In this paper we use a new method to rank finance journals. Traditionally, journal qualities are measured either by the citation-based impact factor approach, or by the survey method. Although these two approaches have merits, their efficacy is also limited in many ways. Author Affiliation Index...

This paper investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to analyze...

This paper analyzes the asymmetric impacts of various economic shocks on swap spreads under distinct Fed monetary policy regimes. The results indicate that (a) during periods of aggressive interest rate reductions, slope of the Treasury term structure accounts for a sizeable share of the swap...

In this paper we use a new method to rank finance journals and study the pattern of authorship/co-authorship across journals. Author Affiliation Index is a cost-effective and intuitively easy-to-understand approach to journal rankings. We define Author Affiliation Index as the ratio of articles...

We study the autocorrelation and conditional volatility of the hourly Dow Jones Industrial Index return data from October 1974 to September 2002 using an exponential asymmetric AR-GARCH specification with a generalized error distribution. Our findings document a positive autocorrelation in...

We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price, interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model to distinguish the effects arising from...

This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates originating in both Japan and the US. The results support a weak version of the hypothesis in the...