Details about Mark Wohar
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Short-id: pwo4
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Working Papers
2022
- How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?
IZA Discussion Papers, Institute of Labor Economics (IZA)
2021
- Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies
IZA Discussion Papers, Institute of Labor Economics (IZA)
- Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Finance Research Letters (2022)
- Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis
Working Papers, University of Pretoria, Department of Economics View citations (1)
2020
- Are U.S. industries resilient in dealing with trade uncertainty ? The case of U.S.-China trade war
Post-Print, HAL View citations (1)
- Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2021)
- Is there a National Housing Market Bubble Brewing in the United States?
Working Papers, University of Pretoria, Department of Economics View citations (6)
Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2020) View citations (6)
- Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump
Post-Print, HAL View citations (3)
See also Journal Article in Applied Economics (2020)
- Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in International Review of Economics & Finance (2021)
- The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Research in International Business and Finance (2021)
- The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Applied Economics Letters (2021)
- The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2021)
- Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (9)
2019
- Bitcoin: competitor or complement to gold?
Post-Print, HAL View citations (18)
See also Journal Article in Economics Bulletin (2019)
- 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 View citations (1)
- Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Working Papers, Eastern Mediterranean University, Department of Economics 
See also Journal Article in The Quarterly Review of Economics and Finance (2020)
- Giant Oil Discoveries and Conflicts
Working Papers, University of Pretoria, Department of Economics
- Gold, Platinum and the Predictability of Bond Risk Premia
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Finance Research Letters (2021)
- Halloween Effect in Developed Stock Markets: A US Perspective
Working Papers, University of Pretoria, Department of Economics
- High-Frequency Volatility Forecasting of US Housing Markets
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Journal of Real Estate Finance and Economics (2021)
- Historical Evolution of Monthly Anomalies in International Stock Markets
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Research in International Business and Finance (2020)
- Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2020)
- Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Is the Housing Market in the United States Really Weakly-Efficient?
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Applied Economics Letters (2020)
- Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Sustainability (2021)
- Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in The North American Journal of Economics and Finance (2020)
- Price Gap Anomaly in the US Stock Market: The Whole Story
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2020)
- Rise and Fall of Calendar Anomalies over a Century
Working Papers, University of Pretoria, Department of Economics View citations (18)
See also Journal Article in The North American Journal of Economics and Finance (2019)
- Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals
Post-Print, HAL View citations (17)
See also Journal Article in Applied Economics (2019)
- 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 View citations (1)
- The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
Working Papers, University of Pretoria, Department of Economics
- 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
See also Journal Article in Applied Economics (2020)
- The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States
Working Papers, University of Pretoria, Department of Economics
- 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 View citations (3)
- What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
Post-Print, HAL View citations (66)
See also Journal Article in Energy Economics (2019)
- What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in The Journal of Real Estate Finance and Economics (2021)
2018
- Are BRICS Exchange Rates Chaotic?
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Applied Economics Letters (2019)
- Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis
Post-Print, HAL View citations (7)
See also Journal Article in Finance Research Letters (2018)
- 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 View citations (2)
See also Journal Article in Applied Economics Letters (2019)
- Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
Working Papers, University of Pretoria, Department of Economics
Also in Working papers, University of Connecticut, Department of Economics (2018) 
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
- International Monetary Policy Spillovers: Evidence from a TVP-VAR
Working Papers, University of Pretoria, Department of Economics
- Measuring the response of gold prices to uncertainty: An analysis beyond the mean
Papers, arXiv.org View citations (65)
Also in Post-Print, HAL (2018) View citations (64)
See also Journal Article in Economic Modelling (2018)
- Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
Working Papers, University of Pretoria, Department of Economics
- 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 (2)
- Oil Shocks and Volatility Jumps
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Review of Quantitative Finance and Accounting (2020)
