This paper studies how the extreme price co-movement of commodity futures indicates industrial production (IP) growth. In this regard, we model synchronized movements and large price changes into one measure by characterizing upside and downside price extremes. We find that the derived price...

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

The literature on corporate financing is quite extensive. However, researchers have so far not shed light on the IPO determining factors in Europe as a whole. This paper addresses three main questions observing more than 9000 IPOs performed during a period from 1991 to 2014. First, the...

WWII induced a dramatic increase in female labor supply, which persisted over time, particularly for women with higher education. Using Census micro data we study the qualitative aspects of this long term increase through the lenses of the occupations women held after the war. Almost two decades...

The goal of this paper is to develop an estimable model of President-Congress bargaining in the US, and to use this model to provide a better understanding of the objectives behind the New Deal. In the model, the distribution of federal funds across regions of the country is the outcome of a...

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the co-movements of the cyclical components of a variety of macroeconomic time series. We find that these co-movements are very different...

This paper documents the history of aggregate positions in U.S. index options and investigates the driving factors behind use of this class of derivatives. The goal is to identify basic properties of the level, trend, and covariates of options quantities in order to provide benchmark facts for...

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...