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Research Papers Note that some papers available for download are preliminary and subject
to revision. Comments are welcome. GAUSS program files are available for most
papers. |
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“Is Inflation an International Phenomenon?”
with Christopher J. Neely ·
“Real Interest Rate Persistence: Evidence and
Implications,” with Christopher J. Neely ·
“Diversification Also Works for Forecasting
the Equity Premium: Consistently Outperforming the Historical Average,” with
Jack K. Strauss and Guofu Zhou · Slides for a presentation to the Board of Directors of Vantage Credit Union, June 2008 (.pdf) ·
“Differences in Housing Price Forecastability Across U.S. States,” with Jack K.
Strauss, revise and resubmit to the International
Journal of Forecasting ·
“States and the Business Cycle,” with Michael
T. Owyang and Howard J. Wall, revise and resubmit
to the Journal of Urban Economics ·
“The Predictive Power of Output Gap Measures
Generated by Nonlinear Models,” with Richard Luger ·
“Spurious Relationships in Panel Crime
Regressions,” with Eric P. Baumer ·
“Nonlinear Models, Trend-Cycle Decompositions,
and Business Cycle Facts,” with Christian E. Weber ·
“Habit Formation, Heterogeneity, and Housing
Wealth Effects Across U.S. States,” with Jack K. Strauss ·
“Forecasting Employment Growth in Individual
U.S. States: An Analysis of Forecast Combining Methods,” with Jack K. Strauss ·
“Multi-Period Portfolio Choice and the Intertemporal Hedging Demands for Stocks and Bonds:
International Evidence,” with Mark E. Wohar, Journal of International Money and Finance, forthcoming ·
“Bagging or Combining (or Both)? An Analysis
Based on Forecasting U.S. Employment Growth,” with Jack K. Strauss, Econometric Reviews, forthcoming ·
“Forecasting Stock Return Volatility in the
Presence of Structural Breaks,” with Jack K. Strauss and Mark E. Wohar, in Forecasting
in the Presence of Structural Breaks and Model Uncertainty, David E.
Rapach and Mark E. Wohar (eds.), Vol. 3 of Frontiers of Economics and Globalization
(May 2008), Bingley, United Kingdom: Emerald, pp. 381-416 ·
“Structural Breaks and GARCH Models of
Exchange Rate Volatility,” with Jack K. Strauss, Journal of Applied Econometrics, Vol. 23, No. 1 (January-February
2008), pp. 65-90 ·
“Forecasting U.S. Employment Growth Using
Forecast Combining Methods,” with Jack K. Strauss, Journal of Forecasting, Vol. 27, No. 1 (January 2008), pp. 75-93 ·
“Forecasting Real Housing Price Growth in the
Eighth District States,” with Jack K. Strauss, Federal Reserve Bank of St.
Louis Regional Economic Development,
Vol. 3, No. 2 (November 2007), pp. 33-42 ·
“Forecasting the Recent Behavior of U.S.
Business Fixed Investment Spending: An Analysis of Competing Models,” with
Mark E. Wohar, Journal of Forecasting, Vol. 26, No. 1 (January 2007), pp. 33-51 ·
“The Long-Run Relationship Between Consumption
and Housing Wealth in the Eighth District States,” with Jack K. Strauss,
Federal Reserve Bank of St. Louis Regional
Economic Development, Vol. 2, No. 2 (October 2006), pp. 140-147 ·
“Structural Breaks and Predictive Regressions
Models of Aggregate U.S. Stock Returns,” with Mark E. Wohar, Journal of Financial Econometrics,
Vol. 4, No. 2 (Spring 2006), pp. 238-274 ·
“The Out-of-Sample Forecasting Performance of
Nonlinear Models of Real Exchange Rate Behavior” with Mark E. Wohar, ·
“In-Sample vs. Out-of-Sample Tests of Stock
Return Predictability in the Context of Data Mining,” with Mark E. Wohar, Journal
of Empirical Finance, Vol. 13, No.
2 (March 2006), pp. 231-247 ·
“Forecasting Employment Growth in ·
“Regime Changes in International Real Interest
Rates: Are They a Monetary Phenomenon?” with Mark E. Wohar, Journal of
Money, Credit, and Banking, Vol. 37, No. 5 (October 2005), pp. 887-906 ·
“Valuation Ratios and Long-Horizon Stock Price
Predictability,” with Mark E. Wohar, Journal of Applied Econometrics,
Vol. 20, No. 3 (March-April 2005), pp. 327-344 ·
“Macro Variables and International Stock
Return Predictability,” with Mark E. Wohar and Jesper
Rangvid, ·
“The Persistence in International Real
Interest Rates,” with Mark E. Wohar, International Journal of Finance and
Economics, Vol. 9, No. 4 (October 2004), pp. 339-346 ·
“Financial Variables and the Simulated
Out-of-Sample Forecastability of ·
“Testing the Monetary Model of Exchange Rate
Determination: A Closer Look at Panels,” with Mark E. Wohar, Journal of
International Money and Finance, Vol. 23, No. 6 (October 2004), pp.
841-865 ·
“Are Real Interest Rates Really Nonstationary? New Evidence from Tests with Good Size and
Power,” with Christian E. Weber, Journal of Macroeconomics, Vol. 26,
No. 3 (September 2004), pp. 409-430 ·
“International Evidence on the Long-Run Impact
of Inflation,” Journal of Money, Credit, and Banking, Vol. 35, No. 1
(February 2003), pp. 23-48 ·
“Testing the Monetary Model of Exchange Rate
Determination: New Evidence From a Century of Data,” with Mark E. Wohar, Journal
of International Economics, Vol. 58, No. 2 (December 2002), pp. 359-385 ·
“The Long-Run Relationship Between Inflation
and Real Stock Prices,” Journal of Macroeconomics, Vol. 24, No. 3
(September 2002), pp. 331-351 ·
“Are Real GDP Levels Nonstationary?
Evidence from Panel Data Tests,” Southern Economic Journal, Vol. 68,
No. 3 (January 2002), pp. 473-495 ·
“Macro Shocks and Real Stock Prices,” Journal
of Economics and Business, Vol. 53, No. 1 (January/February 2001), pp.
5-26 · “Monetary Shocks and Real Exchange Rate Hysteresis: Evidence from the G-7 Countries,” Review of International Economics, Vol. 9, No. 2 (May 2001), pp. 356-371 · “Macro Shocks and Fluctuations,” Journal of Economics and Business, Vol. 50, No. 1 (January/February 1998), pp. 23-38 · “Monetary Shocks and Relative Farm Prices: A Re-examination,” with Alan G. Isaac, American Journal of Agricultural Economics, Vol. 79, No. 4 (November 1997), pp. 1332-1339 |
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Disclaimer: pages.slu.edu is a service of Saint Louis University, Saint Louis University does not control, monitor or guarantee the information contained in these sites. For more information » |