The North American Journal of Economics and Finance

1992 - 2024

Continuation of North American Review of Economics and Finance.

Current editor(s): Hamid Beladi

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 29, issue C, 2014

The small open macroeconomy and the yield curve: A state-space representation pp. 1-21

Ronald H. Lange

Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions pp. 22-35

Marcos Álvarez-Díaz, Shawkat Hammoudeh and Rangan Gupta

Country and industry convergence of equity markets: International evidence from club convergence and clustering pp. 36-58

Nicholas Apergis, Christina Christou and Stephen Miller

Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns pp. 59-83

Hung-Hsi Huang, Shin-Hung Lin, Ching-Ping Wang and Chia-Yung Chiu

Frontier stock market integration and the global financial crisis pp. 84-103

Mei-Ping Chen, Pei-Fen Chen and Chien-Chiang Lee

How important can bank lending shocks be for economic fluctuations? pp. 104-123

Jørn I. Halvorsen and Dag Henning Jacobsen

Do stock markets discipline US Bank Holding Companies: Just monitoring, or also influencing? pp. 124-145

Lieven Baele, Valerie De Bruyckere, Olivier De Jonghe and Rudi Vander Vennet

The asymmetric predictability of high-yield bonds pp. 146-155

Tai-Wei Zhang and Wei-Hwa Wu

Probability of multiple crossings and pricing of double barrier options pp. 156-184

Geon Ho Choe and Ki Hwan Koo

Risk management in life insurance companies: Evidence from Taiwan pp. 185-199

Jin-Li Hu and Hsueh-E Yu

The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs pp. 200-217

Chadd B. Hunzinger and Coenraad C.A. Labuschagne

Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market pp. 218-238

Rodrigo Herrera and Bernhard Schipp

The linkage between insurance activity and banking credit: Some evidence from dynamic analysis pp. 239-265

Guanchun Liu, Lei He, Yiding Yue and Jiying Wang

The symmetrical and positive relationship between crude oil and nominal exchange rate returns pp. 266-284

Kuang-Liang Chang

Public and private sector jobs, unreported income and consumption gap in India: Evidence from micro-data pp. 285-300

Sarani Saha, Poulomi Roy and Saibal Kar

Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone pp. 306-321

Ansgar Belke and Andreas Rees

Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework pp. 322-335

Sabri Boubaker and Jamel Jouini

Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets pp. 336-348

Stelios Bekiros

Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter? pp. 349-380

Chaker Aloui and Hela ben Hamida

The impact of China on stock returns and volatility in the Taiwan tourism industry pp. 381-401

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

The deterministic shift extension and the affine dynamic Nelson–Siegel model pp. 402-417

Stéphane Dang-Nguyen, Jean-Marc Le Caillec and Alain Hillion

What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors pp. 418-440

Mehmet Balcilar, Riza Demirer and Shawkat Hammoudeh

Trends in international commodity prices: Panel unit root analysis pp. 441-451

Saban Nazlioglu

Islamic equity market integration and volatility spillover between emerging and US stock markets pp. 452-470

Jihed Majdoub and Walid Mansour

Volume 28, issue C, 2014

Monetary policy, global liquidity and commodity price dynamics pp. 1-16

Ansgar Belke, Ingo G. Bordon and Torben W. Hendricks

Real-time estimation of the equilibrium real interest rate: Evidence from Japan pp. 17-32

Shingo Umino

Banks’ capital, regulation and the financial crisis pp. 33-58

Joao Teixeira, Francisco José Silva, Ana V. Fernandes and Ana C.G. Alves

Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes pp. 59-76

Francesca Di Iorio and Stefano Fachin

Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options pp. 77-89

Qiang Liu and Shuxin Guo

Impact of leveraged ETF trading on the market quality of component stocks pp. 90-108

Mingsheng Li and Xin Zhao

On the impossibility of insider trade in rational expectations equilibria pp. 109-118

Alexander Zimper

Term structure estimation in the presence of autocorrelation pp. 119-129

Januj Juneja

Central banks’ interest rate projections and forecast coordination pp. 130-137

Christian Pierdzioch and Jan-Christoph Rülke

Forecast combination for U.S. recessions with real-time data pp. 138-148

Laurent Pauwels and Andrey Vasnev

Institutional changes of Specified Purpose Acquisition Companies (SPACs) pp. 149-169

Milan Lakicevic, Yochanan Shachmurove and Milos Vulanovic

Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty pp. 170-189

Rangan Gupta, Shawkat Hammoudeh, Won Joong Kim and Beatrice Desiree Simo-Kengne

Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks pp. 190-205

Muhammad Shahbaz, Mohammad Iqbal Tahir, Imran Ali and Ijaz Ur Rehman

Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation? pp. 206-220

Michael Donadelli and Antonio Paradiso

An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry pp. 221-238

Marc W. Simpson and Axel Grossmann

Interest rate risk propagation: Evidence from the credit crunch pp. 242-264

Hsin-Feng Yang, Chih-Liang Liu and Ray Chou

Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets pp. 265-272

Donald Lien, Li Yang, Chunyang Zhou and Geul Lee

Distribution of stock ratings and analyst recommendation revision pp. 273-286

Chia-Ying Chan, Huai-Chun Lo and Yi-Ru Su

Local institutional shareholders and corporate hedging policies pp. 287-312

Vivian W. Tai, Yi-Hsun Lai and Lin Lin

Obstacle factors of corporate social responsibility implementation: Empirical evidence from listed companies in Taiwan pp. 313-326

Shu-Ling Yeh, Yu-Shan Chen, Yi-Hui Kao and Sou-Shan Wu

The role of lending-relationship banks in the underwriting of seasoned equity offerings: Conflict of interest or certification? pp. 327-346

Hsuan-Chi Chen, De-Wai Chou, Christine W. Lai and Yi-Ting Yeh

Is there an inverse U-shaped relationship between pay and performance? pp. 347-357

Hsien-Chang Kuo, Dan Lin, Donald Lien, Lie-Huey Wang and Li-Jen Yeh

Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan pp. 358-374

Zhijuan Chen, William T. Lin, Changfeng Ma and Shih-Chuan Tsai

Volume 27, issue C, 2014

Excess volatility and the cross-section of stock returns pp. 1-16

Yuming Wang and Jinpeng Ma

Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework pp. 17-33

Philip L.H. Yu, W.K. Li and F.C. Ng

Can preemptive bidding in takeover auctions be socially optimal? Yes it can pp. 34-47

Anna Dodonova and Yuri Khoroshilov

Non-interest income, profitability, and risk in banking industry: A cross-country analysis pp. 48-67

Chien-Chiang Lee, Shih-Jui Yang and Chi-Hung Chang

Multilateral adjustment, regime switching and real exchange rate dynamics pp. 68-87

Jeannine Bailliu, Ali Dib, Takashi Kano and Lawrence Schembri

Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis pp. 88-103

Shugo Yamamoto

Spillovers among CDS indexes in the US financial sector pp. 104-113

Go Tamakoshi and Shigeyuki Hamori

Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation pp. 114-144

Marcelo Moura and Rafael L. Gaião