Boston College
Department of Economics
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3806 USA

Phone/voicemail: +1+617-834-4615
Fax: +1+617+552+2308
Email: baum@bc.edu
Google Scholar: citations

Education

Professional Experience

Teaching

Graduate and undergraduate econometrics, financial markets,
macroeconomic policy, monetary theory, computational economics

Fellowships, Honors, Awards

Professional Service

Invited Lecturer, IMF Institute, 2011-2012
Invited Lecturer, Durham Business School, 2011-2012
Visiting Research Professor, OFCE / SKEMA Business School, Sophia Antipolis, 2011
Invited Lecturer, Cologne Graduate School in Management, Economics and Social Sciences, Universität zu Köln, 2010
Invited Lecturer, Melbourne Institute of Applied Economic and Social Research, 2010
Invited Lecturer, Department of Economics, University of Adelaide, 2010
Visiting Fellow, University of York, 2009
Visiting Professor, Kyiv School of Economics, 2009
Visiting Research Fellow, University of Glasgow, 2006

Associate Editor, Computational Economics, 1990-
Associate Editor, The Stata Journal, 2001-
Editor, Journal of Statistical Software, 2006-

Advisory Council, Society for Computational Economics, 2000-2002, 2004-2006
Secretary-Treasurer, Society for Economic Dynamics and Control, 1989-1992

Reviewer:

American Economic Review
Review of Economics and Statistics
Journal of Applied Econometrics
Journal of International Economics
Journal of International Money and Finance
Journal of Economic Dynamics and Control
Journal of Money, Credit and Banking
Computational Statistics and Data Analysis

BOOKS

An Introduction to Stata Programming, 2009. College Station, TX: Stata Press.

An Introduction to Modern Econometrics Using Stata, 2006. College Station, TX: Stata Press.

PUBLICATIONS

2011-

"The role of uncertainty in the transmission of monetary policy effects on bank lending", with Mustafa Caglayan and Neslihan Ozkan, 2012. Manchester School, forthcoming.

"The Effects of Uncertainty and Corporate Governance on Firms' Demand for Liquidity", with Atreya Chakraborty, Liyan Han and Boyan Liu, 2012. Applied Economics, 44:4, 515-525.

"The contextual effects of social capital on health: A cross-national instrumental variable analysis", with Daniel Kim, Michael Ganz, S V Subramanian and Ichiro Kawachi, 2011. Social Science & Medicine, 73:12, 1689-1697.

"The Impact of the Financial System's Structure on Firms' Financial Constraints", with Dorothea Schäfer and Oleksandr Talavera, 2011. Journal of International Money and Finance, 30, 678-691.

"Using Stata for Applied Research: Reviewing its Capabilities", with Mark E. Schaffer and Steven Stillman, 2011. Journal of Economic Surveys, 25:2, 380-394.

2006-2010

"Parliamentary Election Cycles and the Turkish Banking Sector", with Mustafa Caglayan and Oleksandr Talavera, 2010. Journal of Banking and Finance, 34, 2709-2719.

"Macroeconomic Uncertainty and Credit Default Swap Spreads", with Chi Wan, 2010. Applied Financial Economics, 20, 1163-1171.

"On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty," with Mustafa Caglayan and Oleksandr Talavera, 2010. Oxford Economic Papers, 62, 286-306.

"On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty", with Mustafa Caglayan, 2010. Journal of International Money and Finance, 29, 79-93.

"The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage", with Atreya Chakraborty and Boyan Liu, 2010. International Journal of Finance & Economics, 15:1, 22-30.

"On the Investment Sensitivity of Debt under Uncertainty", with Mustafa Caglayan and Oleksandr Talavera, 2010. Economics Letters, 106, 25-27.

"The Effects of Uncertainty on the Leverage of Non-Financial Firms", with Andreas Stephan and Oleksandr Talavera, 2009. Economic Inquiry, 47, 216-225.

"Evaluating concavity for production and cost functions", with Teresa Linz, 2009. Stata Journal, 9:1, 161-165.

"The second moments matter: The response of bank lending behavior to macroeconomic uncertainty", with Mustafa Caglayan and Neslihan Ozkan, 2009. Economics Letters, 102, 87-89.

"Political Patronage in Ukranian Banking", with Mustafa Caglayan, Dorothea Schäfer and Oleksandr Talavera, 2008. Economics of Transition, 16(3), 537-557.

"Uncertainty Determinants of Corporate Liquidity", with Mustafa Caglayan, Andreas Stephan and Oleksandr Talavera, 2008. Economic Modelling, 25, 833-849.

"Uncertainty Determinants of Corporate Investment", with Mustafa Caglayan and Oleksandr Talavera, 2008. Economics Letters, 98:3, 282-287.

"Enhanced routines for instrumental variables/generalized method of moments estimation and testing", with Mark E. Schaffer and Steven Stillman, 2007. Stata Journal, 7:4, 465-506.

"Monetary Policy in the Transition to a Zero Federal Deficit," with Meral Karasulu, in Inflation, Fiscal Policy and Central Banks, Leo N. Bartolotti, ed., pp. 161-178. Hauppage: Nova Science Publishers, 2007.

