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Moderator, Faculty Micro Resource Center
Faculty Technology Contact for the department of economics.
Working Paper 664. Christopher F Baum, James G. Bohn (UHY Advisors) and Atreya Chakraborty (University of Massachusetts-Boston), "Securities Fraud Class Actions and Corporate Governance: New Evidence on the Role of Merit" (rev. 01/2008: 440 Kb, PDF)
Working Paper 657. Christopher F Baum, Mustafa Caglayan (University of Sheffield), Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "Political Patronage in Ukranian Banking" (rev. 02/2008: 133 Kb, PDF; forthcoming, Economics of Transition)
Working Paper 646. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (DIW Berlin), "Uncertainty Determinants of Firm Investment" (07/2006: 140 Kb, PDF; published, Economics Letters, 98:3, 282-287, 2008)
Working Paper 641. Christopher F Baum and Mustafa Caglayan (University of Sheffield), "Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports" (rev. 02/2008: 212 Kb, PDF)
638. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (Aberdeen Business School), "On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty" (rev. 04/2008: 211 Kb, PDF; previously circulated as "Firm Investment and Financial Frictions")
Working Paper 637. Christopher F Baum, Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany" (rev. 05/2006: 188 Kb, PDF)
Working Paper 636. Christopher F Baum, Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "The Effects of Short-Term Liabilities on Profitability: A Comparison of German and US Firms" (rev. 04/2007: 164 Kb, PDF)
Working Paper 634. Christopher F Baum, Mustafa Caglayan (University of Sheffield), Andreas Stephan (European University Viadrina & DIW Berlin) and Oleksandr Talavera (DIW Berlin), "Uncertainty Determinants of Corporate Liquidity" (01/2006: 307 Kb, PDF; forthcoming, Economic Modelling)
Working Paper 612. Christopher F Baum, " A little bit of Stata programming goes a long way..." (06/2005: 238 Kb, PDF format)
Working Paper 602. Christopher F Baum, Andreas Stephan (European University Viadrina & DIW Berlin) and Oleksandr Talavera (DIW Berlin), "The Effects of Uncertainty on the Leverage of Non-Financial Firms" (rev. 07/2007: 200 Kb, PDF; forthcoming, Economic Inquiry)
Working Paper 598. Christopher F Baum, "Stata: The language of choice for time series analysis?" (rev. 09/2004: 148 Kb, PDF format; published, Stata Journal, 2005, 5:46-63)
Working Paper 581. Christopher F Baum, "A review of Stata 8.1 and its time series capabilities" (10/2003: 218 Kb, PDF format; published, International Journal of Forecasting, 2004, 20:151-161.)
Working Paper 566. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms" (06/2003: 128 Kb, PDF format)
Working Paper 561. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), " The role of uncertainty in the transmission of monetary policy effects on bank lending" (rev. 07/2007: 224 Kb, PDF format)
Working Paper 558. John Barkoulas (University of Tennessee) and Christopher F Baum, "Long-Memory Forecasting of U.S. Monetary Indices" (05/2003: 4 Mb, PDF format; published, Journal of Forecasting, 2006, 25, 291-302)
Working Paper 552. Christopher F Baum, Mustafa Caglayan (University of Glasgow), Neslihan Ozkan (University of Bristol) and Oleksandr Talavera (DIW Berlin), "The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity" (rev. 12/2005: 232 Kb, PDF format; published, Review of Financial Economics. 15, 289-304, 2006. Prior version circulated as Discussion Paper No. 04-10, ZEW, Mannheim, Germany)
Working Paper 545. Christopher F Baum, Mark E. Schaffer (Heriot-Watt University) and Steven Stillman (New Zealand Department of Labour), "Instrumental variables and GMM: Estimation and testing" (rev. 02/2003: 384 Kb, PDF format; published, Stata Journal, 3(1), 1-31, 2003)
Working Paper 531. Christopher F Baum, "Facilitating Applied Economic Research with Stata" (01/2002: 109 Kb, PDF format; Chapter 7 in Programming Languages and Systems in Computational Economics and Finance, Soren S. Nielsen, ed.)
