small open economy: The case of Honduras
    Journal of Macroeconomics, 1987, 9, (3), 439-450 Downloads

1984

  1. Monetarism and the Aggregate Economy: Some Longer-Run Evidence
    The Review of Economics and Statistics, 1984, 66, (4), 619-29 Downloads View citations (7)

1983

  1. Regulation, Scale Economies, and Productivity in Steam-Electric Generation
    International Economic Review, 1983, 24, (1), 57-79 Downloads View citations (18)

Edited books

2014

  1. Recent Advances in Estimating Nonlinear Models
    Springer Books, Springer

2013

  1. Challenges in Central Banking
    Cambridge Books, Cambridge University Press

2010

  1. Challenges in Central Banking
    Cambridge Books, Cambridge University Press
 
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