William D Lastrapes : Citation Profile


Are you William D Lastrapes?

University of Georgia

13

H index

18

i10 index

1177

Citations

RESEARCH PRODUCTION:

32

Articles

6

Papers

RESEARCH ACTIVITY:

   25 years (1989 - 2014). See details.
   Cites by year: 47
   Journals where William D Lastrapes has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 10 (0.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla48
   Updated: 2016-02-06    RAS profile: 2015-02-19    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with William D Lastrapes.

Is cited by:

Miller, Stephen (20)

GUPTA, RANGAN (13)

Caglayan, Mustafa (13)

Bredin, Don (11)

Baum, Christopher (11)

Bollerslev, Tim (11)

Fang, WenShwo (9)

Ghysels, Eric (9)

Yoon, Seong-Min (9)

Bauwens, Luc (8)

Andreou, Elena (8)

Cites to:

Leeper, Eric (19)

Bernanke, Ben (15)

Watson, Mark (15)

Selgin, George (11)

Faust, Jon (11)

Christiano, Lawrence (11)

Quah, Danny (10)

Blanchard, Olivier (10)

Romer, Christina (9)

Shapiro, Matthew (9)

Gordon, David (9)

Main data


Where William D Lastrapes has published?


Journals with more than one article published# docs
Journal of Macroeconomics5
Journal of International Money and Finance4
Journal of Money, Credit and Banking3
The Review of Economics and Statistics3
Journal of Business & Economic Statistics2

Recent works citing William D Lastrapes (2016 and 2015)


YearTitle of citing document
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2015). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: CREATES Research Papers. RePEc:aah:create:2015-11.

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2015Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Lanne, Markku ; Meitz, Mika . In: CREATES Research Papers. RePEc:aah:create:2015-16.

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2015Effects of Recession and Dollar Weakening on the U.S. Agricultural Trade Balance. (2015). Kinnucan, Henry ; Gong, Li. In: 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia. RePEc:ags:saea15:196612.

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2015Option Pricing Accuracy for Estimated Heston Models. (2015). Azencott, Robert ; Gadhyan, Yutheeka ; Glowinski, Roland . In: Papers. RePEc:arx:papers:1404.4014.

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2015Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?. (2015). He, Ling-Yun ; Yao, Ting ; Zhang, Yue-Jun . In: Papers. RePEc:arx:papers:1512.01676.

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2015Natural Experiments in Macroeconomics. (2015). Hassan, Tarek ; Fuchs-Schuendeln, Nicola ; Fuchs-Schundeln, Nicola . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10628.

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2015Shifts in volatility driven by large stock market shocks. (2015). Tzavalis, Elias ; Dendramis, Yiannis ; Kapetanios, George . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:55:y:2015:i:c:p:130-147.

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2015Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel . In: Economic Modelling. RePEc:eee:ecmode:v:45:y:2015:i:c:p:50-73.

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2015Volatility forecast of country ETF: The sequential information arrival hypothesis. (2015). Lee, Chien-Chiang ; Tseng, Tseng-Chan ; Chen, Mei-Ping . In: Economic Modelling. RePEc:eee:ecmode:v:47:y:2015:i:c:p:228-234.

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2015Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis. (2015). Kumar, Dilip . In: Economic Modelling. RePEc:eee:ecmode:v:49:y:2015:i:c:p:354-371.

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2015Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets. (2015). Changqing, Luo ; Yan, Xu ; Cong, Yu ; Chi, Xie . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:657-671.

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2015Temporal causality between house prices and output in the US: A bootstrap rolling-window approach. (2015). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Das, Sonali ; Nyakabawo, Wendy . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:33:y:2015:i:c:p:55-73.

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2015Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis. (2015). BABALOS, VASSILIOS ; Koulakiotis, Athanasios ; Papasyriopoulos, Nicholas . In: Economics Letters. RePEc:eee:ecolet:v:127:y:2015:i:c:p:58-60.

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2015Sources of asymmetric shocks: The exchange rate or other culprits?. (2015). Skorepa, Michal ; Komarek, Lubos . In: Economic Systems. RePEc:eee:ecosys:v:39:y:2015:i:4:p:654-674.

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2015Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64.

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2015Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps. (2015). Vašíček, Bořek ; Vaiek, Boek ; trba, Filip ; Mio, Ronghui ; Calice, Giovanni . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:174-189.

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2015Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices. (2015). Wu, Feng ; Wang, Zhiguang ; Guan, Zhengfei ; Myers, Robert J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:260-274.

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2015Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Hammoudeh, Shawkat ; Mensi, Walid . In: Energy Economics. RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

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2015A regime switching approach for hedging tanker shipping freight rates. (2015). Alizadeh, Amir H. ; van Dellen, Stefan ; Huang, Chih-Yueh . In: Energy Economics. RePEc:eee:eneeco:v:49:y:2015:i:c:p:44-59.