- Persistence of Economic Uncertainty: A Comprehensive Analysis
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Applied Economics (2019)
- Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Finance (2021)
- 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
- 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 (11)
- 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 (5)
See also Journal Article in Finance Research Letters (2019)
- 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
See also Journal Article in Economics and Business Letters (2019)
- 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)
- 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 View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2019)
- Volatility Jumps: The Role of Geopolitical Risks
Working Papers, University of Pretoria, Department of Economics View citations (41)
See also Journal Article in Finance Research Letters (2018)
2017
- An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
Working Papers, University of Pretoria, Department of Economics
- 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 View citations (2)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2019)
- 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)
- 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 View citations (3)
- 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)
- 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)
- Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in The European Journal of Finance (2019)
- 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 View citations (1)
See also Journal Article in Journal of Multinational Financial Management (2018)
- 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)
- The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Review of Financial Economics (2019)
- 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)
- 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 (8)
See also Journal Article in Empirical Economics (2020)
- U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
Working Papers, University of Pretoria, Department of Economics View citations (2)
Also in Working papers, University of Connecticut, Department of Economics (2017) View citations (2)
See also Journal Article in International Review of Finance (2019)
- 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)
- Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
Working Papers, University of Pretoria, Department of Economics
- Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in International Review of Finance (2018)
2016
- 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)
- 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)
- 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 (9)
- Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in The Quarterly Review of Economics and Finance (2017)
- Forecasting US GNP Growth: The Role of Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Journal of Forecasting (2018)
- 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)
- Periodically Collapsing Bubbles in the South African Stock Market
Working Papers, University of Pretoria, Department of Economics View citations (16)
See also Journal Article in Research in International Business and Finance (2016)
- 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 (16)
See also Journal Article in The European Journal of Finance (2018)
- 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)
- 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)
- 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)
- 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 (4)
- 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 (6)
See also Journal Article in Empirica (2019)
- 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)
- 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
- 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 (7)
See also Journal Article in Applied Economics (2018)
- 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 View citations (3)
See also Journal Article in Bulletin of Economic Research (2019)
- 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)
- 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 (3)
See also Journal Article in Open Economies Review (2016)
- Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Journal of Forecasting (2017)
- Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Energy Economics (2017)
- 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 View citations (2)
2014
- Examining real interest parity: which component reverts quickest and in which regime?
Discussion Paper Series, Department of Economics, Loughborough University 
See also Journal Article in International Review of Financial Analysis (2015)
2012
- Trends and Cycles in Real Commodity Prices: 1650-2010
CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University View citations (4)
2011
- 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
2010
- The Dynamics of Inflation: A Study of a Large Number of Countries
EcoMod2010, EcoMod 
See also Journal Article in Applied Economics (2012)
- The Strategic Implications of Setting Border Tax Adjustments
EcoMod2010, EcoMod
2005
- Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence
Computing in Economics and Finance 2005, Society for Computational Economics
- The Long and the Short of It: Long Memory Regressors and Predictive Regressions
Computing in Economics and Finance 2005, Society for Computational Economics
2003
- 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) View citations (13)
See also Journal Article in Economic Inquiry (2004)
- Trends and Persistence in Primary Commodity Prices
Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (3)
2001
- U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