Working Paper 521. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "The second moments matter: The response of bank lending behavior to macroeconomic uncertainty" (rev. 03/2007: 120 Kb, PDF format; previously circulated as "The Impact of Macroeconomic Uncertainty on Bank Lending Behavior")
Working Paper 520. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "Sectoral Fluctuations in U.K. Firms' Investment Expenditures" (rev. 06/2003: 111 Kb, PDF format; published, Economics Bulletin, 5:13, 2003)
Working Paper 492. Christopher F Baum and John Barkoulas (Georgia Southern University), "Dynamics of Intra-EMS Interest Rate Linkages" (rev. 06/2004: 2.6 Mb, Adobe Acrobat format; published, Journal of Money, Credit and Banking, 2006, 38, 469-482)
Working Paper 488. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Liverpool), "Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports" (rev. 07/2002: 1349 Kb, PDF format; pubished, Journal of Applied Econometrics, 19:1-23, 2004)
Working Paper 472. Basma Bekdache (Wayne State University) and Christopher F Baum, "A re-evaluation of empirical tests of the Fisher hypothesis" (09/2000: 224 Kb, PDF format)
Working Paper 464. Natalya Delcoure (Louisiana Tech University), John Barkoulas (University of Tennessee), Christopher F Baum and Atreya Chakraborty (Charles River Associates), "The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test" (06/2000: 76 Kb, PDF format; published, Global Finance Journal, 14, 83-93.)
Working Paper 461. John Barkoulas (Louisiana Tech University), Christopher F. Baum and Atreya Chakraborty (Charles River Associates), "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums" (rev. 09/2001: 194 Kb, PDF format; published, Journal of Macroeconomics, 2003, 25, 109-122)
Working Paper 422. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and John T. Barkoulas (Louisiana Tech University), "Exchange Rate Uncertainty and Firm Profitability" (revised 06/2000: 120 Kb, PDF format; published, Journal of Macroeconomics, 2001, 23, 565-576)
Working Paper 409. Basma Bekdache (Wayne State University) and Christopher F Baum, "Modeling fixed income excess returns" (Rev. 04/2000: 716 Kb, PDF format)
Working Paper 405. John T. Barkoulas (Louisiana Tech University), Christopher F Baum and Mustafa Caglayan (University of Liverpool), "Exchange Rate Effects on the Volume and Variability of Trade Flows" (revised 09/2001: 132 Kb, PDF format; published, Journal of International Money and Finance, 21, 481-496, 2002)
Working Paper 404. Christopher F Baum, Mustafa Caglayan (Koc University) and John T. Barkoulas (Louisiana Tech University), "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era" (rev. 11/1999: 1447 Kb, PDF format; published, Journal of International Money and Finance, 20, 379-399, 2001)
Working Paper 396. John T. Barkoulas (Louisiana Tech University), Christopher F Baum and Atreya Chakraborty (Brandeis University), "Waves and Persistence in Merger and Acquisition Activity" (Rev. 12/1999: 413 Kb, PDF format; published, Economics Letters, 70, 237-243, 2001)
Working Paper 393. Atreya Chakraborty (Brandeis University), Christopher F Baum, "Poison Pills, Optimal Contracting and the Market for Corporate Control: Evidence from Fortune 500 Firms" (11/97: 51 Kb, PDF format; published, International Journal of Finance, 1998, 10:3, 1120-1138)
Working Paper 384. Christopher F Baum and Clifford F. Thies (Shenandoah University), "Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money" (9/97: 197 Kb, PDF format; published, Journal of Economics and Finance, 1998, 22:2-3, 5-12)
Working Paper 380. Christopher F Baum, John T. Barkoulas, and Mustafa Caglayan, "Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?" (Rev. 01/99: 170 Kb, PDF format; published, Journal of International Financial Markets, Institutions, and Money, 1999, 9, 359-376)
Working Paper 377. John T. Barkoulas (Georgia Southern University), Christopher F. Baum, Mustafa Caglayan (University of Leicester) and Atreya Chakraborty (The Brattle Group), "Persistent Dependence in Foreign Exchange Rates? A Reexamination" (rev. 04/2000: 504 Kb, PDF format; published in Global Financial Markets: Issues and Strategies, D. Ghosh and M. Ariff, eds., Praeger Publishers, 2004)
Working Paper 375. Christopher F Baum and Meral Karasulu (Bogazici University), "Credible Disinflation Policy in a Dynamic Setting" (6/97: 456 Kb, PDF format)
Working Paper 372. Basma Bekdache (Wayne State University) and Christopher F Baum, "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates" (6/97: 570 Kb, PDF format)
Working Paper 363. Christopher F Baum and Meral Karasulu (Bogazici University), "Monetary Policy in the Transition to a Zero Federal Deficit" (4/97: 105 Kb, PDF format; forthcoming in Inflation, Fiscal Policy and Central Banks, Nova Science Publishers)
Working Paper 361. John Barkoulas and Christopher F Baum, "Long Memory and Forecasting in Euroyen Deposit Rates" (2/97: 199 Kb, PDF format; published in Financial Engineering and the Japanese Markets, 1997, 4:189-201)
Working Paper 356. John T. Barkoulas, Christopher F Baum and Nickolaos Travlos, "Long Memory in the Greek Stock Market" (12/96: 161 Kb, PDF format; published, Applied Financial Economics, 2000, 10:2, 177-184.)
