Below are links to my finance and economics academic publications. I usually write my programs for the empirical analysis of my papers in RATS, SAS, R, or MATLAB. If you would like the data and code for a specific paper, shoot me an email and I’ll be glad to share it.
What is a better cross-hedge for energy: Equities or other commodities? (with Mark Wohar and Andrew Vivian) Global Finance Journal (2018): 1- 17
Income inequality, equities, household debt, and interest rates: Evidence from a century of data (with Edmond Berisha and John Meszaros) Journal of International Money and Finance 80 (2018): 1-14. (lead article)
A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set (with Paul Jones and Mark Wohar) The Financial Review 52 (2017): 405-433
Do Commodities Make Effective Hedges for Equity Investors? (with Mark Wohar and Andrew Vivian) Research in International Business and Finance 42 (2017): 1274-1288.
The Relative Contributions of Equity and Subordinated Debt Signals as Predictors of Bank Distress during the Financial Crisis (with Scott Miller and Timothy Yeager). Journal of Financial Stability.16, (2015). 118 – 137
The International Effects of U.S. Uncertainty (with Paul Jones). International Journal of Finance and Economics. 20, (2015): 242 – 252
The Relationship Between Energy and Equity Markets: Evidence from Volatility Impulse Response Functions (with Mark Wohar and Andrew Vivian) Energy Economics. 43, (2014). pp. 297- 305
A Historical Analysis of the Taylor Curve (with Walter Enders) Journal of Money, Credit, and Banking. 44, (2012). pp. 1285-1299.
“Black Swans” before the “Black Swan”: Evidence from International LIBOR-OIS Spreads. (with Scott Miller and Mark Wohar) Journal of International Money and Finance 31 (2012): 1339-1357.
Nonlinear Taylor rules: evidence from a large dataset (with Jun Ma and Mark Wohar) Studies in Nonlinear Dynamics & Econometrics (2018) 22, no. 1
Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR (with Mark Wohar and Rangan Gupta) Journal of Forecasting 36, (2017): 640-650
An Evaluation of ECB Policy in the Euro’s Big Four Journal of Macroeconomics 48, (2016): 203-213.
Discretionary Monetary Policy, Quantitative Easing and the Decline in US Labor Share (with Andy Young) Economics & Business Letters. 4, (2015) pp. 63-78
Asymmetric Tax Multipliers(with Paul Jones and Mark Wohar) Journal of Macroeconomics 43, (2015). pp 38 – 48.
Income Inequality and Household Debt: A Cointegration Test (with Edmond Berisha and John Meszaros) Applied Economics Letters 22, (2015): 1469-1473 5
Tax Multipliers and Monetary Policy: Evidence from a Threshold Model (with Paul Jones) Economics Letters 122, (2014). pp. 116 – 118.
Was the Euro Good for Greece?(with Ethan Hamilton) Applied Economics Letters 21, (2014). pp. 248-251.
Using Romer and Romer’s New Measure of Monetary Policy Shocks and the Nature of Supply Shocks(with James Cover) Applied Economics 45, (2013). pp. 2838-2846.
The Time-Varying Correlation Between Uncertainty, Output, and Inflation: Evidence From a DCC- GARCH Model (with Paul Jones). Economics Letters. 118, (2013). pp. 33-37.
An Empirical Investigation of the Taylor Curve (with Walter Enders and Mark Wohar) Journal of Macroeconomics. 34, (2012). pp.380-390.
Political Science Publications
Presidential Approval and Macroeconomic Conditions: Evidence From a Nonlinear Model (with Seung- Whan Choi, Yitan Li, and Patrick James). Applied Economics 48, (2016): 1-15.
Measuring the Economic Costs of Terrorism (with Walter Enders). In M. Garfinkel and S. Skaperdaseds. Oxford Handbook of the Economics of Peace and Conflict (Oxford Univ. Press: Oxford). January (2012).