Economic Papers, Trinity College Dublin, Economics Department View citations (7)
- Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (8)
2000
- Low frequency movements in stock prices: a state space decomposition
Working Papers, Federal Reserve Bank of Dallas 
See also Journal Article in The Review of Economics and Statistics (2002)
1997
- Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market
Finance, University Library of Munich, Germany
- Nonlinear dynamics and covered interest rate parity
Working Papers, Federal Reserve Bank of Dallas View citations (2)
See also Journal Article in Empirical Economics (1998)
- The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act
Finance, University Library of Munich, Germany
1996
- 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
- Convergence in Interest Rates and Inflation Rates Across Countries and Across Time
Working Papers, Wilfrid Laurier University, Department of Economics
Journal Articles
2022
- Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model
Finance Research Letters, 2022, 47, (PA) View citations (1)
See also Working Paper (2021)
- “Digital Gold” and geopolitics
Research in International Business and Finance, 2022, 59, (C) View citations (2)
2021
- Day-of-the-week effect and spread determinants: Some international evidence from equity markets
International Review of Economics & Finance, 2021, 71, (C), 268-288 View citations (2)
- Evolution of price effects after one-day abnormal returns in the US stock market
The North American Journal of Economics and Finance, 2021, 57, (C) View citations (4)
See also Working Paper (2020)
- Financial stress, economic policy uncertainty, and oil price uncertainty
Energy Economics, 2021, 104, (C) View citations (17)
- Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test
Applied Economics Letters, 2021, 28, (6), 482-486 View citations (4)
- Gold, platinum and the predictability of bond risk premia
Finance Research Letters, 2021, 38, (C) View citations (3)
See also Working Paper (2019)
- High-Frequency Volatility Forecasting of US Housing Markets
The Journal of Real Estate Finance and Economics, 2021, 62, (2), 283-317 View citations (4)
See also Working Paper (2019)
- Housing sector and economic policy uncertainty: A GMM panel VAR approach
International Review of Economics & Finance, 2021, 76, (C), 114-126 View citations (7)
- Is COVID-19 Related Anxiety an Accelerator for Responsible and Sustainable Investing ? A Sentiment Analysis
Applied Economics, 2021, 53, (13), 1528-1539 View citations (4)
- Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio
International Review of Economics & Finance, 2021, 71, (C), 779-810 
See also Working Paper (2020)
- Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data
Resources Policy, 2021, 73, (C)
- Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries
Energy Economics, 2021, 98, (C) View citations (7)
- Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
Sustainability, 2021, 13, (3), 1-20 View citations (1)
See also Working Paper (2019)
- Phillips Curve for the Asian Economies: A Nonlinear Perspective
Emerging Markets Finance and Trade, 2021, 57, (12), 3508-3537
- Political uncertainty, COVID-19 pandemic and stock market volatility transmission
Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (5)
- Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
International Review of Finance, 2021, 21, (1), 324-335 View citations (2)
See also Working Paper (2018)
- Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets
Economic Modelling, 2021, 102, (C) View citations (7)
- Testing for rational bubbles in the UK housing market
Applied Economics, 2021, 53, (8), 962-975 View citations (1)
- Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?
The World Economy, 2021, 44, (1), 188-233 View citations (8)
- The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach
Research in International Business and Finance, 2021, 58, (C) View citations (4)
See also Working Paper (2020)
- The energy transition, Trump energy agenda and COVID-19
International Economics, 2021, 165, (C), 140-153 View citations (2)
- The impact of disaggregated oil shocks on state-level consumption of the United States
Applied Economics Letters, 2021, 28, (21), 1818-1824 View citations (2)
See also Working Paper (2020)
- The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence
Finance Research Letters, 2021, 43, (C) View citations (4)
See also Working Paper (2020)
- Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia
International Review of Finance, 2021, 21, (2), 661-674
- What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data
The Journal of Real Estate Finance and Economics, 2021, 62, (1), 81-107 
See also Working Paper (2019)
2020
- CITY SIZE, LABOR PRODUCTIVITY AND WAGES IN KOREA
The Singapore Economic Review (SER), 2020, 65, (04), 1073-1098
- Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies
The North American Journal of Economics and Finance, 2020, 51, (C) View citations (14)
- Fed’s unconventional monetary policy and risk spillover in the US financial markets
The Quarterly Review of Economics and Finance, 2020, 78, (C), 42-52 View citations (7)
See also Working Paper (2019)
- Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate
Energy Economics, 2020, 92, (C) View citations (5)
- Halloween Effect in developed stock markets: A historical perspective
International Economics, 2020, 161, (C), 130-138 View citations (3)
- Historical evolution of monthly anomalies in international stock markets
Research in International Business and Finance, 2020, 52, (C) View citations (3)
See also Working Paper (2019)
- Historical volatility of advanced equity markets: The role of local and global crises
Finance Research Letters, 2020, 34, (C) View citations (1)
See also Working Paper (2019)
- Is the Housing Market in the United States Really Weakly-Efficient?
