Deviations between closed-end investment fund share prices and underlying net asset values represent a historically important anomaly requiring theoretical explanation. In this article, we provide evidence that the processes generating prices and NAVs differ among fund types, implying that...

This paper evaluates the speed of convergence across national stock markets employing a nonlinear, nonparametric stochastic model of relative stock prices. We use operational algorithms for estimating general measures of persistence of the relative stock price that are based on two statistical...

We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We find a symptom of financial contagion around the collapse of Lehman...

Energy proves an essential input with robust comparative static effects in a factor proportions model of production for the US. Energy has a robust marginal product and significant substitution in a novel production function motivated by the definition of physical work. In this physical...

This study shows that R&D cooperation can be used as an instrument to coordinate drug development portfolios among participating firms, which has crucial implications on the number of drugs offered on the market. Our study puts special attention to the fact that R&D cooperation, formed at...

We investigate the Bank of Korea's interest rate setting behavior using a discrete choice model, where the Monetary Policy Committee revises the target policy interest rate only when the gap between the current market interest rate and the optimal rate exceeds a certain threshold value. Using...

This paper examines common forces driving the prices of 51 highly tradable commodities. We demonstrate that highly persistent movements of these prices are mostly due to the first common component, which is closely related to the US nominal exchange rate. In particular, our simple factor-based...

Global food prices have recently exhibited highly volatile and very persistent dynamics. Greater fluctuations in food commodities than manufacturing goods often put more serious hardship to poor countries that tend to specialize in raw commodity industries. The present paper attempts to identify...

The U.S. faces exponentially rising entitlement obligations. I introduce a fiscal limit - a point where higher taxes are no longer a feasible financing mechanism - into a Perpetual Youth model to assess how intergenerational redistributions of wealth and the maturity of government debt impact...

Policy function iteration methods for solving and analyzing dynamic stochastic general equilibrium models are powerful from a theoretical and computational perspective. Despite obvious theoretical appeal, significant startup costs and a reliance on grid-based methods have limited the use of...