By adopting wavelet coherence analysis, we follow Frankel’s (1986) commodity price overshooting model to study the dynamic covariation between the expected real interest rates and six agricultural commodities’ real returns over the period from 2000:1 to 2018:7. We find that US unconventional...

The coronavirus pandemic in 2020 was the most devastating worldwide health threat since the 1918-1919 Spanish flu. Panel regression analysis for ten countries suggests that European and US stock markets reacted significantly, and negatively, to the surging death rates that were seen during the...

The literature on corporate financing is quite extensive. However, researchers have so far not shed light on the IPO determining factors in Europe as a whole. This paper addresses three main questions observing more than 9000 IPOs performed during a period from 1991 to 2014. First, the...

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

The goal of this paper is twofold: First, to develop an estimable model of legislative politics in the US Congress, second, to provide a greater understanding of the objectives behind the New Deal. In the theoretical model, the distribution of federal funds across regions of the country is the...

WWII induced a dramatic increase in female labor supply, which persisted over time, particularly for women with higher education. Using Census micro data we study the qualitative aspects of this long term increase through the lenses of the occupations women held after the war. Almost two decades...

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

Government intervention during the banking holiday of March 1933 resolved the uncertainty usually created by bank suspensions. Including banking holiday suspensions in growth regressions therefore biases downwards the estimates of the real effects of bank suspensions. In this paper, I propose a...

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a cross-section of equity returns over 1948-2011 for the US market. The stochastic discount factor is shown by news on both leisure and consumption. While estimating these two long...

This paper re-examines Blanchard and Quah's (1989) aggregate supply/demand model interpretation of output shocks using data from ten countries. Although postwar data support their interpretation, the model is not supported by nineteenth century data. In the postwar period, permanent output...