Applied Economics Letters, 2020, 27, (14), 1124-1134 View citations (1)
See also Working Paper (2019)
- Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump
Applied Economics, 2020, 52, (35), 3858-3873 View citations (3)
See also Working Paper (2020)
- Oil price uncertainty and movements in the US government bond risk premia
The North American Journal of Economics and Finance, 2020, 52, (C) View citations (17)
See also Working Paper (2019)
- Oil shocks and volatility jumps
Review of Quantitative Finance and Accounting, 2020, 54, (1), 247-272 View citations (9)
See also Working Paper (2018)
- Price gap anomaly in the US stock market: The whole story
The North American Journal of Economics and Finance, 2020, 52, (C) View citations (1)
See also Working Paper (2019)
- Spillover effects in oil-related CDS markets during and after the sub-prime crisis
The North American Journal of Economics and Finance, 2020, 54, (C) View citations (6)
- The effect of global and regional stock market shocks on safe haven assets
Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 View citations (9)
- The impact of US uncertainty shocks on a panel of advanced and emerging market economies
The Journal of International Trade & Economic Development, 2020, 29, (6), 711-721 View citations (22)
- The role of an aligned investor sentiment index in predicting bond risk premia of the U.S
Journal of Financial Markets, 2020, 51, (C) View citations (14)
- The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach
Applied Economics, 2020, 52, (5), 528-536 View citations (1)
See also Working Paper (2019)
- Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data
Empirical Economics, 2020, 58, (5), 2249-2285 View citations (4)
See also Working Paper (2017)
- Volatility forecasting with bivariate multifractal models
Journal of Forecasting, 2020, 39, (2), 155-167 View citations (9)
- What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?
Oxford Bulletin of Economics and Statistics, 2020, 82, (2), 311-330 View citations (3)
- What Trump’s China Tariffs Have Cost U.S. Companies?
Journal of Economic Integration, 2020, 35, (2), 282-295
2019
- Are BRICS exchange rates chaotic?
Applied Economics Letters, 2019, 26, (13), 1104-1110 View citations (7)
See also Working Paper (2018)
- 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 View citations (9)
See also Working Paper (2017)
- Bitcoin: competitor or complement to gold?
Economics Bulletin, 2019, 39, (1), 186-191 View citations (19)
See also Working Paper (2019)
- Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Real Estate Economics, 2019, 47, (4), 935-976 View citations (5)
- Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014
Bulletin of Economic Research, 2019, 71, (4), 616-640 View citations (4)
See also Working Paper (2015)
- Exchange rate returns and volatility: the role of time-varying rare disaster risks
The European Journal of Finance, 2019, 25, (2), 190-203 View citations (13)
See also Working Paper (2017)
- Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries
Empirical Economics, 2019, 56, (2), 523-549
- 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 View citations (7)
See also Working Paper (2018)
- Growth volatility and inequality in the U.S.: A wavelet analysis
Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 48-73 View citations (3)
See also Working Paper (2018)
- Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
Applied Energy, 2019, 233-234, 612-621 View citations (93)
- PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES
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Empirica, 2019, 46, (2), 353-368 View citations (48)
See also Working Paper (2016)
- 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 View citations (10)
See also Working Paper (2018)
- The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data
Economics and Business Letters, 2019, 8, (3), 138-146 View citations (2)
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- 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 
See also Working Paper (2017)
- The role of time‐varying rare disaster risks in predicting bond returns and volatility
Review of Financial Economics, 2019, 37, (3), 327-340 View citations (4)
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- Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017
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See also Working Paper (2018)
- Time-varying predictability of oil market movements over a century of data: The role of US financial stress
The North American Journal of Economics and Finance, 2019, 50, (C) View citations (15)
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- US Fiscal Policy and Asset Prices: The Role of Partisan Conflict
International Review of Finance, 2019, 19, (4), 851-862 View citations (3)
See also Working Paper (2017)
- Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
Journal of Central Banking Theory and Practice, 2019, 8, (3), 39-50 View citations (1)
- What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
Energy Economics, 2019, 84, (C) View citations (66)
See also Working Paper (2019)
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Global Finance Journal, 2019, 42, (C) View citations (6)
2018
- Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis
Finance Research Letters, 2018, 26, (C), 100-105 View citations (7)
See also Working Paper (2018)
- Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
Applied Economics, 2018, 50, (53), 5712-5727 View citations (27)
See also Working Paper (2015)
- Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
Journal of Macroeconomics, 2018, 57, (C), 317-337 View citations (78)
See also Working Paper (2017)
- 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 View citations (5)
See also Working Paper (2016)
- Do house prices hedge inflation in the US? A quantile cointegration approach
International Review of Economics & Finance, 2018, 54, (C), 15-26 View citations (11)
See also Working Paper (2017)
- Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆
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- Exchange rate pass-through in the Asian countries: does inflation volatility matter?