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2015An empirical model comparison for valuing crack spread options. (2015). Mahringer, Steffen ; Prokopczuk, Marcel . In: Energy Economics. RePEc:eee:eneeco:v:51:y:2015:i:c:p:177-187.

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2015A new monthly chronology of the US industrial cycles in the prewar economy. (2015). Ferrara, Laurent ; DIEBOLT, Claude ; Darné, Olivier ; Charles, Amelie . In: Journal of Financial Stability. RePEc:eee:finsta:v:17:y:2015:i:c:p:3-9.

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2015Testing the mixture of distributions hypothesis on target stocks. (2015). Carroll, Rachael ; Kearney, Colm . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:39:y:2015:i:c:p:1-14.

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2015Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis. (2015). Choudhry, Taufiq ; Hassan, Syed S. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:39:y:2015:i:c:p:89-101.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2015Time-varying international stock market interaction and the identification of volatility signals. (2015). Weber, Enzo ; Strohsal, Till . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:56:y:2015:i:c:p:28-36.

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2015Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis. (2015). Velinov, Anton ; Chen, Wenjuan . In: Journal of Economics and Business. RePEc:eee:jebusi:v:80:y:2015:i:c:p:1-20.

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2015Recessions, healthy no more?. (2015). Ruhm, Christopher. In: Journal of Health Economics. RePEc:eee:jhecon:v:42:y:2015:i:c:p:17-28.

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2015Oil inflows and housing market fluctuations in an oil-exporting country: Evidence from Iran. (2015). khiabani, nasser. In: Journal of Housing Economics. RePEc:eee:jhouse:v:30:y:2015:i:c:p:59-76.

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2015Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach. (2015). Menla Ali, Faek ; Caporale, Guglielmo Maria ; Spagnolo, Nicola . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:54:y:2015:i:c:p:70-92.

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2015Nominal shocks and real exchange rates: Evidence from two centuries. (2015). Craighead, William ; Tien, Pao-Lin . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:56:y:2015:i:c:p:135-157.

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2015Emerging market economies and the world interest rate. (2015). Bahadir, Berrak ; Lastrapes, William D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:58:y:2015:i:c:p:1-28.

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2015Has the Fed improved U.S. economic performance?. (2015). Hogan, Thomas. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:43:y:2015:i:c:p:257-266.

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2015Do technology shocks lower hours worked? – Evidence from Japanese industry level data. (2015). KWON, Hyeog Ug ; Ko, Jun-Hyung ; Hyeog Ug Kwon, . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:44:y:2015:i:c:p:138-157.

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2015Imbalances over the Pacific. (2015). Kim, Soyoung ; Lee, Jae Woo . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:45:y:2015:i:c:p:173-185.

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2015Revisiting the relationship between exchange rates and fundamentals. (2015). Chou, Yu-Hsi ; CHEN, SHIU-SHENG . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:1-22.

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2015What drives housing dynamics in China? A sign restrictions VAR approach. (2015). Gete, Pedro ; Bian, Timothy Yang . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:96-112.

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2015Forecasting copper futures volatility under model uncertainty. (2015). Li, Yong. In: Resources Policy. RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176.

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2015A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility. (2015). Bentes, Sonia R.. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:424:y:2015:i:c:p:105-112.

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2015Phase transition phenomenon: A compound measure analysis. (2015). Kang, Bo Soo ; Song, Wonho ; Ryu, Doojin ; Park, Chanhi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:428:y:2015:i:c:p:383-395.

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2015Information-driven trade and price–volume relationship in artificial stock markets. (2015). Liang, Xiaobei ; Liu, Xin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:430:y:2015:i:c:p:73-80.

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2016Forecasting Tehran stock exchange volatility; Markov switching GARCH approach. (2016). Nademi, Younes ; Abounoori, Esmaiel ; Elmi, Zahra . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:445:y:2016:i:c:p:264-282.

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2015Investor response to public news, sentiment and institutional trading in emerging markets: A review. (2015). Brzeszczyski, Janusz ; Kutan, Ali M ; Gajdka, Jerzy . In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:338-352.

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2015Housing demands, savings gluts and current account dynamics. (2015). Gete, Pedro. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:221.

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2015What drives the global interest rate. (2015). Vespignani, Joaquin ; Ratti, Ronald. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:241.

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2015Determinants of mortgage default and consumer credit use: the effects of foreclosure laws and foreclosure delays. (2015). van der Klaauw, Wilbert ; Haughwout, Andrew ; Hayashi, Andrew ; Chan, Sewin . In: Staff Reports. RePEc:fip:fednsr:732.

