Powerful new tools for time series analysis

Elliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of Economic Studies paper (2006) illustrates how tests for parameter constancy and tests for a unknown break process can be unified to produce a single efficient test for stability of the regression function. I will discuss and demonstrate a Stata implementation of the test.

Dynamics of Intra-EMS Interest Rate Linkages

interest rates, long memory, error correction

Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports

We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows.exchange rates, volatility, fractional integration, trade flows

Time-Varying Risk Premia in the Foreign Currency Futures Basis

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk matters, but the relationships are robust across currencies. The currency futures basis is positively associated with the dividend yield and negatively associated with the spread variables. These correlations cannot be attributed to the expected spot price change component of the currency futures basis, thus establishing the presence of a time-varying risk premium component in the currency futures basis.risk premia, foreign exchange

Parliamentary Election Cycles and the Turkish Banking Sector

This paper analyzes the effects of parliamentary election cycles on the Turkish banking system. Using annual bank-level data representing all banks in Turkey during 1963–2005, we present evidence of meaningful differences in the structure of bank assets, liabilities and financial performance across different stages of the parliamentary election cycle. However, we find that government-owned banks’ behavior does not differ from either domestic or foreign-owned private sector banks before, during or after elections. Our estimates also show that government-owned banks underperform their domestic and foreign-owned private sector counterparts.Elections, state banks, domestic banks, foreign-owned banks, loans, interest rate margin

The Benefits of Alternative Dispute Resolution in Common Interest Development Disputes

(Excerpt) Because litigation is expensive and time-consuming, both common interest development boards and unit owners suffer when parties bring their disputes to court. Alternative dispute resolution (“ADR”) is an important solution. This Article will examine the rise of common interest development ownership, the increase in conflicts in common interest developments, the disadvantages of traditional litigation, the advantages of ADR, and the various forms of ADR in other jurisdictions