This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR) model,...

Initial public offerings in China are distinguished from IPOs in other markets by their extremely high abnormal initial returns and so-called 'Chinese Characteristics'. We examine the effect on IPO underpricing and short-run performance of significant changes in Chinese IPO regulations...

This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to a confusion in the specification of the deterministic terms included in the VECM between...

Economic fluctuations in most of the industrialised world have for over the past 30 years been characterised by declining volatility. This decline has also been a trait witnessed for output fluctuations in the Euro Area. This paper has two objectives. The first is to provide a comprehensive...

We analyze a simple oligopoly model where firms can engage in cost-reducing R&D. We compare two R&D regimes, that is, R&D competition and R&D cooperation where firms can enter in a Research Joint Venture (RJV). We introduce coordination costs for the RJV and examine how these affect the...

Post-Soviet restructuring has produced mixed economic results. In general, the more advanced countries, which have now joined the European Union, have fared better, while those further East in the CIS have seen a combination of rapid falls in measured gross domestic product and wages, followed...

We experimentally test the hypothesis that players' valuations of a game coincide with their Nash equilibrium earnings. Our results offer significantly less support for this hypothesis than for the prediction of dominant strategy play.

This paper offers an insight into the effectiveness of economic policy reforms in the Indian Banking System by examining the efficiency benefits of mergers among Scheduled Commercial Banks in India over the post-reform period 1991-92 to 2004-05. It does this by using the methodology developed by...

We examine the R&D and export decisions of two ex ante symmetric firms in symmetric countries, with both unit trade costs and fixed entry costs to the export market. When both trade costs are low, there will be a symmetric, cross-hauling duopoly, but if fixed costs are fairly high, unit trade...

This paper suggests an operational method for implementing the theoretical relative prot dierence test for intensity of competition due to Boone (2008). We use polynomial quantile regressions for which integral areas and their standard errors can easily be computed and compared using Wald tests....