"The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity", with Mustafa Caglayan, Neslihan Ozkan and Oleksandr Talavera, 2006. Review of Financial Economics, 15, 289-304.

"Long-Memory Forecasting of U.S. Monetary Indices," with John Barkoulas, 2006. Journal of Forecasting, 25, 291-302.

"Dynamics of Intra-EMS Interest Rate Linkages," with John Barkoulas, 2006. Journal of Money, Credit and Banking, 38, 469-482.

2001-2005

"Stata: The language of choice for time series analysis?", 2005. Stata Journal, 5:1, 46-63.

"Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports," with Mustafa Caglayan and Neslihan Ozkan, 2004. Journal of Applied Econometrics, 19(1), 1-23.

"A review of Stata 8.1 and its time series capabilities," 2004. International Journal of Forecasting, 20, 151-161.

"Persistent Dependence in Foreign Exchange Rates? A Reexamination," with John Barkoulas, Mustafa Caglayan and Atreya Chakraborty, 2004. Chapter 10 in Global Financial Markets: Issues and Strategies, D. Ghosh and M. Ariff, eds., Praeger Publishers, Westport CT.

"Sectoral Fluctuations in U.K. Firms' Investment Expenditures," with Mustafa Caglayan and Neslihan Ozkan, 2003. Economics Bulletin, 5, No. 13.

"Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," with John Barkoulas and Atreya Chakraborty, 2003. Journal of Macroeconomics, 25(1), 109-122.

"The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test," with Natalya Delcoure, John Barkoulas and Atreya Chakraborty, 2003. Global Finance Journal, 14, 83-93.

"Instrumental variables and GMM: Estimation and testing," with Mark E. Schaffer and Steven Stillman, 2003. Stata Journal, 3(1), 1-31.

"Nearest-Neighbor Forecasts of U.S. Interest Rates," with John Barkoulas and Atreya Chakraborty, 2003. International Journal of Banking and Finance, 1:1, 119-135.

"Facilitating Applied Economic Research with Stata." Chapter 7 (pp. 173-197) in Programming Languages and Systems in Computational Economics and Finance, Soren S. Nielsen, ed., 2002. Boston: Kluwer Academic Publishers.

"Exchange Rate Effects on the Volume and Variability of Trade Flows," with John Barkoulas and Mustafa Caglayan. Journal of International Money and Finance, 2002, 21:4, 481-496.

"Residual Diagnostics for Cross-Section Time Series Regression Models." The Stata Journal, 2001, 1:1, 101-104.

"Exchange Rate Uncertainty and Firm Profitability," with John Barkoulas and Mustafa Caglayan. Journal of Macroeconomics, 2001, 23:4, 565-576.

"Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," with John Barkoulas and Mustafa Caglayan. Journal of International Money and Finance, 2001, 20:3, 379-399.

"Waves and Persistence in Merger and Acquisition Activity," with John T. Barkoulas and Atreya Chakraborty. Economics Letters, 2001, 70, 237-243.

1991-2000

"Long Memory in the Greek Stock Market," with John T. Barkoulas and Nickolaos Travlos. Applied Financial Economics, 2000, 10:2, 177-184.

"Persistence in International Inflation Rates," with John Barkoulas and Mustafa Caglayan. Southern Economic Journal, 1999, 65:4, 900-913.

"Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?," with John T. Barkoulas and Mustafa Caglayan. Journal of International Financial Markets, Institutions, and Money, 1999, 9, 359-376.

"Fractional Monetary Dynamics," with John Barkoulas and Mustafa Caglayan. Applied Economics, 1999, 31, 1393-1400.

"Q, Cash Flow and Investment: An Econometric Critique," with Clifford F. Thies. Review of Quantitative Finance and Accounting, 1999, 12:35-47.

"Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money," with Clifford F. Thies. Journal of Economics and Finance, 1998, 22:2-3, 5-12.

"Poison Pills, Optimal Contracting and the Market for Corporate Control : Evidence from Fortune 500 Firms," with A. Chakraborty. International Journal of Finance, 1998, 10:3, 1120-1138.

"Modelling Federal Reserve Discount Policy," with Meral Karasulu. Computational Economics, 1998, 11, 53-70.

"Fractional Dynamics in Japanese Financial Time Series," with John Barkoulas. Pacific-Basin Finance Journal, 1998, 6:1-2, 115-124.

"Stochastic Long Memory in Traded Goods Prices," with John Barkoulas and Gurkan Oguz. Applied Economics Letters, 1998, 5:135-138.

"Fractional Dynamics in a System of Long Term International Interest Rates," with John Barkoulas and Gurkan Oguz. International Journal of Finance, 1997, 9:2, 586-606.

"Long Memory and Forecasting in Euroyen Deposit Rates," with John Barkoulas. Financial Engineering and the Japanese Markets, 1997, 4:189-201.

"A Nonparametric Investigation of the 90-Day T-Bill Rate," with Joseph Onochie and John Barkoulas. Review of Financial Economics, 1997, 6:2, 187-198.

"Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates" with John Barkoulas. Journal of Financial Research, 1997, 20:3, 355-372. Reprinted in Financial Forecasting, Volume 2: Interest rates, exchange rates and volatility, Batchelor, Roy Dua, Pami, eds., Elgar Reference Collection. International Library of Critical Writings in Financial Economics, vol. 13. Cheltenham, U.K. and Northampton, Mass.: Elgar. p 40-57. 2003.

