Purpose: The purpose of the paper is twofold: to construct and analyze a novel endogenous growth model, in which unbounded growth is possible without the need to assume increasing returns to scale, and to use the model to estimate the long-run (or dynamic) costs of recessions....

Human Resource Management (HRM) effects on firm performance can be examined at the systems architecture (i.e., guiding principles or philosophy), the policy, or practices levels. This paper suggests that, at least for small and medium‐sized enterprises (SMEs) in developing countries, it is the...

This paper employs a panel vector autoregressive model (PVAR) to study the dynamics of the overall exchange rate volatility. PVAR estimation results, based on panel data for 29 economies, are used in simulating impulse response functions. Since economic shocks may affect high-frequency and...

We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...

The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation “twist”, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct rating- and maturity-based weekly bond portfolios using TRACE and...

This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a result of signing of the Plaza Accord and introduction of the Euro. We study the deviations of Canadian Dollar/US Dollar, Japanese Yen/US Dollar and US Dollar/British Pound spot...

Comovements of exchange rates before and during Asian financial crisis are examined using cross-spectral methodology. The paper proposes and implements a simple frequency-domain-based test for contagion that avoids biases of the correlation breakdown tests used in the extant literature. The...

We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily prices of crude oil futures and daily S&P500 futures closing prices over the past several decades. We investigate contemporaneous and lag--lead relationships in levels and returns....