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Economics

Economics & Business Analytics Faculty Publications

Articles 1 - 17 of 17

Full-Text Articles in Social and Behavioral Sciences

The International Reit’S Time-Varying Response To The U.S. Monetary Policy And Macroeconomic Surprises, Hardik Marfatia, Rangan Gupta, Esin Cakan Nov 2017

The International Reit’S Time-Varying Response To The U.S. Monetary Policy And Macroeconomic Surprises, Hardik Marfatia, Rangan Gupta, Esin Cakan

Economics & Business Analytics Faculty Publications

International real estate markets and the ever increasing role of the U.S. economic and policy developments have played a central role both in international portfolio management as well as broader economic policy making. In this paper, we measure the extent of time-varying impact of the U.S. monetary policy and macroeconomic news on the international Real Estate Investment Trusts (REITs) stock returns. Results suggest that there has been significant variation both across time and across countries in the impact of U.S. news on the global REIT stocks. Further, the country’s stock market capitalization to GDP ratio has strong connections with the …

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Human Capital And Collegiality In Academic Beehives: Theory And Analysis Of European Economics Faculties, João R. Faria, Franklin Mixon, Jr., Kamal Upadhyaya Apr 2017

Human Capital And Collegiality In Academic Beehives: Theory And Analysis Of European Economics Faculties, João R. Faria, Franklin Mixon, Jr., Kamal Upadhyaya

Economics & Business Analytics Faculty Publications

This study investigates the importance of the quality of human capital investment and collegiality (i.e., good colleagues) in achieving the type of acclaim in economics captured by receipt of the Yrjö Jahnsson Award, arguably the second-most prestigious award that a European economist can receive as recognition of the importance of his or her research endeavors. We provide an economic model as a foundation for both qualitative and quantitative analyses. Our results indicate that four institutions, namely the Toulouse School of Economics, University College London, University of Oxford and the London School of Economics generally rank highest in supporting a position …

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Housing Prices, Stock Prices And The U.S. Economy, Kamal Upadhyaya, Dharmendra Dhakal, Franklin Mixon, Jr. Jan 2017

Housing Prices, Stock Prices And The U.S. Economy, Kamal Upadhyaya, Dharmendra Dhakal, Franklin Mixon, Jr.

Economics & Business Analytics Faculty Publications

This paper studies the relationship between housing prices, stock prices, interest rates and aggregate output in the U.S. using monthly data from 1993 to 2014. Evidence from causality tests and a variance decomposition procedure suggest that stock prices have a much larger effect on aggregate output in the U.S. economy than do either housing prices or interest rates. Instead, the wealth effect created by changes in stock prices has a relatively large impact on U.S. aggregate output. Separate estimations and variance decompositions for the sample periods 1993 - 2001, 2002 – 2008 and 2009 – 2014 show that the impact …

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Out Of Big Brother's Shadow: Ranking Economics Faculties At Regional Universities In The Us South, Franklin Mixon, Jr., Kamal Upadhyaya Aug 2016

Out Of Big Brother's Shadow: Ranking Economics Faculties At Regional Universities In The Us South, Franklin Mixon, Jr., Kamal Upadhyaya

Economics & Business Analytics Faculty Publications

This study applies the methodology of a recent study that ranks economics departments at national universities in the U.S. South to economics faculties at regional universities in the same geographic location. Ranking results from a “core” (i.e., the top five faculty researchers) of each institution's economics faculty reveals that Appalachian State University, James Madison University, Southeastern Louisiana University, Trinity University and Loyola University – New Orleans currently maintain the top five economics faculties, respectively, among the approximately 200 regional universities in the U.S. South.

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Sectoral Herding: Evidence From An Emerging Market, Esin Cakan, Aram Balagyozyan Jan 2016

Sectoral Herding: Evidence From An Emerging Market, Esin Cakan, Aram Balagyozyan

Economics & Business Analytics Faculty Publications

This study examines herding behavior in all industrial sectors of the Turkish stock market. Applying the methodology of Chang et al. (2000) to the Turkish sectoral daily stock prices from 2002 to 2014, we found strong evidence of herding. This evidence did not disappear even after we controlled for market regimes and firm fundamentals. Investor herding is asymmetric in all sectors; even though herding is prevalent in both rising and falling markets, it is more pronounced in rising markets. In the financial, services, and technology sectors herding is detected only in the highly volatile markets. In contrast, in low-volatility markets …