"A Model of Tied and Untied Foreign Aid: A Theoretical and Empirical Analysis," with B. Mak Arvin. Keio Economic Studies, 1997, 34:2, 71-79.

"Factor-GARCH Modeling of the Treasury Term Structure," with Basma Bekdache. In Computational Approaches to Economic Problems, H. Amman, B. Rustem and A. Whinston, eds., 1997. Dordrecht: Kluwer Academic Publishers.

"A Re-examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency," with John Barkoulas. Applied Financial Economics, 1997, 7:635-643.

"Long Term Dependence in Stock Returns," with John Barkoulas. Economics Letters, 1996, 53:3, 253-259.

"Time-Varying Risk Premia in the Foreign Currency Futures Basis," with John Barkoulas. Journal of Futures Markets, 1996, 16:7, 735-755.

"Tobin's Q, Intangible Capital, and Financial Policy," with Mark Klock and Clifford Thies. Journal of Economics and Business, 1996, 48:387-400.

"Agency Costs, Charter Amendments, and the Market for Corporate Control," with Atreya Chakraborty, in New Directions in Finance, D. Ghosh and S. Khaksari, eds., 1994. London: Routledge.

"Intensity of Anti-Takeover Defenses: The Empirical Evidence," with Atreya Chakraborty. In Computational Techniques for Econometrics and Economic Analysis, ed. D.A. Belsley., 1994. Dordrecht: Kluwer Academic Publishers.

"On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930," with Clifford Thies. Computer Science in Economics and Management, 1992, 5:221-246.

"Tobin's q and Measurement Error: Caveat Investigator," with Mark Klock and Clifford Thies, Journal of Economics and Business, 1991, 43: 241-252.

1981-1990

"Analyzing the Stability of Demand-for-Money Equations via Bounded-Influence Estimation Techniques," with Marilena Furno, Journal of Money, Credit and Banking, 1990, 22:4, 465-477.

"Structural Change and Economic Development in Southern Italy," with J. Munro and G. Schachter, Journal of Development Studies, 1990, 27:1, 54-71.

Review of Feedback: A New Framework for Economic Policy, by D.A. Kendrick, Journal of Economic Literature, 1990, 28:87-88.

"The Term Structure of Interest Rates and the Demand for Money during the Great Depression," with Clifford Thies, Southern Economic Journal, 1989, 56:490-498.

"Computational Aspects of Robust Estimators for Linear Regressions," with Marilena Furno, Computer Science in Economics and Management, 1989, 2: 221-237.

"Dynamic Adjustment of Firms' Capital Structures in a Varying-Risk Environment," with Joanne M. Doyle, Journal of Economic Dynamics and Control, 1988, 12:127-134.

Edited conference volume, Journal of Economic Dynamics and Control, 1988, 12:3. Contributions presented to the Ninth Annual Conference on Economic Dynamics and Control, Boston College, MA.

"The Effects of Price- and Output-Stabilising Policies in an Interdependent World Economy," Journal of Economic Dynamics and Control 1987, 11:195-200. Reprinted in Pierro Sraffa; Critical Assessments, Volume 3, John Cunningham, ed. 1995. London: Routledge.

"Coordination of Large Macroeconomies' Policies and the Stability of Small Economies," Journal of Economic Dynamics and Control. 1986, 10:21-25.

"Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977," with John H. Ciccolo, in Corporate Capital Structures in the United States, B. Friedman, ed., 1985. NBER/University of Chicago Press.

"The Evaluation of Historical Policy via Optimal Control Techniques," in Applied Decision Analysis and Economic Behaviour, A.J. Hughes-Hallett, ed., 1984. Martinus Nijhoff.

"The Effects of an Activist Policy on Macroeconomic Stability," with E.P. Howrey, in Proceedings of the Fourth IFAC/IFORS Conference on the Modeling and Control of National Economies, T. Basar, ed., 1984. Pergamon Press.

"An Application of the MRIO System for Italy to Measure the Relationship of Structural Change and Economic Development," with G. Schachter, J. Munro and E. Shea, Chapter 3 (pp. 95-124) in A Multiregional Input-Output System for Italy, G. Schachter and F. Pilloton, eds., 1983. Libra: Rome.

"Activist Policy and Macroeconomic Instability," with E. Philip Howrey, Economics Letters 1983, 11:1/2, 43-48.

"Evaluating Macroeconomic Policy: Optimal Control Solutions versus Suboptimal Alternatives," in Springer-Verlag Lecture Notes in Economics and Mathematical Systems No. 308, J. Gruber, ed., 1983.

"Forecasting the Effects of Policies Instigated by DIDMCA," with E.P. Shea, in Proceedings of the Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1982.

"The Effects of Federal Loan Guarantees on Small Entrepreneurs: Focus on Commercialization of Electric and Hybrid Vehicles," in Conference on the Economics of Federal Credit Activity, Congressional Budget Office, U.S. Congress, 1981.

1973-1980

"On the Sensitivity of Optimal Control Solutions," Journal of Economic Dynamics and Control, 1980, 2:205-208.

