A note on finance, inflation, and economic growth

This paper examines the impact of inflation on the relationship between financial development and economic growth. Using panel-data techniques applied to observations from more than seventy-five countries, we find that the positive effect of financial development on economic growth diminishes as inflation increases.

An examination of the stability of short-run Canadian stock predictability

Using monthly data from 1975-2001, we consider the stability of bivariate and multivariate models for short run in-sample predictability of Canadian stock returns. We test for model stability using a range of tests including the Andrews SupF statistic, Bai subsample procedure, and Bai and Perron sequential SupF procedure. We find evidence of instability in two of our nine bivariate cases considered as well as our preferred multivariate model. When estimated to account for these breaks, we find the degree and direction of predictability can change markedly.predictive regression models, structural breaks, real stock returns

Geotagging One Hundred Million Twitter Accounts with Total Variation Minimization

Geographically annotated social media is extremely valuable for modern information retrieval. However, when researchers can only access publicly-visible data, one quickly finds that social media users rarely publish location information. In this work, we provide a method which can geolocate the overwhelming majority of active Twitter users, independent of their location sharing preferences, using only publicly-visible Twitter data. Our method infers an unknown user's location by examining their friend's locations. We frame the geotagging problem as an optimization over a social network with a total variation-based objective and provide a scalable and distributed algorithm for its solution. Furthermore, we show how a robust estimate of the geographic dispersion of each user's ego network can be used as a per-user accuracy measure which is effective at removing outlying errors. Leave-many-out evaluation shows that our method is able to infer location for 101,846,236 Twitter users at a median error of 6.38 km, allowing us to geotag over 80\% of public tweets.Comment: 9 pages, 8 figures, accepted to IEEE BigData 2014, Compton, Ryan, David Jurgens, and David Allen. "Geotagging one hundred million twitter accounts with total variation minimization." Big Data (Big Data), 2014 IEEE International Conference on. IEEE, 201

Capital Flows and Destabilizing Policy in Latin America

Motivated by the excessive macroeconomic volatility experienced in Latin America, we examine the possible contribution of monetary and fiscal policies to this outcome. In contrast with previous literature, we consider the possible simultaneity between policy and GDP growth by using GMM VAR econometric techniques. Additionally, we explore the direct impact international capital inflows have on these policies. Our evidence suggests that for the group of countries we consider, most practice destabilizing fiscal and monetary policy, and capital inflow consistently influences policy in a pro-cyclical direction.Fiscal and Monetary Policies, Capital Flows, Latin America

Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching

This paper combines two popular econometric tools, the dynamic factor model and the Markov-Switching model, to consider three segments of the financial system- the stock market, debt, and money- and their contribution to US business cycles over the past four decades. The dynamic factor model identifies a composite factor index for each financial segment, and using Markov-switching models by Hamilton (1989) and Filardo (1994), this paper then estimates the effect of each segment index on business cycle behaviour. This reexamination of the finance-business cycle link provides results that prove strongest for the effect of stock market movements on business cycles.

Quantifying the Personal Income Tax Benefits of Backdating: A Canada – US Comparison

This paper contrasts the post-tax returns of backdated at-the-money options to currently-dated in-the-money options (with the same strike price as the backdated options) and demonstrates that a Canadian executive can earn a significantly larger after-tax return from backdated options compared to a US executive. We tie this to the favorable Canadian tax treatment of executive options relative to their treatment in the United States. The comparison suggests that the personal tax regime may have been one of the factors which impacted the desire to receive backdated options in lieu of other forms of compensation in Canada but not so in the United States