This paper tests the intra-market dynamics in a regional setting using country specific international bonds differentiated only by maturity within individual markets in the Latin American region. We use 2001 Argentine default as a natural experiment in this study to examine how intra-market...

In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from...

This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross- orrelated, but also unconditionally heteroskedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the...

This paper analyzes the role of initialization when testing for a unit root in panel data, an issue that has received surprisingly little attention in the literature. In fact, most studies assume that the initial value is either zero or bounded. As a response to this, the current paper considers...

Pesaran and Yamagata (Testing slope homogeneity in large panels, Journal of Econometrics 142, 50–93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic...

Understanding how agents formulate their expectations about Fed behavior is important for market participants because they can potentially use this information to make more accurate estimates of stock and bond prices. Although it is commonly assumed that agents learn over time, there is scant...

In this paper, we test whether oil price predicts economic growth for 28 developed and 17 developing countries. We use predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our analysis considers a large number of countries,...

In a very influential paper Elliott et al. (Efficient Tests for an Autoregressive Unit Root, Econometrica 64, 813–836, 1996) show that no uniformly most powerful test for the unit root testing problem exits, derive the relevant power envelope and characterize a family of point-optimal tests....

There is voluminous literature on the reasons behind career interruptions, ranging from maternity leave and organizational layoffs, to national service and human capital acquisition. We show that a standard, neoclassical model of intertemporal consumption/saving and labor/leisure choices without...

This paper unites two strands of the literature on subgroup decomposable poverty measurement originating from Foster, Greer and Thorbecke (1984) by incorporating information on both multiple dimensions and multiple periods. This generalises the Alkire and Foster (2011a) measure into a dynamic...