Working Paper 349. John T. Barkoulas, Christopher F Baum and Gurkan S. Oguz (Tufts), "Stochastic Long Memory in Traded Goods Prices" (10/96: 173 Kb, PDF format; published in Applied Economics Letters, 1998, 5:135-138)
Working Paper 335. Christopher F Baum and Meral Karasulu (Bogazici University), "Modelling Federal Reserve Discount Policy" (rev. 10/96: 93 Kb, PDF format; published, Computational Economics, 11, 53-70, 1998)
Working Paper 334. John Barkoulas and Christopher F Baum, "Fractional Dynamics in Japanese Financial Time Series" (rev. 7/97: 99 Kb, PDF format; Pacific-Basin Finance Journal, 6:1/2, 1998))
Working Paper 333. Christopher F Baum, John Barkoulas and Mustafa Caglayan, "Persistence in International Inflation Rates" (rev. 9/97: 714 Kb, PDF format; published in Southern Economic Journal, 65:4 (1999), 900-913)
Working Paper 332. Christopher F Baum and Clifford F. Thies (Shenandoah University), "Q, Cash Flow and Investment: An Econometric Critique" (revised 8/97: 182 Kb, PDF format; published in Review of Quantitative Finance and Accounting, 1999, 12:35-47).
Working Paper 321. John Barkoulas, Christopher F Baum and Mustafa Caglayan, "Fractional Monetary Dynamics" (rev. 01/98: 57 Kb, PDF format; published in Applied Economics, 1999, 31, 1393-1400.)
Working Paper 320. John Barkoulas, Christopher F Baum, Joseph Onochie (Baruch College), "A Nonparametric Investigation of the 90-Day T-Bill Rate" (rev. 5/97: 90 Kb, PDF format). Published in Review of Financial Economics, 6:2, 187-198.
Working Paper 317. John Barkoulas, Christopher F Baum, "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates" (rev. 10/96: 75 Kb, PDF format. Published in Journal of Financial Research, Fall 1997, 20:3, 355-372).
Working Paper 315. John Barkoulas, Christopher F Baum and Gurkan S. Oguz, "Fractional Cointegration Analysis of Long Term International Interest Rates" (rev. 10/96: 281 Kb, PDF format). International Journal of Finance, 1997, 9:2, 586-606.
Working Paper 314. John Barkoulas and Christopher F Baum, "Long Term Dependence in Stock Returns" (4/96: 178 Kb, PDF format; published in Economics Letters, 53:3, 253-259)
Working Paper 313. John Barkoulas, Christopher F. Baum, and Atreya Chakraborty, "Nearest-Neighbor Forecasts of U.S. Interest Rates" (2/96: 231 Kb, PDF format; published in International Journal of Banking and Finance, 1:1, 119-135, 2003)
Working Paper 311. Christopher F Baum and John T. Barkoulas, "A Re-examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency" (2/96: 352Kb, PDF format). Published in Applied Financial Economics, 1997, 7:635-643.
Working Paper 288. Christopher F Baum and Basma Bekdache, Factor-GARCH Modeling of the Treasury Term Structure (revised 6/96: 221 Kb, PDF format): published in H. Amman et al.,eds., Computational Approaches to Economic Problems, Dordrecht: Kluwer Academic Publishers, 1997.
Working Paper 281. Christopher F Baum and John T. Barkoulas, Time-Varying Risk Premia in the Foreign Currency Futures Basis (192Kb, PDF format): published in Journal of Futures Markets 16:7, 735-755.
Working Paper 275. Olin Liu (International Monetary Fund) and Christopher F. Baum, "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates" (10/1994: 1.8 Mb, PDF format)
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