Public Policy Discussion Papers

From Economics and Finance Section, School of Social Sciences, Brunel University
Brunel University, Uxbridge, Middlesex UB8 3PH, UK.
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05-04: BLACK MARKET AND OFFICIAL EXCHANGE RATES:LONG-RUN EQUILIBRIUM AND SHORT-RUN DYNAMICS

Guglielmo Maria Caporale and Mario Cerrato

05-03: VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION

Guglielmo Maria Caporale and Mario Cerrato

05-02: SAVING, FUNDING AND ECONOMIC GROWTH

E Davis and Yu-Wei Hu

05-01: FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS

Guglielmo Maria Caporale and Luis Gil-Alana

04-23: IS THERE A LINK BETWEEN PENSION-FUND ASSETS AND ECONOMIC GROWTH? - A CROSS-COUNTRY STUDY

E Davis and Yuwei Hu

04-22: The specification of cross exchange rate equations used to test Purchasing Power Parity

John Hunter and Mark Simpson

04-21: LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994

Guglielmo Maria Caporale and Luis Gil-Alana

04-20: TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA

Guglielmo Maria Caporale, Luis Gil-Alana and Mike Nazarski

04-19: Commercial property prices and bank performance

E Davis and Haibin Zhu

04-18: PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW

Guglielmo Maria Caporale and Mario Cerrato

04-17: NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE

Guglielmo Maria Caporale and Luis Gil-Alana

04-16: NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS

Guglielmo Maria Caporale and Luis Gil-Alana

04-15: THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE

Guglielmo Maria Caporale and Luis Gil-Alana

04-14: THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY

Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis and Nikitas Pittis

04-13: MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH

Guglielmo Maria Caporale, Mario Cerrato and Nicola Spagnolo

04-12: Contracting Out Public Service Provision to Non-for-profit Firms

John Bennett and Elisabetta Iossa

04-11: Uncertainty and UK Monetary Policy

Christopher Martin and Costas Milas

04-10: THE EQUITY PREMIUM

Kyri Kyriacou, Jakob Madsen and Bryan Mase

04-09: Executive Stock Option Exercises and the Predictive Ability of Transaction Value

Kyri Kyriacou and Bryan Mase

04-08: Identifying and Solving Multivariate Rational Expectations Models

John Hunter and Christos Ioannidis

04-07: Financial Contracts and Strategic customer Exclusion

Naoki Kojima

04-06: The IPO Spread and Conflicts of Interests

Naoki Kojima

04-05: The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case

Steve Lawford and Michalis P. Stamatogiannis

04-04: Price Cap, Revenue Sharing and Information Acquisition

Elisabetta Iossa and Francesca Stroffolini

04-03: Finite-sample quantiles of the Jarque-Bera test

Steve Lawford

04-02: External Financing of Us Corporations: Are Loans and Securities Complements or Substitutes?

E Davis and Christos Ioannidis

04-01: Debt Sustainability, Structural Breaks and Non-linear Fiscal Adjustment: A Testing Application to Greek Fiscal Policy

Michael Arghyrou

03-27: The Dynamics of International R&D Spillovers

Kul Luintel and Mosahid Khan

03-26: Commercial Activity as Insurance: the Investment Behavior of Non-profit Firms

John Bennett, Elisabetta Iossa and Gabriella Legrenzi

03-25: Optimal Monetary Policy and the Asset Market:A Non-cooperative Game

Christos Ioannidis, and Oreste Napolitano

03-24: Privatization Methods and Economic Growth

John Bennett, Saul Estrin, James Maw and Giovanni Urga

03-23: A CHANGE OF FOCUS STOCK MARKET RECLASSIFICATION IN THE UK

Bryan Mase

03-22: Optimal Monetary Policy and Asset Price Misalignments

Alexandros Kontonikas and Alberto Montagnoli

03-21: IS THERE A PENSIONS CRISIS IN THE UK?

E Davis

03-20: TOWARDS A TYPOLOGY FOR SYSTEMIC FINANCIAL INSTABILITY

E Davis

03-19: Should Monetary Policy Respond to Asset Price Misalignments?

Alexandros Kontonikas and Christos Ioannidis

03-18: The Impact of Risk on the Decision to Exercise an ESO

Kyriacos Kyriacou

03-17: THE INFORMATION CONTAINED IN THE EXERCISE OF EXECUTIVE STOCK OPTIONS

Kyriacos Kyriacou and Bryan Mase

03-16: AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s

John Hunter, Zacharias Psaradakis and Martin Sola

03-15: Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Fabio Spagnolod, Zacharias Psaradakis and Martin Sola

03-14: Red Signals: Trade Deficits and the Current Account

Marzia Raybaudi, Martin Sola and Fabio Spagnolod

03-13: Performance of utility-based strategies for hedging basis risk

Michael Monoyios

03-12: Non-linear and non-symmetric exchange-rate adjustment:New evidence from medium- and high-inflation countries

Michael Arghyrou, Virginie Boinet and Christopher Martin

03-11: A Hypergeometric Test for Omitted Nonlinearity

Steve Lawford

03-10: A PANEL ANALYSIS OF UK INDUSTRIAL COMPANY FAILURE

John Hunter and Natalia Isachenkova

03-09: AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s

John Hunter

03-08: Market Efficiency and the Euro:The case of the Athens Stock Exchange

Theodore Panagiotidis

03-07: DEMOGRAPHICS AND FINANCIAL ASSET PRICES IN THE MAJOR INDUSTRIAL ECONOMIES

E Davis and Christine Li

03-06: Macroeconomic Effects of Reallocation Shocks:A generalised impulse response function analysis for three European countries

Theodore Panagiotidisa, Gianluigi Pellonib and Wolfgang Polasekc

03-05: PANEL ESTIMATION OF THE IMPACT OF EXCHANGE RATE UNCERTAINTY ON INVESTMENT IN THE MAJOR INDUSTRIAL COUNTRIES

Joseph Byrne and E Davis