Applied Economics Letters, 2018, 25, (5), 309-312 View citations (4)
- Forecasting US GNP growth: The role of uncertainty
Journal of Forecasting, 2018, 37, (5), 541-559 View citations (10)
See also Working Paper (2016)
- Global factors and equity market valuations: Do country characteristics matter?
International Journal of Finance & Economics, 2018, 23, (4), 427-441
- Measuring the response of gold prices to uncertainty: An analysis beyond the mean
Economic Modelling, 2018, 75, (C), 105-116 View citations (65)
See also Working Paper (2018)
- 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 View citations (12)
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- Nonlinear Taylor rules: evidence from a large dataset
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- Stock returns forecasting with metals: sentiment vs. fundamentals
The European Journal of Finance, 2018, 24, (6), 458-477 View citations (7)
- 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 View citations (17)
See also Working Paper (2016)
- 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 View citations (6)
- The predictive power of the yield spread for future economic expansions: Evidence from a new approach
Economic Modelling, 2018, 75, (C), 181-195 View citations (6)
- The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
Finance Research Letters, 2018, 25, (C), 131-136 View citations (11)
See also Working Paper (2016)
- Time-varying rare disaster risks, oil returns and volatility
Energy Economics, 2018, 75, (C), 239-248 View citations (41)
See also Working Paper (2017)
- UK macroeconomic volatility: Historical evidence over seven centuries
Journal of Policy Modeling, 2018, 40, (4), 767-789
- Volatility jumps: The role of geopolitical risks
Finance Research Letters, 2018, 27, (C), 247-258 View citations (40)
See also Working Paper (2018)
- Volatility spillovers across global asset classes: Evidence from time and frequency domains
The Quarterly Review of Economics and Finance, 2018, 70, (C), 194-202 View citations (77)
See also Working Paper (2017)
- Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
International Review of Finance, 2018, 18, (3), 495-506 View citations (1)
See also Working Paper (2017)
2017
- 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 View citations (3)
- 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 View citations (35)
See also Working Paper (2015)
- 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 View citations (4)
- Do commodities make effective hedges for equity investors?
Research in International Business and Finance, 2017, 42, (C), 1274-1288 View citations (21)
- Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
International Finance, 2017, 20, (3), 289-316 View citations (28)
- 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 View citations (18)
See also Working Paper (2016)
- Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
Journal of Forecasting, 2017, 36, (6), 640-650 View citations (2)
See also Working Paper (2015)
- Forecasting market returns: bagging or combining?
International Journal of Forecasting, 2017, 33, (1), 102-120 View citations (18)
- Forecasting oil and stock returns with a Qual VAR using over 150years off data
Energy Economics, 2017, 62, (C), 181-186 View citations (41)
See also Working Paper (2015)
- 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 View citations (74)
See also Working Paper (2016)
- Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
World Development, 2017, 89, (C), 57-70 View citations (19)
- Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries
International Review of Economics & Finance, 2017, 51, (C), 245-257 View citations (18)
- Predictability and underreaction in industry-level returns: Evidence from commodity markets
Journal of Commodity Markets, 2017, 6, (C), 1-15 View citations (3)
- 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 View citations (9)
See also Working Paper (2016)
- The cyclicality of fiscal policy: New evidence from unobserved components approach
Journal of Macroeconomics, 2017, 53, (C), 222-234 View citations (7)
- The depreciation of the pound post-Brexit: Could it have been predicted?
Finance Research Letters, 2017, 21, (C), 206-213 View citations (11)
See also Working Paper (2016)
- 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 View citations (10)
See also Working Paper (2016)
2016
- An evaluation of ECB policy in the Euro's big four
Journal of Macroeconomics, 2016, 48, (C), 203-213
- Can commodity returns forecast Canadian sector stock returns?
