We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a probit model to track the dynamics of the sign of the correlation relative to its various economic forces. The sign is predictable to a large extent with bond market liquidity...

We investigate the effectiveness of a well-known global regulatory agency, the Basel Committee, on a major sector of the US financial market. The Basel Committee's recommendations are implemented in the US following a plan set forth by the Federal Banking Agencies (FBAs). The information content...

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004, A PANIC Attack on Unit Roots and Cointegration. Econometrica 72, 1127-1177), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of...

Measurable aspects of the economic convergence of EU countries form the main topic of this paper. For this purpose, statistical and econometric methods are presented and applied for revealing characteristic elements of such a process. A first group of methods refers mainly to aspects such as:...

An important question for policy makers is how drug users may respond to changes in economic factors. Based on a unique data set of almost 2,500 interviews with people attending a needle exchange service in Oslo, this paper aims at estimating the impact of economic factors on heroin and...

Purpose – The purpose of this paper is to examine the impact of outward foreign direct investment (FDI) on economic growth. Design/methodology/approach – Two econometric approaches are used: cross-country regressions for a sample of 50 countries and time-series estimators for the USA....

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

For spatial data with a sufficiently long time dimension, the concept of global cointegration has been recently included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we...

This paper analyses the pricing behaviour of Luxembourg firms based on survey evidence. Luxembourg firms typically have low market share, many competitors and longstanding customer relationships. Price discrimination is frequently applied. A majority of firms use price review rules that include...