"Evidence on Structural Change in the Demand for Aggregate U.S. Imports and Exports," with Robert M. Stern and Mark Greene, Journal of Political Economy, 1979, 87:179-192. Unrevised version reproduced in Hearing before the Subcommittee on International Finance of the Committee on Banking, Housing, and Urban Affairs, U.S. Senate, 1979.

"A Logit Analysis of the Factor Content of West German Foreign Trade," with David Coe, Weltwirtschaftliches Archiv, 1978, 114:328-338.

"An Empirical Analysis of the Composition of Manufacturing Employment in the Industrialized Countries," with Edward Leamer and Robert M. Stern, European Economic Review, 1977.

"A Multi-Country Simulation of the Employment and Exchange-Rate Effects of Post Kennedy-Round Tariff Reductions," with Alan Deardorff and Robert M. Stern, in Akrasanee et.al., Trade and Employment in Asia and the Pacific, 1977. Honolulu: University Press of Hawaii.

"A Financial Input-Output System for the United States in 1972," with William B. Stronge, Proceedings of the Business and Economics Section of the American Statistical Association, 1975.

"Alternative Forecasting Models for the U.S. Flow-of-Funds," Proceedings of the Business and Economics Section of the American Statistical Association, 1974.

"Financial Portfolio Patterns in the U.S. Economy, 1961-1972," Proceedings of the Business and Economics Section of the American Statistical Association, 1973.

TECHNICAL PUBLICATIONS

"Stata tip 88: Efficiently evaluating elasticities with the margins command," Stata Journal, 2010, 10:2, 309-312.

"Stata tip 73: append with care!," Stata Journal, 2008, 9:1, 166-168. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Stata Tip 63: Modeling proportions," Stata Journal, 2008, 8:2, 299-303. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Ukrainische Banken: Politische Patronage von Bedeutung", with Mustafa Caglayan, Dorothea Schäfer and Oleksandr Talavera, Wochenbericht Nr. 23/2007, DIW Berlin, pp, 367-371.

"Stata Tip 45: Getting those data into shape", with Nicholas J. Cox, Stata Journal, 2007, 7:2, 268-271. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Stata Tip 40: Taking care of business...", Stata Journal, 2007, 7:1, 137-139. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Stata Tip 38: Testing for groupwise heteroskedasticity", Stata Journal, 2006, 6:4, 590-592. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Stata Tip 37: And the last shall be first", Stata Journal, 2006, 6:4, 588-589. Reprinted in Seventy-six Stata Tips, 2009. College Station, TX: Stata Press.

"Evaluation of Madison Park PLATO Training on August 2000 BPS City Algebra Test Achievement," ERIC Document Reproduction Service No. ED 470 287, http://eric.ed.gov.

"Multivariate portmanteau (Q) test for white noise," with Richard Sperling. Stata Technical Bulletin, 2001, 60, 39-41.

"A test for long-range dependence in a time series," with Tairi Room. Stata Technical Bulletin, 2001, 60, 37-39.

"Tests for stationarity of a time series: Update," with Richard Sperling. Stata Technical Bulletin, 2000, 58, 35-36.

"Tests for long memory in a time series," with Vince Wiggins. Stata Technical Bulletin, 2000, 57, 39-44.

"Tests for stationarity of a time series." Stata Technical Bulletin, 2000, 57, 36-39.

"Utility for time series data." Stata Technical Bulletin, 2000, 57, 2-4.

"Compacting time series data." Stata Technical Bulletin, 2000, 57, 44-45.

"Test for autoregressive conditional heteroskedasticity in regression error distribution," with Vince Wiggins. Stata Technical Bulletin, 2000, 54, 13-14.

"Tests for serial correlation in regression error distribution," with Vince Wiggins. Stata Technical Bulletin, 2000, 54, 14-15.

"Tests for heteroskedasticity in regression error distribution," with Nicholas J. Cox and Vince Wiggins. Stata Technical Bulletin, 2000, 54, 15-17.

"Metadata for user-written contributions to the Stata programming language: extensions," with Nicholas J. Cox. Stata Technical Bulletin, 2000, 54, 21-22.

"Metadata for user-written contributions to the Stata programming language," with Nicholas J. Cox. Stata Technical Bulletin, 1999, 52, 10-12.

SPONSORED RESEARCH

The Impact of Uncertainty on Research and Development Investment, British Academy, GBP 5,189, funded 1 March 2010-30 November 2011. Mustafa Caglayan and Christopher F Baum, co-investigators.

Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports: The Case for Developing Countries, British Academy, GBP 3,605, funded 1 January 2007-31 December 2008. Mustafa Caglayan and Christopher F Baum, co-investigators.

Finanz- und Kapitalstrukturmanagement vor dem Hintergrund differierender Finanzsysteme - Eine vergleichende Analyse des Verhaltens deutscher und US-amerikanischer Firmen (Finance and Capital Structure Management in Distinct Financial Systems - a Comparative Analysis of the Behaviour of German and US-American Firms), Fritz Thyssen Stiftung, EUR 102,000, funded 1 October 2006-31 December 2007. Dorothea Schäfer and Christopher F Baum, co-principal investigators.