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2015Large-Scale Empirical Tests of the Markov Tree Model. (2015). Bhat, Harish S ; Kumar, Nitesh . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:3:y:2015:i:3:p:280-318:d:53227.

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2015Determinants and Sustainability of House Prices: The Case of Shanghai, China. (2015). Zou, Gaolu ; Chau, Kwong Wing . In: Sustainability. RePEc:gam:jsusta:v:7:y:2015:i:4:p:4524-4548:d:48282.

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2015A comparative Study of Volatility Breaks. (2015). Grote, Claudia ; Bertram, Philip . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-558.

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2015The Federal Reserve Systems Overreach into Credit Allocation. (2015). White, Lawrence H. In: Journal of Private Enterprise. RePEc:jpe:journl:1220.

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2015Multiscale Analysis of the Liquidity Effect in the UK Economy. (2015). Michis, Antonis. In: Computational Economics. RePEc:kap:compec:v:45:y:2015:i:4:p:615-633.

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2015Revisiting the relationship between risk and return. (2015). Malik, Farooq . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:44:y:2015:i:1:p:25-40.

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2016Effects of frequent information disclosure: the case of daily net asset value reporting for closed-end investment companies. (2016). McCormick, Gary ; French, Dan . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:46:y:2016:i:1:p:107-122.

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2015Collateral constraints and macroeconomic asymmetries. (2015). Iacoviello, Matteo ; Guerrieri, Luca. In: National Bank of Poland Working Papers. RePEc:nbp:nbpmis:202.

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2015Natural Experiments in Macroeconomics. (2015). Hassan, Tarek ; Fuchs-Schuendeln, Nicola. In: NBER Working Papers. RePEc:nbr:nberwo:21228.

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2015Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data. (2015). Givens, Gregory ; Reed, Robert . In: MPRA Paper. RePEc:pra:mprapa:61495.

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2015Sources of Exchange Rate Fluctuations in Kenya: The Relative Importance of Real and Nominal Shocks. (2015). Kiptui, Moses . In: MPRA Paper. RePEc:pra:mprapa:61515.

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2015Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach. (2015). Troug, Haytem ; sbia, rashid. In: MPRA Paper. RePEc:pra:mprapa:64933.

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2015Kauzalní vztah peněžní nabídky a amerického akciového trhu. (2015). irek, Martin . In: MPRA Paper. RePEc:pra:mprapa:66357.

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2015The Exchange Rate Uncertaınty On Foreıgn Trade: Evıdence From Panel Coıntegratıon Analysıs For Turkey. (2015). dogru, bulent. In: MPRA Paper. RePEc:pra:mprapa:66635.

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2015Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. (2015). Francq, Christian ; Sucarrat, Genaro . In: MPRA Paper. RePEc:pra:mprapa:67140.

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2015Measuring the Effects of the ‘Normalization’ of US Monetary Policy on Central America and the Dominican Republic. (2015). Ramírez de León, Francisco ; Ramirez de Leon, Francisco ; Pradel, Salome ; Checo, Ariadne . In: MPRA Paper. RePEc:pra:mprapa:68293.

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2015Asset prices regime-switching and the role of inflation targeting monetary policy. (2015). Filis, George ; Chatziantoniou, Ioannis ; Floros, Christos . In: MPRA Paper. RePEc:pra:mprapa:68666.

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2027Perspectives on PPP and Long-Run Real Exchange Rates. (2027). Rogoff, Kenneth ; Froot, Ken . In: Working Paper. RePEc:qsh:wpaper:32027.

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2015.

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2015Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets. (2015). Muhammad, Altaf ; Shuguang, Zhang . In: Romanian Statistical Review. RePEc:rsr:journl:v:63:y:2015:i:1:p:57-70.

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2015Oil prices and global factor macroeconomic variables. (2015). Ratti, Ronald ; Vespignani, Joaquin . In: Working Papers. RePEc:tas:wpaper:22665.

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2015When Does Introducing a Value-Added Tax Increase Economic Efficiency? Evidence from the Synthetic Control Method. (2015). Adhikari, Bibek. In: Working Papers. RePEc:tul:wpaper:1524.

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2015Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia. (2015). Abdul Karim, Zulkefly ; Shah, Mohd Azlan . In: Asian Academy of Management Journal of Accounting and Finance. RePEc:usm:journl:aamjaf01102_29-55.

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2015The Regional Effects of Macroeconomic Shocks in China. (2015). Chen, Anping ; Groenewold, Nicolaas . In: ERSA conference papers. RePEc:wiw:wiwrsa:ersa15p17.

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2015Would a Free Banking System Target NGDP Growth?. (2015). Young, Andrew ; Salter, Alexander. In: Working Papers. RePEc:wvu:wpaper:15-08.

