Spillover and contagion eects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk as well. I use the family of Constant Conditional Correlation GARCH models...

This paper examines take-up rates in a simple model in which there is a single means-tested benefit involving a 'taper rate' at which benefits are withdrawn as earnings increase. There is a fixed cost of applying for benefits. The model involves a joint decision regarding both labour supply and...

This paper considers the question whether it is possible, using information about only the distribution of earnings, to identify some of the labour supply incentive effects of a tax and transfer system.

Students are very interested in lecture examples and class exercises involving data connected to the maiden voyage and the sinking of the liner Titanic. Information on the passengers and their fate can be used to explore relationships between various tests for differences in survival rates...

Evidence suggests that short-term interest rate volatility peaks with the level of short rates, while equity volatility responds asymmetrically to positive and negative shocks. We present an LM based test that distinguishes between level effects and asymmetry in volatility which is robust to the...

There is an extensive theoretical and empirical literature discussing the link between short-term interest rate volatility and interest rate levels. We present an LM based test for the presence of a level effect which is robust to the presence of unidentified nuisance parameter under the null of...

Elasticities are often estimated from the results of demand analysis however, drawing inferences from them may involve assumptions that could influence the outcome. In this paper we investigate one of the most common forms of elasticity which is defined as a ratio of estimated relationships and...

Using examples drawn from two important papers in the recent literature on weak instruments, we demonstrate how observed experimental outcomes can be pro- foundly inuenced by the dierent conceptual frameworks underlying two exper- imental designs commonly employed when simulating simultaneous...

Empirical evidence documents a level effect in the volatility of short term rates of interest. That is, volatility is positively correlated with the level of the short term interest rate. Using Monte-Carlo simulations this paper examines the performance of the commonly used Engle-Ng (1993) tests...

Regression specifications in applied econometrics frequently employ regressors that are defined as the product of two other regressors to form an interaction. Unfortunately, the interpretation of the results of these models is not as straight forward as in the linear case. In this paper, we...