We bring to light a significant aspect of firm level heterogeneity over the business cycle. Analysing the responsiveness of firm growth (quoted UK companies) to aggregate shocks, we find that the effects of aggregate shocks are more pronounced for firms in the middle range of growth. Rapidly...

Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors. Some illustrative calculations based on UK equity are...

This paper deals with the issues of identification and estimation in the canonical model of contagion advanced in Pesaran and Pick (2007). The model is a two-equation nonlinear simultaneous equations system with endogenous dummy variables; it also represents an extension of univariate threshold...

In this paper we examine the growth of income inequality in Hungary in the early transition period. We use household budget survey data from four years between 1987 and 1993 to examine the factors associated with the levels and changes in inequality. We find that public policy inhibited the...