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2015Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression. (2015). Baruník, Jozef ; Barunikova, Michaela . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:43.

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2015Do soaring global oil prices heat up the housing market? Evidence from Malaysia. (2015). Le, Thai-Ha . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20158.

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2015Does prescription drug coverage improve mental health? Evidence from Medicare Part D. (2015). Ayyagari, Padmaja ; Shane, Dan M.. In: Journal of Health Economics. RePEc:eee:jhecon:v:41:y:2015:i:c:p:46-58.

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Works by William D Lastrapes:


YearTitleTypeCited
2012Home Equity Lending and Retail Spending: Evidence from a Natural Experiment in Texas In: American Economic Journal: Macroeconomics.
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article14
1994Endogenous Trading Volume and Momentum in Stock-Return Volatility. In: Journal of Business & Economic Statistics.
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article61
1990Persistence in Variance, Structural Change, and the GARCH Model. In: Journal of Business & Economic Statistics.
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article308
1990 Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects. In: Journal of Finance.
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article217
2012Banknotes And Economic Growth In: Scottish Journal of Political Economy.
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article0
1997The Check Tax: Fiscal Folly and the Great Monetary Contraction In: The Journal of Economic History.
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article2
2004Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets In: Economic Journal.
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article12
2006Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money In: Journal of Economic Dynamics and Control.
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article2
2005Estimating and identifying vector autoregressions under diagonality and block exogeneity restrictions In: Economics Letters.
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article11
2002Real wages and aggregate demand shocks: contradictory evidence from VARs In: Journal of Economics and Business.
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article0
2000Real Wages and Aggregate Demand Shocks: Contradictory Evidence from Vars..(2000) In: Georgia - College of Business Administration, Department of Economics.
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2002The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations In: Journal of Housing Economics.
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article20
2000The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations..(2000) In: Georgia - College of Business Administration, Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 20
paper
1993The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model In: Journal of International Money and Finance.
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article62
1998International evidence on equity prices, interest rates and money In: Journal of International Money and Finance.
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article52
2003Estimating the liquidity effect in post-reform Chile: do inflationary expectations matter? In: Journal of International Money and Finance.
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article2
1990International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France, and Germany, 1959 to 1985 In: Journal of International Money and Finance.
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1990Exchange rate volatility and U.S. multilateral trade flows In: Journal of Macroeconomics.
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article23
1995The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions In: Journal of Macroeconomics.
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article16
1998Identifying the Effects of Money Supply Shocks on Industry-Level Output In: Journal of Macroeconomics.
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article2
2002Comments on A vector error-correction forecasting model of the US economy In: Journal of Macroeconomics.
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2012Has the Fed been a failure? In: Journal of Macroeconomics.
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article12
1993New Keynesian economics, volume 2 : Edited by N. Gregory Mankiw and David Romer, MIT Press, 1991, 450 pp. In: International Review of Economics & Finance.
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article0
1993An Empirical Analysis of Stock Price and Interest Rate Dynamics: The Role of Money. In: Georgia - College of Business Administration, Department of Economics.
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1993The Dynamic Responses of Crop and Livestock Prices to Money Supply Shocks: A Bayesian Analysis using Long Run Restrictions. In: Georgia - College of Business Administration, Department of Economics.
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1993Equity Prices, Interest Rates and Money in Europe: An Empirical Analysis. In: Georgia - College of Business Administration, Department of Economics.
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1998Abnormal Returns in the Acquisition Market: The Case of Bank Holding Companies, 1990–1993 In: Journal of Financial Services Research.
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2001Cross-Country Variation in the Liquidity Effect In: Departmental Working Papers.
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1989Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application. In: Journal of Money, Credit and Banking.
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article59
1994Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions. In: Journal of Money, Credit and Banking.
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article11
2013Evidence on the Relationship between Housing and Consumption in the United States: A State‐Level Analysis In: Journal of Money, Credit and Banking.
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article4
1996The Dynamic Responses of Crop and Livestock Prices to Money-Supply Shocks: A Bayesian Analysis Using Long-Run Identifying Restrictions In: American Journal of Agricultural Economics.
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article13
1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities. In: Review of Financial Studies.
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article110
2007The cost channel of monetary transmission-revisited In: Applied Economics Letters.
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1989Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach. In: The Review of Economics and Statistics.
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article63
1992Sources of Fluctuations in Real and Nominal Exchange Rates. In: The Review of Economics and Statistics.
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article82
1998The Dynamic Effects Of Money: Combining Short-Run And Long-Run Identifying Restrictions Using Bayesian Techniques In: The Review of Economics and Statistics.
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article1
2014A PRESCRIPTION FOR UNEMPLOYMENT? RECESSIONS AND THE DEMAND FOR MENTAL HEALTH DRUGS In: Health Economics.
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article3

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