#2008-027A "Threshold Adjustment in Deviations from the Law of One Price"
by Luciana Juvenal, and Mark P. Taylor
August 2008

Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. More...

#2008-025A "Is Inflation an International Phenomenon?"
by Christopher J. Neely, and David E. Rapach
August 2008

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. More...

#2008-022A "Enlargement and Common External Tariff in a Political-Economic Model of Customs Union"
by Subhayu Bandyopadhyay, Sajal Lahiri, and Suryadipta Roy
June 2008

We present a model with three blocks of nations: two of the blocks are members of a Customs Union (CU) and maintain a common external tariff (CET) on the third (non member). More...

#2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
by Nikola Gradojevic, and Christopher J. Neely
February 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. More...

#2008-005A "Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK"
by Massimo Guidolin, and Stuart Hyde
January 2008

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. More...

#2008-003A "Offshoring, Economic Insecurity, and the Demand for Social Insurance"
by Richard G. Anderson, and Charles S. Gascon
January 2008

The fear of offshoring, particularly in services since 2000, has raised workers economic insecurity and heightened concerns over future economic globalization. Many have argued that globalization has exacerbated labor market turbulence increasing the demand for social insurance programs. More...

#2007-038B "Political Asymmetry and Common External Tariff in a Customs Union"
by Subhayu Bandyopadhyay, Sajal Lahiri, and Suryadipta Roy
September 2007
Revised June 2008

This paper examines the effect of political asymmetries in the formation of common external tariffs (CETs) in a customs union (CU). We do so by introducing cross-border lobbying and by endogenizing tariff formation in a political economic model for the determination of CETs. More...

#2007-032A "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. More...

#2007-030A "Managing International Portfolios with Small Capitalization Stocks"
by Massimo Guidolin, and Giovanna Nicodano
August 2007

In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis. Because of this feature, a power utility investor ought to hold a well-diversified portfolio, despite the high risk premium and Sharpe ratios offered by small capitalization stocks. More...

#2007-028A "Do Donors Care about Declining Trade Revenues from Liberalization? An Analysis of Aid Allocation"
by Javed Younas, and Subhayu Bandyopadhyay
July 2007

Many developing country governments rely heavily on trade tax revenue. Therefore, trade liberalization can be a potential source of significant fiscal instability, and may affect government spending on development activities. More...