We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask s[...]

This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary pha[...]

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of ti[...]

Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock mar[...]

A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisi[...]

Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at[...]

The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy. These measures are calculated using the [...]

Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money th[...]

While a number of central banks publish their own business conditions indicators that rely on non-random sampling, knowledge about their statistical accuracy has been lim[...]

Treating imports as intermediate inputs to domestic production, the author adopts the translog function approach to model real gross domestic income (GDI) in Canada over [...]