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Climate Change And Its Impact On Wheat Production In Kansas, Joshua C. Howard, Esin Cakan, Kamal Upadhyaya Jan 2016

Climate Change And Its Impact On Wheat Production In Kansas, Joshua C. Howard, Esin Cakan, Kamal Upadhyaya

Economics & Business Analytics Faculty Publications

This paper studies the effect of climate change on wheat production in Kansas using annual time series data from 1949 to 2014. For the study, an error correction model is developed in which the price of wheat, the price of oats (substitute good), average annual temperature and average annual precipitation are used as explanatory variables with total output of wheat being the dependent variable. Time series properties of the data series are diagnosed using unit root and cointegration tests. The estimated results suggest that Kansas farmers are supply responsive to both wheat as well as its substitute (oat) prices in …

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Did Large Institutional Investors Flock Into The Technology Herd? An Empirical Investigation Using A Vector Markov-Switching Model, Aram Balagyozyan, Esin Cakan Jan 2016

Did Large Institutional Investors Flock Into The Technology Herd? An Empirical Investigation Using A Vector Markov-Switching Model, Aram Balagyozyan, Esin Cakan

Economics & Business Analytics Faculty Publications

This article investigates whether large non-bank institutional investors herded during the dot-com bubble of the 1990s. We use the vector Markov-switching model of Hamilton and Lin (1996) to analyse the technology stockholdings of 115 large institutional investors from 1980 to 2012. By imposing different restrictions on the elements of the transition probability matrix, we are able to test for various lead/lag scenarios that might have existed between the technology stockholding of each investor and that of the residual market. We find that only 17.4% of the investors in our sample herded during the dot-com bubble. Thus, during the dot-com bubble, …

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Supply Chain Management And Investment Risk, Claude Chereau Dec 2014

Supply Chain Management And Investment Risk, Claude Chereau

Economics & Business Analytics Faculty Publications

We use a behaviorally motivated risk-return optimization framework to shed light on the important link between global supply chain management and investors’ risk-return choice. By improving the transparency and sustainability of the global supply chain, firms can reduce the probability of extreme losses, thus increasing investors’ expected utility and asset valuations. In order to effectively address the growing risks firms face in their global supply chains, systemic change is required. Managers can facilitate this change by increasing transparency and sustainability of their supply chains, especially in the area of carbon emissions reduction.We outline existing programs and tools that are leading …

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Does U.S. Macroeconomic News Make Emerging Financial Markets Riskier?, Esin Cakan, Kamal Upadhyaya Oct 2014

Does U.S. Macroeconomic News Make Emerging Financial Markets Riskier?, Esin Cakan, Kamal Upadhyaya

Economics & Business Analytics Faculty Publications

This study analyzes the impacts of U.S. macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find that volatility shocks are persistent and asymmetric. Asymmetric volatility increases with bad news on U.S. inflation in five out of the twelve countries studied and it increases with a bad news on U.S. unemployment in four out of twelve countries. Asymmetric volatility decreases with good news about US employment situation in eight countries out of twelve countries. Such …

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Biotechnology: Can The Transatlantic Trade And Investment Partnership Reconcile Eu And Us Differences On Gmos?, Claude Chereau Jan 2014

Biotechnology: Can The Transatlantic Trade And Investment Partnership Reconcile Eu And Us Differences On Gmos?, Claude Chereau

Economics & Business Analytics Faculty Publications

The US and EU have announced negotiations for a free trade agreement to be completed by end of 2014. While tariff barriers between the two entities are limited, their trade is encumbered with non-tariff barriers (NTBs), one of them being their diverging approach to genetically modified organisms (GMOs) in the agriculture and food industries. The US operates from a science-based perspective while the EU relies on the precautionary principle. This paper reviews the developments of GMOs in both the US and EU and draws on measures outlined in international organizations and recent trade agreements to explore options for the US …

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Something Old, Something New: Mba Program Evaluation Using Shift-Share Analysis And Google Trends, Sarah M. Davis, A. E. Rodriguez Jan 2014

Something Old, Something New: Mba Program Evaluation Using Shift-Share Analysis And Google Trends, Sarah M. Davis, A. E. Rodriguez

Economics & Business Analytics Faculty Publications

Shift-share analysis is a decomposition technique that is commonly used to measure attributes of regional change. In this method, regional change is decomposed into its relevant functional and competitive parts. This paper introduces traditional shift-share method and its extensions with examples of its applicability and usefulness for program evaluation and development, strategic planning, enrollment management and other traditional functions of higher education administration. To illustrate we provide an appraisal of the impact of demographic and employment changes resulting from the great recession on the MBA program of a regional private university in the state of Connecticut. We establish the validity …

