This paper examines the daily volatility of changes in yield on the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm (Inclan and Tiao, 1994). The ICSS algorithm can detect regime shifts in the volatility of the interest rate changes. A general model allows for...

This research uses an event study methodology to examine the effect of Hurricane Floyd on the market value of insurance firms in 1999. The research is unique in that information describing the development of the storm over time and space is incorporated in order to determine how the financial...

We examine the relation among the prime lending rate, certificate of deposit rate, and the Samp;P Financial Stock Index using cointegration and error correction modeling techniques. We find that these three financial time series share a long-run cointegrating relation. Subsequent vector...

This study examined the long run relationship between the personal savings rate and the index of consumer sentiment in the United States over the 1959-1997 period using cointegration analysis. We find that consumer sentiment and the personal savings rate share a long run equilibrium. The results...

This paper examines the Phillips curve relationship when the second moment of inflation is nonlinear. Specifically, we estimate GARCH models that provide evidence consistent with Keynesian-type models that imply output quot;overshootingquot; and inflation fluctuations following aggregate demand...