#2008-041B "The Cyclical Properties of Disaggregated Capital Flows"
by Silvio Contessi, Pierangelo DePace, and Johanna Francis
November 2008
Revised May 2009

We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. More...

#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...

PUBLISHED: Studies in Nonlinear Dynamics and Econometrics, September 2008, 12(3)

#2008-025D "International Comovements in Inflation Rates and Country Characteristics"
by Christopher J. Neely, and David E. Rapach
August 2008
Revised September 2009

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...

#2008-006C "The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate: Evidence from Disaggregated Data"
by Nikola Gradojevic, and Christopher J. Neely
February 2008
Revised August 2009

We explore the relationship between disaggregated trading flows, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements with a novel data set of unprecedented breadth and length. Data Appendix. 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...

PUBLISHED: Journal of Multinational Financial Management, October 2008, 18(4), pp. 293-312

#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...

#2007-032D "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007
Revised August 2009

We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to U.S. macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. More...

FORTHCOMING: Journal of Applied Econometrics

#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...