International Review of Economics & Finance, 2016, 41, (C), 172-188 View citations (14)
- 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 View citations (85)
See also Working Paper (2015)
- FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION
Bulletin of Economic Research, 2016, 68, (2), 151-167
- Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence
Economic Systems, 2016, 40, (4), 638-657 View citations (15)
- Periodically collapsing bubbles in the South African stock market
Research in International Business and Finance, 2016, 38, (C), 191-201 View citations (15)
See also Working Paper (2016)
- Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
International Review of Economics & Finance, 2016, 41, (C), 122-143 View citations (30)
- Structural Breaks in Volatility: The Case of Chinese Stock Returns
Chinese Economy, 2016, 49, (2), 81-93 View citations (4)
2015
- A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS
Macroeconomic Dynamics, 2015, 19, (4), 728-752 View citations (1)
- Asymmetric tax multipliers
Journal of Macroeconomics, 2015, 43, (C), 38-48 View citations (12)
- Capital Inflows and Economic Growth: Does the Role of Institutions Matter?
International Journal of Finance & Economics, 2015, 20, (3), 253-275 View citations (29)
- Consumption growth, preference for smoothing, changes in expectations and risk premium
The Quarterly Review of Economics and Finance, 2015, 56, (C), 80-97 View citations (8)
- Examining real interest parity: Which component reverts quickest and in which regime?
International Review of Financial Analysis, 2015, 39, (C), 72-83 View citations (5)
See also Working Paper (2014)
- Location, location, location: currency effects and return predictability?
Applied Economics, 2015, 47, (18), 1883-1898 View citations (5)
- Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model
Applied Economics, 2015, 47, (59), 6395-6408 View citations (1)
- Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
Journal of International Money and Finance, 2015, 56, (C), 36-54 View citations (9)
2014
- Breaks, trends and unit roots in commodity prices: a robust investigation
Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 23-40 View citations (19)
- Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
International Review of Economics & Finance, 2014, 33, (C), 371-390 View citations (2)
- Expected returns and expected dividend growth: time to rethink an established empirical literature
Applied Economics, 2014, 46, (21), 2462-2476 View citations (5)
- Sources of the stock price fluctuations in Chinese equity market
The European Journal of Finance, 2014, 20, (7-9), 829-846 View citations (3)
- 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 View citations (13)
- The conditional influence of term spread and pattern changes on future equity returns
Applied Economics, 2014, 46, (9), 913-923 View citations (2)
- The relationship between energy and equity markets: Evidence from volatility impulse response functions
Energy Economics, 2014, 43, (C), 297-305 View citations (68)
2013
- A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH
Manchester School, 2013, 81, (3), 386-400 View citations (6)
- An Unobserved Components Model that Yields Business and Medium-Run Cycles
Journal of Money, Credit and Banking, 2013, 45, (7), 1351-1373 View citations (3)
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- Causality between trading volume and returns: Evidence from quantile regressions
International Review of Economics & Finance, 2013, 27, (C), 144-159 View citations (66)
- Changes in the oil price-inflation pass-through
Journal of Economics and Business, 2013, 68, (C), 24-42 View citations (31)
- International herding: Does it differ across sectors?
Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 55-84 View citations (41)
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
Econometric Reviews, 2013, 32, (3), 318-360 View citations (15)
- Long-run growth empirics and new challenges for unified theory
Applied Economics, 2013, 45, (28), 3973-3987 View citations (11)
- The contribution of economic fundamentals to movements in exchange rates
Journal of International Economics, 2013, 90, (1), 1-16 View citations (47)
- The determinants of quantile autocorrelations: Evidence from the UK
International Review of Financial Analysis, 2013, 29, (C), 51-61 View citations (5)
- The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
International Review of Financial Analysis, 2013, 26, (C), 40-50 View citations (12)
- The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset
Applied Economics, 2013, 45, (26), 3683-3690 View citations (3)
- Time varying stock return predictability: Evidence from US sectors
Finance Research Letters, 2013, 10, (1), 34-40 View citations (11)
2012
- An empirical investigation of the Taylor curve
Journal of Macroeconomics, 2012, 34, (2), 380-390 View citations (6)
- Commodity volatility breaks
Journal of International Financial Markets, Institutions and Money, 2012, 22, (2), 395-422 View citations (137)
- The dynamics of inflation: a study of a large number of countries
