Now showing items 1-20 of 652

  • 'Modern' Phillips Curves and the Implications For The Statistical Process of Inflation 

    Russel, Bill (University of Dundee, 2015-06-18)
    'Modern' theories of the Phillips curve imply that inflation is an integrated, or near integrated process. This paper explains this implication and why these 'modern' theories are logically inconsistent with what is commonly ...
  • Representations and the Corruption of Goods 

    Jones, Martin K (University of Dundee, 2015-03)
    The traditional view of the economic agent is of an individual who is self-interested, rational and perceives the world “correctly”. However, there is a lot of experimental and other evidence that undermines this view of ...
  • Revisiting Shiller’s excess volatility hypothesis 

    Rambaccussing, Dooruj (University of Dundee, 2015-02)
    One of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller’s excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is ...
  • A test of long memory hypothesis based on self-similarity 

    Rambaccussing, Dooruj; Davidson, James (University of Dundee, 2015-01)
    This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this ...
  • Modelling Housing Prices using a Present Value State Space Model 

    Rambaccussing, Dooruj (University of Dundee, 2015-02-24)
    This paper introduces a State Space approach to explain the dynamics of rent growth, expected returns and Price-Rent ratio in housing markets. According to the present value model, movements in price to rent ratio should ...
  • Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices 

    Goliński, Adam; Madeira, João; Rambaccussing, Dooruj (University of Dundee, 2014-09-12)
    We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration ...
  • Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula 

    Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang (University of Glasgow, 2015-02-24)
    We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting ...
  • US Monetary and Fiscal Policies - Conflict or Cooperation? 

    Chen, Xiaoshan; Leeper, Eric M.; Leith, Campbell (University of Glasgow, 2015-06-29)
    Most of the literature estimating DSGE models for monetary policy analysis ignores fiscal policy and assumes that monetary policy follows a simple rule. In this paper we allow both fiscal and monetary policy to be described ...
  • Education and the local equity bias around the world 

    Bose, Udichibarna; MacDonald, Ronald; Tsoukas, Serafeim (University of Glasgow, 2015-06-19)
    Using a panel of 38 economies, over the period 2001 to 2010, we analyse the link between different facets of education and diversification in international portfolios. We find that university education, mathematical numeracy, ...
  • Co-Movement, Spillovers and Excess Returns in Global Bond Markets 

    Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris (University of Glasgow, 2015-06-15)
    This paper investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in bond yields of seven advanced economies is due ...
  • Prior selection for panel vector autoregressions 

    Korobilis, Dimitris (University of Glasgow, 2015-04-29)
    There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country ...
  • Tracking cost savings from competitive tendering in the short and long run 

    Angeles, Luis; Milne, Robin G. (University of Glasgow, 2015-06)
    A major initiative of the Thatcher and Major Conservative administrations was that public sector ancillary and professional services provided by incumbent direct service organisations [DSOs] be put out to tender. Analyses ...
  • Quantile forecasts of inflation under model uncertainty 

    Korobilis, Dimitris (University of Glasgow, 2015-04-30)
    Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model averaging methods in quantile regressions, and allow for ...
  • Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty 

    P. Byrne, Joseph; Shuo, Cao; Korobilis, Dimitris (University of Glasgow, 2015)
    This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty ...
  • Transaction Costs and Institutions: Investments in Exchange 

    Nolan, Charles; Trew, Alex (University of Glasgow, 2015-03-20)
    This paper proposes a simple model for understanding transaction costs for their composition, size and policy implications. We distinguish between investments in institutions that facilitate exchange and the cost of ...
  • Firm survival, uncertainty and financial frictions: Is there a financial uncertainty accelerator? 

    Byrne, Joseph P; Spaliara, Marina-Eliza; Tsoukas, Serafeim (University of Glasgow, 2015-02-03)
    Using a large panel of unquoted UK firms over the period 2000-09, we examine the impact of firm-specific uncertainty on corporate failures. In this context we also distinguish between firms which are likely to be more or ...
  • Fiscal multipliers in a two-sector search and matching model 

    Angelopoulos, Konstantinos; Jiang, Wei; Malley, James (University of Glasgow, 2015-01-25)
    This paper evaluates the effects of policy interventions on sectoral labour markets and the aggregate economy in a business cycle model with search and matching frictions. We extend the canonical model by including ...
  • The Optimal Degree of Monetary-Discretion in a New Keynesian Model with Private Information 

    Waki, Yuichiro; Dennis, Richard; Fujiwara, Ippei (University of Glasgow, 2015-01-14)
    This paper considers the optimal degree of discretion in monetary policy when the central bank conducts policy based on its private information about the state of the economy and is unable to commit. Society seeks to ...
  • Policy initiatives and firms’ access to external finance: Evidence from a panel of emerging Asian economies 

    Bose, Udichibarna; MacDonald, Ronald; Tsoukas, Serafeim (University of Glasgow, 2015-01)
    This paper analyses the impact of policy initiatives co-ordinated by Asian national governments on firms' access to external finance, using a unique firm-level database of eight Asian countries- Hong Kong SAR, Indonesia, ...

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