The Effects of Exchange Rate Movements on International Trade Flows: A Bivariate GARCH Approach, British Academy, GBP 2,723, funded 1 January 2005-30 June 2006. Mustafa Caglayan and Christopher F Baum, co-investigators.

PRESENTATIONS

2011-

"R&D expenditures and the global diversification of export sales", 2012, with Mustafa Caglayan and Oleksandr Talavera. Department of Accountancy, Economics and Finance, Heriot-Watt University, Edinburgh.

"The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads", 2011, with Paola Zerilli. 5th International Conference on Computational and Financial Econometrics, University of London, UK.

"The effects of capital investment and R&D expenditures on firms' liquidity", 2011, with Mustafa Caglayan and Oleksandr Talavera. OFCE / SKEMA Business School, Sophia Antipolis.

"Financial market crashes and spikes in implied volatility", 2011, with Paola Zerilli. 18th Forecasting Financial Markets Conference, Marseille, France, 43rd Annual Money, Macro and Finance Research Group Conference, Birmingham, UK and OFCE/SKEMA Business School, Sophia Antipolis.

"An interpretation and implementation of the Theil-Goldberger 'mixed' estimator", 2011. Stata Conference 2011, Chicago.

2006-2010

"Financial market crashes and spikes in implied volatility: Do jump risk premia matter?", 2010, with Paola Zerilli. 4th International Conference on Computational and Financial Econometrics, University of London, UK.

"The impact of the financial system's structure on firms' financial constraints", 2010, with Dorothea Schäfer and Oleksandr Talavera. DIME International Workshop on Financial Constraints, Firm and Aggregate Dynamics, Sophia-Antipolis, France.

"Evaluating one-way and two-way cluster-robust covariance matrix estimates", 2010, with Austin Nichols and Mark E Schaffer. Stata Conference 2010, Boston and Sixteenth United Kingdom Stata Users Group Meetings, London.

"The effects of capital investment and R&D expenditures on firms' liquidity", 2010, with Mustafa Caglayan and Oleksandr Talavera. National University of Singapore and Sixteenth International Conference on Panel Data, University of Amsterdam, Netherlands.

"Corporate liquidity management and future investment expenditures", 2009, with Mustafa Caglayan and Oleksandr Talavera. University of York, UK.

"Instrumental variables and panel data methods in economics and finance," 2009. Durham Business School, UK.

"Implementing econometric estimators with Mata", 2009, with Mark E. Schaffer. Stata Conference 2009, Washington, DC and Fifteenth United Kingdom Stata Users Group Meeting, London.

"The volatility of international trade flows and exchange rate uncertainty", 2009, with Mustafa Caglayan. Fifteenth International Conference on Panel Data, University of Bonn, Germany.

"The impact of financial structure on firms' financial constraints: A cross-country analysis", 2009, with Dorothea Schäfer and Oleksandr Talavera. Fifteenth International Conference on Panel Data, University of Bonn, Germany.

"Using Mata to work more effectively in Stata: A tutorial," 2009. Seventh German Stata Users Group Meeting, Bonn, Germany.

"The effects of uncertainty and corporate governance on firms' demand for liquidity," 2009, with Atreya Chakraborty and James E. Bohn. Financial Intermediation Research Society, Prague, Czech Republic.

"The impact of financial structure on firms' financial constraints: A cross-country analysis", 2008, with Dorothea Schäfer and Oleksandr Talavera. DIW Berlin, Germany.

"Using instrumental variables techniques in economics and finance," 2008. Sixth German Stata Users Group Meeting, Berlin.

"Using Mata to work more effectively in Stata: A tutorial," 2008. Fourteenth United Kingdom Stata Users Group Meeting, London and West Coast Stata Users Group Meeting, San Francisco.

"On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Volatility", 2008, with Mustafa Caglayan. Heriot-Watt University, Scotland.

"Securities fraud class actions and corporate governance: New evidence on the role of merit", 2008, with Atreya Chakraborty and James E. Bohn. Conference on the Future of Securities Fraud Litigation, Claremont McKenna College, Claremont, CA and University of York, UK.

"Advances in microeconometrics and finance using instrumental variables", 2008. University of Nottingham, UK and University of Sheffield, UK.

"Instrumental variables: Overview and advances", 2007. Thirteenth United Kingdom Stata Users Group Meeting, London, and Rensselaer Polytechnic Institute, Troy, NY.

"Powerful new tools for time series analysis," 2007. Sixth North American Stata Users Group Meeting, Boston.

"Should you become a Stata programmer?", 2007. Fifth German Stata Users Group Conference, Essen, Germany.

"Firm Investment and Financial Frictions," 2007, with Mustafa Caglayan and Oleksandr Talavera. University of Strathclyde.

"The Effects of Short-Term Liabilities on Profitability: The Case of Germany", 2006, with Dorothea Schäfer and Oleksandr Talavera. 38th Annual Conference of the Money, Macro and Finance Research Group, University of York.

"Time series filtering techniques in Stata," 2006. Fifth North American Stata Users Group Meeting, Boston and Twelfth United Kingdom Stata Users Group Meeting, London.

"Firm Investment and Financial Frictions," 2006, with Mustafa Caglayan and Oleksandr Talavera. Thirteenth International Conference on Panel Data, University of Cambridge.

"Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports", 2006, with Mustafa Caglayan. Forecasting Financial Markets Conference, Aix en Provence.

"The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany", 2006, with Dorothea Schäfer and Oleksandr Talavera. Quantitative Finance Seminar, Humboldt University, Berlin, and Thirteenth International Conference on Panel Data, University of Cambridge.

"Uncertainty Determinants of Corporate Liquidity", 2006, with Mustafa Caglayan, Andreas Stephan and Oleksandr Talavera. University of York and University of Nottingham.

2001-2005

"cron, perl and Stata: automated production and presentation of a business-daily index", 2005, with Atreya Chakraborty. Fourth North American Stata Users Group Meetings, Boston.

"Discussion of Chen, Higgins, Mason", 2005. DIW Berlin/Journal of Financial Intermediation/Federal Reserve Bank of Philadelphia Conference on Bank Relationships, Credit Extension, and the Macroeconomy, Berlin.

"A Little Bit of Stata Programming Goes a Long Way," 2005. Invited lecture at Eleventh UK Stata Users Group meetings, London.

"Re-examining the Transmission of Monetary Policy: What More Do a Million Observations Have to Say", 2004, with Mustafa Caglayan and Neslihan Ozkan. 2004 Money, Macro and Finance Research Group Meetings, London.

"The Second Moments Matter: The Response of Bank Lending Behavior to Macroeconomic Uncertainty", 2004, with Mustafa Caglayan and Neslihan Ozkan. Tenth International Conference of Society for Computational Economics, Amsterdam.

"Rolling Regressions with Stata," 2004. Third North American Stata Users Group Meeting, Boston.

"Topics in Time Series Modeling with Stata," 2004. invited lecture at Tenth UK Stata Users Group meetings, London.

"The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms," 2003, with Mustafa Caglayan, Neslihan Ozkan and Oleksandr Talavera. Economic Research Centre, Deutsche Bundesbank (2005); Department of Economics, University of Leicester; Management School, University of Liverpool; Department of Economics, University College Dublin; Department of Economics, University of Tennessee-Knoxville; Ninth International Conference of Society for Computational Economics, Seattle; and Department of Economics, University of Connecticut.

"The Impact of Macroeconomic Uncertainty on Bank Lending Behavior," 2002, with Mustafa Caglayan and Neslihan Ozkan. Eighth International Conference of Society for Computational Economics, Aix en Provence; the 57th European Meeting of the Econometric Society, Venice; Universities of Zaragoza, Oklahoma, Bristol, and Liverpool; Graduate School of International Economics and Finance, Brandeis University; Bilkent University, Ankara; and Sabançi University, Istanbul.

"Dynamics of Intra-EMS Interest Rate Linkages," 2002, with John Barkoulas. Department of Economics and Accounting, University of Liverpool; Department of Economics, Heriot-Watt University, Edinburgh; City University Business School, London; and Eighth International Conference of Society for Computational Economics, Aix en Provence.

"Efficient Management of Multi-Frequency Panel Data with Stata," 2001. North American Stata User Group Meeting, Boston, MA, and Seventh UK Stata Users' Group Meeting, London.

"Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis employing High-Frequency Data," 2001, with Mustafa Caglayan and Neslihan Ozkan. 2nd CeNDEF Workshop on Economic Dynamics, Faculty of Economics and Econometrics, University of Amsterdam; Department of Economics and Accounting, University of Liverpool; and Seventh International Conference on Computing in Economics and Finance, Yale University.

1991-2000

"Enhancing access to statistical software tools and datasets for research and instruction," 2000. Sixth UK Stata Users' Group Meeting, London.

"Enhancing Information Flow in Economics via Linked Metadata Archives," 1999. Invited presentation at 53rd AUBER (Association for University Business and Economic Research) Fall Conference, Little Rock, Arkansas.

"The Fisher Equation in the Context of Fractional Cointegration," with Basma Bekdache, 1999. Fifth International Conference on Computing in Economics and Finance (CEF'99), Boston College.

"Temporal Aggregation and the Behavior of Bond Term Premia: An Empirical Investigation," with Basma Bekdache, 1998. Fourth International Conference on Computing in Economics and Finance (CEFES'98), University of Cambridge.

"Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," with John T. Barkoulas and Mustafa Cagyalan, 1998. Fourth International Conference on Computing in Economics and Finance (CEFES'98), University of Cambridge.

"The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," with Basma Bekdache, 1997. Third International Conference on Computing in Economics and Finance, Stanford.

"Credible Disinflation Policy in a Dynamic Setting," with Meral Karasulu, 1997. Third International Conference on Computing in Economics and Finance, Stanford.

"Monetary Policy in the Transition to a Zero Federal Deficit," with Meral Karasulu, 1997. Association of Private Enterprise Education Conference, Washington, DC.

"Essential Nonparametric Prediction of U.S. Interest Rates," with John Barkoulas, 1996. European Meetings of the Econometric Society, Istanbul.

"An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," with O. Liu, 1994. European Meetings of the Econometric Society, Maastricht, The Netherlands; 1994 Meetings of the Financial Management Association, St. Louis; and 1995 Allied Social Science Association Meetings, Washington, DC.