Applied Economics, 2012, 44, (16), 2001-2026 View citations (9)
See also Working Paper (2010)
- “Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads
Journal of International Money and Finance, 2012, 31, (6), 1339-1357 View citations (11)
2011
- PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK
Manchester School, 2011, 79, (3), 510-527 View citations (21)
- 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 View citations (2)
2010
- Persistence and time-varying coefficients
Economics Letters, 2010, 108, (1), 85-88
- Stock return predictability and dividend-price ratio: a nonlinear approach
International Journal of Finance & Economics, 2010, 15, (4), 351-365 View citations (13)
- The Prebisch-Singer Hypothesis: Four Centuries of Evidence
The Review of Economics and Statistics, 2010, 92, (2), 367-377 View citations (142)
- UK stock price effects of permanent and transitory shocks
The European Journal of Finance, 2010, 16, (7), 641-656 
Also in Economic Inquiry, 1998, 36, (4), 540-52 (1998) View citations (13)
2009
- Can the term spread predict output growth and recessions? a survey of the literature
Review, 2009, 91, (Sep), 419-440 View citations (68)
- Determinants of State Labor Productivity: The Changing Role of Density
Journal of Regional Analysis and Policy, 2009, 39, (1), 10 View citations (2)
- Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective
Journal of Applied Econometrics, 2009, 24, (1), 35-75 View citations (13)
- 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 View citations (15)
2008
- The Composition of Industry and the Duration of State Recessions
Journal of Regional Analysis and Policy, 2008, 38, (3), 16 View citations (3)
2007
- 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 View citations (18)
- Do increases in petroleum product prices put the incumbent party at risk in US presidential elections?
Applied Economics, 2007, 39, (6), 727-737 View citations (3)
- Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models
Southern Economic Journal, 2007, 73, (3), 814-829
- 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 View citations (1)
- Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
Journal of Economic Insight, 2007, 33, (2), 1-19
2006
- IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
Journal of Financial Research, 2006, 29, (1), 79-93 View citations (14)
- Identifying regime changes in closed-end fund discounts
Journal of Economics and Finance, 2006, 30, (1), 115-132 View citations (1)
- In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
Journal of Empirical Finance, 2006, 13, (2), 231-247 View citations (119)
- On the prevalence of trends in primary commodity prices
Journal of Development Economics, 2006, 79, (1), 146-167 View citations (102)
- Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
The Journal of Financial Econometrics, 2006, 4, (2), 238-274 View citations (101)
- The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior
International Journal of Forecasting, 2006, 22, (2), 341-361 View citations (67)
- 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 View citations (9)
- What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
Southern Economic Journal, 2006, 73, (1), 55-78
2005
- Macro variables and international stock return predictability
International Journal of Forecasting, 2005, 21, (1), 137-166 View citations (181)
- 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 (103)
- 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 View citations (2)
- Valuation ratios and long-horizon stock price predictability
Journal of Applied Econometrics, 2005, 20, (3), 327-344 View citations (25)
Also in Journal of Applied Econometrics, 2005, 20, (3), 327-344 (2005) View citations (1)
2004
- A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures
Manchester School, 2004, 72, (2), 261-282
- A cointegrated structural VAR model of the Canadian economy
Applied Economics, 2004, 36, (3), 195-213 View citations (3)
- Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
Economic Inquiry, 2004, 42, (2), 179-193 View citations (62)
See also Working Paper (2003)
- Technological convergence among US regions and states
Economics of Innovation and New Technology, 2004, 13, (2), 101-126 View citations (7)
- Testing the monetary model of exchange rate determination: a closer look at panels
Journal of International Money and Finance, 2004, 23, (6), 867-895 View citations (93)
- The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries
Southern Economic Journal, 2004, 70, (4), 920-941
- The persistence in international real interest rates
International Journal of Finance & Economics, 2004, 9, (4), 339-346 View citations (41)
2002
- Low-Frequency Movements in Stock Prices: A State-Space Decomposition
The Review of Economics and Statistics, 2002, 84, (4), 649-667 View citations (65)
See also Working Paper (2000)
- Testing the monetary model of exchange rate determination: new evidence from a century of data
Journal of International Economics, 2002, 58, (2), 359-385 View citations (167)
2001
- Explaining stock price movements: is there a case for fundamentals?
