Outputs (662)

Estimating spot volatility with high-frequency financial data (2014)
Journal Article
Zu, Y., & Boswijk, P. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), https://doi.org/10.1016/j.jeconom.2014.04.001

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the
scale... Read More about Estimating spot volatility with high-frequency financial data.

Individual choices in dynamic networks: an experiment on social preferences (2014)
Journal Article
van Dolder, D., & Buskens, V. (2014). Individual choices in dynamic networks: an experiment on social preferences. PLoS ONE, 9(4), Article e92276. https://doi.org/10.1371/journal.pone.0092276

Game-theoretic models of network formation typically assume that people create relations so as to maximize their own outcome in the network. Recent experiments on network formation suggest that the assumption of self-interest might be unwarranted and... Read More about Individual choices in dynamic networks: an experiment on social preferences.

Consistent individual differences in human social learning strategies (2014)
Journal Article
Molleman, L., Van den Berg, P., & Weissing, F. J. (2014). Consistent individual differences in human social learning strategies. Nature Communications, Article 3570. https://doi.org/10.1038/ncomms4570

Social learning has allowed humans to build up extensive cultural repertoires, enabling them to adapt to a wide variety of environmental and social conditions. However, it is unclear which social learning strategies people use, especially in social c... Read More about Consistent individual differences in human social learning strategies.

Net foreign assets and real exchange rates revisited (2014)
Journal Article
Bleaney, M., & Tian, M. (2014). Net foreign assets and real exchange rates revisited. Oxford Economic Papers, 66(4), https://doi.org/10.1093/oep/gpu014

Theory suggests a significant positive relationship in long-run equilibrium between the net foreign assets (NFA) of a country and its real exchange rate. Empirical tests have ignored two issues: the large variation in cross-country trade/GDP ratios,... Read More about Net foreign assets and real exchange rates revisited.

Macroprudential and monetary policies: implications for financial stability and welfare (2014)
Journal Article
Rubio, M., & Carrasco-Gallego, J. A. (2014). Macroprudential and monetary policies: implications for financial stability and welfare. Journal of Banking and Finance, 49, https://doi.org/10.1016/j.jbankfin.2014.02.012

In this paper, we analyze the implications of macroprudential and monetary policies for business cycles, welfare, and financial stability. We consider a dynamic stochastic general equilibrium (DSGE) model with housing and collateral constraints. A ma... Read More about Macroprudential and monetary policies: implications for financial stability and welfare.

The growth effects of tax rates in the OECD (2014)
Journal Article
Gemmell, N., Kneller, R., & Sanz, I. (2014). The growth effects of tax rates in the OECD. Canadian Journal of Economics / Revue Canadienne d'Économique, 47(4), https://doi.org/10.1111/caje.12105

This paper explores the merits of macro- and micro-based tax rate measures within an open economy ‘fiscal policy and growth’ model. Using annual data for 15 OECD countries we find statistically small, non-robust long-run growth effects of macro-based... Read More about The growth effects of tax rates in the OECD.

Robust tests for a linear trend with an application to equity indices (2014)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (in press). Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance, 29, https://doi.org/10.1016/j.jempfin.2014.02.004

In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(1) and requires no knowledge of the form of weak dependence present in the da... Read More about Robust tests for a linear trend with an application to equity indices.

Detecting common longevity trends by a multiple population approach (2014)
Journal Article
D’Amato, V., Haberman, S., Piscopo, G., Russolillo, M., & Trapani, L. (in press). Detecting common longevity trends by a multiple population approach. North American Actuarial Journal, 18(1), https://doi.org/10.1080/10920277.2013.875884

Recently the interest in the development of country and longevity risk models has been growing. The investigation of long-run equilibrium relationships could provide valuable information about the factors driving changes in mortality, in particular a... Read More about Detecting common longevity trends by a multiple population approach.

Same or different? the CEO labour market in China's public listed companies (2014)
Journal Article
Bryson, A., Forth, J., & Zhou, M. (2014). Same or different? the CEO labour market in China's public listed companies. Economic Journal, 124(574), Article F90-F108. https://doi.org/10.1111/ecoj.12107

Using linked employer–employee data for all China's public listed firms over the period 2001–10, we find top executive compensation exhibits many of the traits familiar in the Western literature, although sometimes in a more muted way, and with some... Read More about Same or different? the CEO labour market in China's public listed companies.

Credit constraints and spillovers from foreign firms in China (2014)
Journal Article
Agarwal, N., Milner, C., & Riaño, A. (2014). Credit constraints and spillovers from foreign firms in China. Journal of Banking & Finance Law and Practice, 48, https://doi.org/10.1016/j.jbankfin.2014.01.036

This paper examines whether credit constraints affect Chinese firms’ absorption of productivity spillovers originating from the activity of foreign-owned firms. Using firm-level data for 2001–2005, we find evidence of positive spillovers originating... Read More about Credit constraints and spillovers from foreign firms in China.