Published Research

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.

Finance Publications

Sentiment’s Effect on the Variance of Stock Returns (with Adam Nowak) Applied Economics Letters (2019) (in press).

Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data (with Rangan Gupta and Hardik A. Marfatia) Applied Economics Letters (2019) (in press).

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)

What is a better cross-hedge for energy: Equities or other commodities? (with Mark Wohar and Andrew Vivian) Global Finance Journal (2018): 1- 17

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.

Economics Publications

Estimates of Okun’s law using a new output gap measure (with Arčabić, Vladimir) Economics Bulletin 39, no. 2 (2019): 929-936.

The Effects of US Quantitative Easing on South Africa (with John Meszaros) Review of Financial Economics (2019) (in press).

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).