In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

The purpose of this paper is to investigate the stochastic behavior of corporate debt ratios utilizing a balanced panel of 2,556 publicly traded US firms during the period 1997 - 2010. We partition the panel into ten economic sectors and perform panel unit root tests on each sector employing...

In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

Purpose The purpose of this paper is to report on a sequential three-stage analysis of inflation persistence using monthly data from 11 inflation targeting (IT) countries and, for comparison, the USA, a non-IT country with a history of credible monetary policy. Design/methodology/approach First,...

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

Purpose – This paper aims to examine the relation between executive compensation, firm size and firm performance on a panel of the so‐called “new economy” firms in the USA over the period 1996‐2002. Design/methodology/approach – The authors use two measures of performance, total...

We analyze the stochastic properties of three measures of profitability, return on assets (ROA), return on equity (ROE), and return on investment (ROI), using a balanced panel of US firms during the period 2001-2010. We employ a panel unit-root approach, which assists in identifying competitive...

In this study we examine the issue of parameter heterogeneity in the neoclassical growth model using a quantile regression estimator. Using cross-sectional data on 86 countries covering the period from 1960 to 2000, we estimate a version of the growth model of Mankiw, Romer and Weil (1992). We...