"Comparing Alternative Models of the Term Structure of Interest Rates," with B. Bekdache, 1994. IFAC Workshop on Computing in Economics and Finance, Amsterdam; and 1995 Annual Meetings of the Financial Management Association, New York.

"The Dynamics of Predation: Are Golden Parachutes and Shark Repellents in Shareholders' Interests?," with A. Chakraborty, 1994. IFAC Workshop on Computing in Economics and Finance, Amsterdam, Netherlands.

"An Alternative Nonlinear General Equilibrium Model of the Term Structure of Interest Rates," with O. Liu, 1993. 1993 Meetings of the Society for Economic Dynamics and Control, Nafplio, Greece.

"Tobin's Q and Financial Policy Revisited," with M. Klock and C. Thies, 1992. International Symposium on Economic Modelling, Göteborg, August 1992.

"Anti-Takeover Amendments, Managerial Entrenchment and Shareholders' Interests," with A. Chakraborty, 1992. Financial Management Association, San Francisco, October 1992; and SEDC Meetings, Montréal, June 1992.

1975-1990

"P*: Anchor for the Price Level, or Will-o'-the-Wisp?," with M. Furno, 1990. ASSA Meetings, Washington, DC.

"The Pricing of Railroad Bonds, 1925-1930," with C. Thies, 1990. Eastern Finance Association Meetings, Charleston, SC.

"Testing the Stability and Reliability of U.S. Money Demand Functions," 1989. IFAC/SEDC conference, Heriot-Watt University, Edinburgh.

"The Effects of Capital Market Imperfections on Manufacturing Firms' Capital Investment and Financing Behavior," 1989. Eastern Economic Association conference, Baltimore.

"Diagnosis of Time-Series Regression Equations via Bounded-Influence Instrumental-Variables Estimation," with M. Furno, 1988. TIMS/ORSA Joint Conference, Denver.

"Modeling Firms' Capital Structure Decisions: A Microanalytic Perspective," with J. Doyle, 1988. TIMS/ORSA Joint Conference, Washington, DC.

"Bounded-Influence Estimation Techniques for the Analysis of Structural Macro-econometric Models," with M. Furno, 1988. International Symposium on Economic Modelling Conference, London.

"Bounded-Influence Instrumental Variable Estimation Techniques for the Diagnosis of Time-Series Regression Equations," with M. Furno, 1988. Tenth Annual Conference on Economic Dynamics and Control, Tempe, AZ.

"Modeling Corporate Balance Sheet Adjustment Behavior, 1977-1983," with J. Doyle, 1987. Meetings of the Eastern Economic Association, Washington, DC.

"Modeling the Treasury Yield Curve," 1986. Meetings of the Eastern Economic Association, Philadelphia.

"The Term Structure of Interest Rates and the Stability of the Interwar Demand for Money," with C. Thies, 1985. Fifth World Congress of the Econometric Society, Cambridge, MA.

"Evaluating Structural Change and Economic Development," 1985, with J. Munro and G. Schachter. Meetings of the Western Regional Science Association, San Diego.

"Micro Analysis of Corporate Debt Behavior, 1953-77," 1985, with C. Thies. Meetings of the Eastern Economic Association, Pittsburgh.

"The Term Structure of Interest Rates in the U.S. and the Demand for Money: Interwar Evidence," 1984, with C. Thies. Meetings of the Eastern Economic Association, New York.

"Assessing Industrial Structure for Italian Regional Development," 1983, with G. Schachter, J. Munro, and E. Shea. Meetings of the Canadian Regional Science Association, Vancouver.

"Assessing Financial Innovation in Response to the 1980 Monetary Reform Act: An Information Theoretic Approach," 1981, with E.P. Shea. Meetings of the American Economic Association.

"An Examination of Postwar U.S. Stabilization Policy: Monetary and Fiscal Policy in an Accelerationist World," 1981, with E.P. Howrey. Third Economics and Control Conference, Society for Economic Dynamics and Control, Technical University of Denmark.

"On Evaluating the Effects of Stabilization Policies," 1979, with E.P. Howrey. Western Economic Association Meetings, Las Vegas.

"The Evaluation of Historical Macroeconomic Policies via Suboptimal Control," 1979. Eastern Economic Association Meetings, Boston.

"Forecasting Flow-of-Funds Quarterly Data with the Preferred Portfolio Pattern Model," 1975, with W. Stronge. ORSA/TIMS Conference, Las Vegas.

"Forecasting Aggregate Financial Flows," 1975, with W. Stronge. ORSA/TIMS Conference, Chicago.

PH.D. DISSERTATION SUPERVISION

Marketa Halova, "Essays on International Asset Portfolios and Commodities Trade," 2012 (co-director).

Kamer Karakurum Özdemir, "A Test of the Credibility-Enhancing Role of the IMF: The Case of Mexico," 2003.

Neslihan Ozkan, "Three Essays on Capital Investment and Finance," 1998.

Gürcan Gülen, "A Multifaceted Analysis of the World Crude Oil Market," 1997.

Meral Karasulu, "Essays on the European Exchange Rate Target Zone Mechanism," 1996.

Van Newby, "Essays on Exchange Rates," 1995 (co-director).

John Barkoulas, "Essays on International Capital Mobility, the Efficiency Hypothesis and Risk Premia in the Currency Futures Markets," 1994.