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On The Relationship Between Exchange Rates And Stock Prices: Evidence From Emerging Markets, Esin Cakan, Demissew D. Ejara Jul 2013

On The Relationship Between Exchange Rates And Stock Prices: Evidence From Emerging Markets, Esin Cakan, Demissew D. Ejara

Economics & Business Analytics Faculty Publications

This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan, in that there is no evidence for a non-linear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries. JEL Classifications Codes: F30, …

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Income Polarization And Income Inequality In Connecticut During The Great Recession, A. E. Rodriguez, Scott J. Lane Jul 2013

Income Polarization And Income Inequality In Connecticut During The Great Recession, A. E. Rodriguez, Scott J. Lane

Economics & Business Analytics Faculty Publications

In this paper, using Bureau of the Census family income data we formally examine the income polarization hypothesis for the State of Connecticut. We ask and answer two questions. First, did the polarization of income deteriorate over the Great Recession years of 2007-2009? If the observed clustering around two opposite poles that existed in Connecticut prior to the Great Recession increased between the years immediately prior to the recession and immediately after (2006-2010) it would be consistent with the perception that the size of the middle class decreased over this period. Second, have income polarization and income inequality fared significantly …

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The Business Cycle And Impacts Of Economic News On Financial Markets, Esin Cakan Jun 2012

The Business Cycle And Impacts Of Economic News On Financial Markets, Esin Cakan

Economics & Business Analytics Faculty Publications

By jointly modeling returns and volatilities, we find that unemployment news has no significant impact on U.S. stock market returns, but instead on stock market volatility. There is also a significantly positive relation between the long-term bond return and unemployment news during economic expansions, indicating that U.S. government bonds might be a hedge against unemployment news. Inflation news affects both stock and bond market returns negatively during expansions. Both unemployment and inflation news surprises also have more impact on volatility during economic recessions than during expansions.

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On The Nonlinear Causality Between Inflation And Its Uncertainty In G-3 Countries, Esin Cakan, Zeynel Abidin Ozdemir, Mehmet Balcilar Nov 2011

On The Nonlinear Causality Between Inflation And Its Uncertainty In G-3 Countries, Esin Cakan, Zeynel Abidin Ozdemir, Mehmet Balcilar

Economics & Business Analytics Faculty Publications

This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and the UK by employing linear and nonlinear Granger causality tests for the 1957:01-2006:10 period. Using a generalised autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence from the linear and nonlinear Granger causality tests indicate a bi-directional causality between the series. The estimates from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead to greater inflation uncertainty for all countries as predicted by Friedman (1977). Although VAR estimates imply no …

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Foreign Direct Investment And Transition Economies: Empirical Evidence From A Panel Data Estimator, Kamal Upadhyaya Jan 2007

Foreign Direct Investment And Transition Economies: Empirical Evidence From A Panel Data Estimator, Kamal Upadhyaya

Economics & Business Analytics Faculty Publications

This paper identifies the factors that determine FDI inflows in the former socialist countries of Eastern and Central Europe. In our analysis, FDI inflows are modeled as a function of the market size (i.e., real GDP), inflation, the current account balance, the real exchange rate, openness and government regulation -- for the host country. Using data from 1995 to 2004, a panel data estimator suggests that the real exchange rate, openness of the economy and deregulation are the primary factors determining FDI inflows in these countries.

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Foreign Aid, Fdi And Economic Growth In East European Countries, Kamal P. Upadhyaya, Gyan Pradhal, Dharmendra Dhakal, Rabindra Bhandari Jan 2007

Foreign Aid, Fdi And Economic Growth In East European Countries, Kamal P. Upadhyaya, Gyan Pradhal, Dharmendra Dhakal, Rabindra Bhandari

Economics & Business Analytics Faculty Publications

This paper examines the effectiveness of foreign aid and foreign direct investment in the Czech Republic, Estonia, Hungary, Latvia, Lithuania and Poland. The model includes the labor force, capital stock, foreign aid and foreign direct investment, and is estimated using pooled annual time series data from 1993 to 2002. Before carrying out the estimation, the time series properties of the data are diagnosed and an error-correction model is developed and estimated using a fixed-effects estimator. The results indicate that an increase in the stock of domestic capital and inflow of foreign direct investment are significant factors that positively affect economic …

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