Cambridge Working Papers in Economics

From Faculty of Economics, University of Cambridge
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9418: Iranian Economy During the Pahlavi Era

M Pesaran

9417: Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees

S. Fries, Pierre Mella-Barral and William Perraudin

9416: New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes

Pierre Mella-Barral and William Perraudin

9415: Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results

Michael Binder and M Pesaran

9414: Option Games

B. Lambrecht and William Perraudin

9413: Replacing the U.K. Income Tax with a Progressive Consumption Tax

J. Phutton and Turalay Kenc

9412: Information Flows in the Foreign Exchange Markets

William Perraudin and Paolo Vitale

9411: Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function

John Knight and S.E. Satchell

9410: CONTINUOUS TIME INTERNATIONAL ARBITRAGE PRICING: THEORY AND ESTIMATION

William Perraudin and Bent Sorensen

9409: Options. Economic Fluctuations in a Model of Output Growth in the G7 Economies, 1960-1991

Kevin Lee

9408: Modelling U.K. Mortgage Defaults Using a Hazard Approach Based on American Options

Mthuli Ncube and S.E. Satchell

9407: A Floor and Ceiling Model of U.S. Output

M Pesaran and Simon Potter

9406: The Use of Recursive Model Selection Strategies in Forecasting Stock Returns

M Pesaran and Allan Timmermann

9405: Specific Investment, Hold-Up, and Commitment Through Dual-Class Common Stock

Chris Doyle and M. Maher

9404: Real Effective Exchange Rates 1870-1913: The Core Industrial Countries

Solomos Solomou and Luis Catão

9321: Limited-Dependaent Rational Expectations Models with Future Expectations

M Pesaran and Hossein Samiei

9320: Forecasting Ultimate Resource Recovery

M Pesaran and Hossein Samiei

9319: Geometric Indices: A Theory of Hedging and Econometric Analysis with Applications to the UK Stock Market

L.C.G. Rogers, S.E. Satchell and Y. Yoon

9318: Limited-Dependent Rational Expectations Models with Stochastic Thresholds

M Pesaran and F.J. Murcia

9317: Accounting for Property Assets in the Public and Private Sector

C. Pratten

9316: Measures of Real Effective Exchange Rates

Stephen Wright

9315: Acces Costs and Entry in the Local Telecommunications Network: A Case for De-Averaged Rates

M.E. Maher

9314: The Natural Rate Hypothesis and its Testable Implications

M Pesaran and Ronald Smith

9313: Exchange Rate Unification, the Role of Markets and Planning in the Iranian Economic Reconstruction

M Pesaran and M. Karshenas

9312: The Dollar-Pound Forward Exchange Rate 1919-1939

M. Kitsom, Hossein Samiei and Solomos Solomou

9311: Cointegration and Speed of Convergence to Equilibrium

M Pesaran and Yongcheol Shin

9310: Investment and Trade Over Networks: Commitment Through Joint Ventures

Chris Doyle and M. Maher

9308: Alternative Approaches to Estimating Long-Run Energy Demand Elasticities: An Application to Asian Developing Countries

M. Hashem and Ronald Smith

9307: Some Statistics for Testing the Influence of the Number of Transactions on the Distributions of Returns

S. Satchell and J. Yoon

9306: Cointegration and Direct Tests of the Rational Expectations Hypothesis

Michael McAleer, Colin McKenzie and M.H. Pesaren

9224: Theory and Evidence in Economics

M Pesaran and Ronald Smith

9223: The Interaction Between Theory and Observation in Economics

M Pesaran and Ronald Smith

9222: A Non-Nested Test of Level-Differenced versus Log-Differenced Stationary Models

B. Pesaran and M Pesaran

9221: UK National Income 1920-1938: The Implications of Balanced Estimates

Solomos Solomou and Martin Weale

9220: A Generalised R2 Criterion for Regression Models Estimated by the Instrumental Variable Method

M Pesaran

9219: Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods

M Pesaran, Richard Pierse and Kevin Lee

9218: A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing

M Pesaran and Allan Timmermann

9217: Trade in Producer Services: International Specialisation and European Integration

Michael Landesmann and Pascal Petit

9216: Forecasting Stock Returns

M Pesaran and Allan Timmermann

9215: Estimating Long-Run Relationships From Dynamic Heterogeneous Panels

M Pesaran and Ronald Smith

9214: The Role of Sectoral Interactions in Wage Determination in the UK Economy

Kevin Lee and M Pesaran

9213: Industrial Restructuring in Eastern Europe and East-West Trade Integration

Michael Landesmann

9212: Mutual Fund Separation with General Preferences

Arthur Lewbel and William Perraudin

9211: Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps

Mun Ho, William Perraudin and Bent Sorensen

9210: Uncertainty and Irreversible Investment: An Empirical Analysis of Development of Oilfields on the UKCS

Carlo Favero, M Pesaran and S. Sharma

9209: The Role of Public Enterprises in the National Economy

David M Newbery

9208: Capacity-Constrained Supply Function Equilibria: Competition and Entry in the Electricity Spot Market and Competition and Regulation in English Electricity Industry

David M Newbery

9207: Regulation of Mergers in the US and the UK: A new Agenda

Ajit Singh

9206: Corporate Takeovers: A Review

Ajit Singh

9205: The Black and Scholes Option Price as a Random Variable

Mthuli Ncube and S. Satchell