The ongoing financial crisis has drawn attention to the role of credit rating agencies (CRAs). We investigate the relative impacts of sovereign actions by different CRAs on the share prices of major European banks during the financial crisis. We examine how bank abnormal returns are affected by...

Causal effects are usually estimated under the assumption of no interference between individuals. This assumption means that the potential outcomes for one individual are unaffected by the treatments received by other individuals. In many situations, this is not reasonable to assume. Moreover,...

Agglomeration brings costs (e.g., intensified local competition) as well as benefits (e.g., knowledge spillover). It is important to examine the net impact of agglomeration to understand the geographic distribution of economic activities. In this study, we use firm markup (defined as the ratio...

This study examines the influence of structural changes in volatility on the transmission of information in two crude oil prices. In an effort to assess the impact of these structural changes, we first identify the time points at which structural changes in volatility occurred using the ICSS...

When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark...

The ongoing financial crisis has drawn considerable attention to the role of credit rating agencies in the financial system. We examine how the foreign exchange market reacts to sovereign credit events prior to (2000–2006) and during the crisis (2006–2010). The sample includes a broad set of...

As the technology has the nature of public good, industrial technology innovation activities have positive externalities on related sectors. Two-sector model is built to identify and calculate the spillover effects of technological progress. Specifically, the industry is divided into two...

This study investigates the spillover effect in five leading stock markets (i.e., the United States, the United Kingdom, Germany, Japan, and France). It estimates the spillover indices of these countries and finds that information transmission between these stock markets increases considerably...

In this thesis, we develop a SKU level market basket model and apply the model to investigate cross-category reference price effects. This research extends previous work on the category-level multivariate logit model (Russell and Petersen 2000). Our model is a generalization of the multivariate...