All files are in PDF format and are copyrighted..
1. "Explaining Stock Price Movements:
Is There a Case For Fundamentals?"
Dallas Fed Economic Review (3rd Quarter 2001)
2. "Low Frequency Movements in Stock Prices:
A State-Space Decomposition"
Review of Economics and Statistics (Nov. 2002)
Paper in PDF Format Technical Appendix
3. "Testing The Monetary Model of Exchange Rate Determination:
New Evidence From a Century of Data"
Journal of International Economics (December 2002)
4. "The Linkages Between Prices, Wages and Labor Productivity
A Panel Study of Manufacturing Industries"
Southern Economic Journal, 2004
5. "An Investigation of Asymmetric Earnings Forecasts
Of Japanese Financial Analysts"
Multinational Business Review (Spring 2003)
6. "Will the Valuation Ratios Revert to their Historical Means:
Some Evidence From Breakpoint Tests"
Journal of Portfolio Management (Summer 2002)
7. "Testing the Monetary Model of Exchange Rate Determination:
A Closer Look At Panels" Journal of International Money, and Finance, October, 2004
8. "What Drives Stock Prices? Identifying the Determinants of
Stock Price Movements" Forthcoming Southern Economic Journal
9. "The Persistence in International Real Real Interest Rates"
(International Journal of Finance and Economics, October 2004)
10. "Valuation Ratios and Long-Horizon Stock Price Predictability"
Journal of Applied Econometrics (March-April 2005)
11. "A Cointegrated Structural VAR Model of the Canadian Economy"
Applied Economics, February, 2004
Longer Working Paper Version FIGURES Final Shorter Version
12a. "In-Sample vs. Out-of-Sample Tests of Stock Return
Predictability in the Context of Data Mining" (includes annual and Quarterly Results: July 2002)
12b. "In-Sample vs. Out-of-Sample Tests of Stock Return
Predictability in the Context of Data Mining" (includes Only Annual Results: Feb. 2005)
Journal of Empirical Finance (March 2006)
13. "Technological Convergence Among US Regions and States"
Economics of Innovation and New Technology, March 2004
14a. "Threshold Autoregressions and Partial Unit Roots:
An Application to Interest Rate Differentials"
14b. "Domestic-Foreign Interest Rate Differentials:
Near Unit Roots and Symmetric Threshold Models" (Smaller Version of 14a Above)
15. "Domestic Foreign Interest Rate Differentials:
Near Unit Roots and Symmetric Threshold Models"
(Smaller Version of 14a and 14b Above)
(Forthcoming in Southern Economic Journal)
16. "Trends and Persistence in Primary Commodity Prices"
Journal of Development Economics (February 2006)
17. "Structural Breaks and Predictive Regression Models of Aggregate US Stock Returns"
Journal of Financial Econometrics (Spring 2006)
18. "Monetary Fundamentals and Exchange Rate Dynamics Under Different
Nominal Regimes" Economic Inquiry, April 2004
19. "A Cautionary Note on the Order of Integration of Post-War Aggregate
Wage, Price and Productivity Measures" Manchester School, March 2004
20. "Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?"
Journal of Money, Credit and Banking, October 2005
21. "The Real Exchange Rate-Real Interest Rate Relation: Evidence From Tests for Symmetric and Asymmetric Threshold Cointegration," (forthcoming: International Journal of Finance and Economics
22. "Evidence on the Term Structure from Tests for Symmetric and Asymmetric Threshold Cointegration,"
Journal of Economics (Forthcoming)
23. "Macro Variables and International Stock Return Predictability,"
International Journal of Forecasting, (Jan/Mar 2005)
24. "The Impact of Petroleum Product Prices on State Economic Conditions:
An Analysis of the Economic Base," (OLD VERSION)
25. The Impact of Petroleum Product Prices on State Economic Conditions:
An Analysis of the Economic Base
26. "Nonlinear Models of Real Exchange Rate Behavior: A Re-examination,"
27. Environmental Accidents
and Industry Structure
28. The Persistence in the Deviations From the Law of One Prices
29. Deviations From The Law of One Price Across Cities: Testing for a
Border Effect in Persistence and Volatility
This is a smaller and modified version of the above paper number 28
30. The Out-of-Sample Forecasting Performance of
Nonlinear Models of Real Exchange Rate Behavior
31. Forecasting U.S. Business Fixed Investment Spending (July 2004)
32. Forecasting the Recent Behavior of U.S. Business Fixed Investment Spending
An Analysis of Competing Models (February 2005)
Forthcoming Journal of Forecasting
33. Estimating Taylor Rules: An Unbalanced Regression
34. Multi-Period Portfolio Choice and the Intertemporal Hedging
Demand For Stocks and Bonds: International Evidence
35. Identifying Regime Changes in Market Volatility
Forthcoming in Journal of Financial Research
36. Identifying Regime Changes in Closed-End Fund Discounts
Journal of Financial Research (Spring 2006)
37. The Long and the Short of it: Long-Memory Regressors and Predictive Regressions
38. Do Increases in Petroleum Product Prices Put the Incumbent Party at Risk in
US Presidential Elections (Forthcoming, Applied Economics)
39. Determinants of State Diesel Fuel Excise Tax Rates: The Political Economy of Fuel Taxation in the United States The Annals of Regional Science (Forthcoming)
40. Market Fundamentals vs. Rational Bubbles in Stock Prices: A Bayesian Analysis
41. The Composition of Industry and the Duration of State Recessions
42. Stock Market Reaction to Knowledge-Motivated Acquisitions
43. Revisiting the Determinants of Small Business Formation