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Full-Text Articles in Finance and Financial Management
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple bubble phenomena within the same sample period. To meet this challenge the present paper develops a new recursive flexible window method that is better suited for practical implementation with long …
Three Essays On Local Government Debt, Robert Greer
Three Essays On Local Government Debt, Robert Greer
Theses and Dissertations--Public Policy and Administration
The local government tax-exempt debt market is a growing, and complex, sector of public finance. As local governments turn to debt financing the factors that contribute to interest costs of that debt have become important considerations for local government officials and politicians. Governance at the local level involves a network of overlapping governments some of which share a tax base. This system of overlapping governments that share a tax base are subject to externalities that arise from taxation, expenditures, and debt. These externalities are usually analyzed in terms of tax or expenditure reactions, but there are implications for local government …
Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand, James Forest, Paul Turner
Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand, James Forest, Paul Turner
James J Forest
This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson’s dynamic ordinary least squares (DOLS) estimator and Bewley’s transformation of the general autoregressive distributed lag model. The results indicate that the Bewley transformation produces a lower mean-square error as well as superior serial correlation properties even with lower truncation lags for the lagged variables included in the estimation equation. An application is then provided which examines the nature of the equilibrium relationship between aggregate US exports, world trade …