Basma Bekdache, "Essays on the Term Structure of Interest Rates," 1994.

Olin Liu, "An Alternative Nonlinear General Equilibrium Model of the Term Structure of Interest Rates," 1994.

Xiaoqiang Hu, "Three Essays on Financial Economics and International Economics," 1994 (co-director).

Joanne Doyle, "An Empirical Investigation into Internal Adjustment Costs in Neoclassical Investment Models", 1993.

Charles Anderson, "Applications of Integration, Cointegration, and Seasonal Differencing to Corporate Earnings Models," 1990.

Serhan Ciftcioglu, "The Macroeconomic Stability of a Small Open Economy under Fixed and Flexible Rates," 1988.

Marilena Furno, "Robust Methods for Macroeconomic Models," 1988.

Carol Ann Luttrell, "The Redistribution of Wage Income Caused by Price Level Changes," 1987.

James P. Lesage, "A Rational Expectations Model of Local Payroll Tax Regimes," 1983.

Clifford F. Thies, "New Estimates of the Term Structure of Interest Rates: 1920-1939," 1982.

Tatiana Farina, "Three Essays on Consumer Behavior," 2012.

Pinar Uysal, "Essays in Macroeconomics," 2010.

Chi Wan, "Essays in Financial Economics," 2010.

Nicholas Sim, "Modeling Quantile Dependence," 2010.

Olga Sorokina, "Essays in Credit Constraints and Education," 2010.

Natalia Zhivan, "The Employment of Older Workers," 2009.

Andrew Ryan, "The Design of Pay-for-Performance and Public Quality Reporting for Hospital Care in Medicare: Theory and Empirical Evidence," Heller School for Social Policy and Management, Brandeis University, 2008.

Pallavi Seth, "Monopsony Power and Asymmetric Information: Microeconometrics Applied to Health Care", 2008.

Darrel Barbato, "Essays in Applied Microeconometrics," 2007.

Yoto Yotov, "Labor Market Imperfections, Political Pressure, and Trade Patterns", 2007.

Margarita Sapozhnikov, "Three Essays in Applied Microeconomics", 2007.

Todd Prono, "GARCH-Based Identification of Endogenous Regressors", 2007.

Emmanuel Lartey, "Capital Inflows, Dutch Disease Effects and Monetary Policy", 2006.

Paola Zerilli, "Essays in Asset Pricing", 2006.

Oleksandr Talavera, "Essays on the Effects of Uncertainty on Corporate Capital Structure", Europa-Universität Viadrina, Frankfurt an der Oder, 2005.

Mariano Kulish, "Money, Interest Rates and Monetary Policy", 2005.

Francesco Zanetti, "Non-Walrasian Labor Markets, Business Cycles, and Monetary and Fiscal Policies," 2005.

Petia Petrova, "Three Essays on the Applied Microeconomics of Households," 2005.

Tairi Room, "Essays on Labor Markets and Empirical Finance," 2004.

Michael D. Giandrea, "The Impact of Mergers on Productivity and Profits," 2002.

Mustafa Caglayan, "Essays in Macroeconomics," 1997.

Wenjie Fan, "Derivatives Pricing with a GARCH Model," 1997.

John S. Jordan, "Managers' Personal Compensation of their Firm's Shares: Is It Compensation for Risk-Taking? A Case Study of the Banking Industry," 1997.

Atreya Chakraborty, "Agency Cost, Charter Amendments and the Market for Corporate Control," 1994.

Abdikarim Farah, "Essays in Macroeconomics and Finance," 1993.

Peter J. Nigro, "Search and Duration: An Application to Bankruptcy," 1993.

Sarah L. Glavin, "Monitoring, Litigation and Regulation," 1992.

E. Demet Haksever, "A Disequilibrium Macro Model of the Turkish Economy for the Assessment of Optimal Stabilization Policies," University of Texas-Austin, 1991.

Mark Kazarosian, "Precautionary Savings-A Panel Study," 1991.

E. Murat Ucer, "Essays on the Monetary Origins of Price Fluctuations in the Unofficial Market for Foreign Exchange in Turkey," 1991.

Kathryn Dorman, "Asset Risk and the Fisher Effect," 1988.

Gary S. Fissel, "Essays in International Finance and Macroeconomics," 1988.

Tullio Jappelli, "Essays on Consumption, Liquidity Constraints and Fiscal Policy," 1988.

James C. Cosgrove, "The Dissaving Behavior of the Retired Elderly," 1987.

John P. O'Keefe, "Firm Size, Transactions Costs and Returns on Common Equity," 1987.

Phyllis W. Isley, "Estimation of the Fisher Effect on the Term Structure of Interest Rates Employing a Term Structure of Inflationary Expectations," University of New Hampshire, 1986.

Patricia Lasonde, "The Heckscher-Ohlin Theorem and the Factor Content of Trade: Empirical Evidence," 1984.

Mario Fortuna, "Separability in a Model of Household Demand for Financial Assets under Uncertainty," 1983.

Edward Shea, "Large Bank Liability Management Behavior and the Market for Immediately Available Funds," 1979.

Harshana Kasseeah, "Financing Decisions and Financial Constraints: Evidence from the UK and China," University of Nottingham, 2008.

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