Economic and Financial Policy Review, 2001, (Q III), 22-34 View citations (15)
- Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993
Journal of Economics and Business, 2001, 53, (1), 85-102 View citations (14)
1999
- Are Tax Effects Important in the Long‐Run Fisher Relationship? Evidence from the Municipal Bond Market
Journal of Finance, 1999, 54, (1), 307-317 View citations (38)
- Derivative activities and managerial incentives in the banking industry
Journal of Corporate Finance, 1999, 5, (3), 251-276 View citations (24)
- Models with Unexpected Components: The Case for Efficient Estimation
Review of Quantitative Finance and Accounting, 1999, 13, (3), 295-313 View citations (3)
- 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 View citations (1)
Also in Review of Financial Economics, 1999, 8, (2), 101-119 (1999)
1998
- Cointegration, forecasting and international stock prices
Global Finance Journal, 1998, 9, (2), 181-204 View citations (24)
- Nonlinear dynamics and covered interest rate parity
Empirical Economics, 1998, 23, (4), 535-559 View citations (64)
See also Working Paper (1997)
- Two puzzles in the analysis of foreign exchange market efficiency
International Review of Financial Analysis, 1998, 7, (2), 95-111 View citations (27)
See also Working Paper (1996)
1997
- Convergence in Interest Rates and Inflation Rates across Countries and over Time
Review of International Economics, 1997, 5, (1), 129-41 View citations (48)
1996
- Abnormal profits and relative strength in mutual fund returns
Review of Financial Economics, 1996, 5, (2), 101-116 
Also in Review of Financial Economics, 1996, 5, (2), 101-116 (1996) View citations (5)
- Cointegration and the term structure: A multicountry comparison
International Review of Economics & Finance, 1996, 5, (1), 21-34 View citations (13)
- PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review
Journal of Applied Econometrics, 1996, 11, (1), 105-15 View citations (1)
- The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness
Economic Journal, 1996, 106, (434), 26-38 View citations (17)
1995
- DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS
Journal of Financial Research, 1995, 18, (4), 415-430 View citations (20)
- Public and private investment: Are there causal linkages?
Journal of Macroeconomics, 1995, 17, (1), 1-30 View citations (65)
- The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity
Journal of Money, Credit and Banking, 1995, 27, (2), 476-97 View citations (12)
- The expectations theory of interest rates: Cointegration and factor decomposition
International Journal of Forecasting, 1995, 11, (2), 253-262 View citations (6)
1993
- BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Journal of Time Series Analysis, 1993, 14, (3), 235-246 View citations (71)
- Corporate Ownership and the Thrift Crisis
Journal of Law and Economics, 1993, 36, (2), 719-56 View citations (25)
1992
- Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets
The Financial Review, 1992, 27, (4), 503-30 View citations (1)
1991
- NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM
Journal of Financial Research, 1991, 14, (1), 83-92 View citations (17)
1990
- Monetary institutions, budget deficits and inflation: Empirical results for eight countries
European Journal of Political Economy, 1990, 6, (4), 531-551 View citations (10)
- The Adjustment of Expectations to a Change in Regime: Comment
American Economic Review, 1990, 80, (4), 968-76 View citations (16)
1989
- 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
- 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 View citations (1)
- Keynes on Investment and the Business Cycle
Review of Radical Political Economics, 1987, 19, (4), 39-54
- Regulation, Scale and Productivity: Reply
International Economic Review, 1987, 28, (2), 535-39
- The determinants of international reserves in the small open economy: The case of Honduras
Journal of Macroeconomics, 1987, 9, (3), 439-450
1984
- Monetarism and the Aggregate Economy: Some Longer-Run Evidence
The Review of Economics and Statistics, 1984, 66, (4), 619-29 View citations (9)
1983
- Regulation, Scale Economies, and Productivity in Steam-Electric Generation
International Economic Review, 1983, 24, (1), 57-79 View citations (29)
Edited books
2014
- Recent Advances in Estimating Nonlinear Models
Springer Books, Springer View citations (24)
2013
- Challenges in Central Banking
Cambridge Books, Cambridge University Press View citations (1)
2010
- Challenges in Central Banking
Cambridge Books, Cambridge University Press View citations (94)
Chapters
2015
- The Stock Return Predictability and Stock Price Decomposition in the Chinese Equity Market
Palgrave Macmillan
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