Research

Photo credit: Craig Schreiner, UW-Whitewater

Publications

Temporal Aggregation of Random Walk Processes and Implications for Economic Analysis, with Ivan Paya, Studies in Nonlinear Dynamics and Econometrics, 24 (2), April 2020


Nonlinearities in the Real Exchange Rate: New Evidence, with Ming Chien Lo and Olena Mykhaylova, Applied Economics, 51(25), April 2019, pp. 2731-2743


Exploring International Differences in Inflation Dynamics, with Olena M. Staveley-O’Carroll, Journal of International Money and Finance, 79, December 2017, pp. 115 - 135


Government Digital Information Discovery and Exploration: The Case of Unravelling Tourism-led Growth Paradox in China”, with Maxwell Hsu and Junzhou Zhang, Information Discovery and Delivery, 45 (4), November 2017, pp. 212-219

  • Winner of the 2015 McGraw-Hill Distinguished Paper Award chosen by Association of Collegiate Marketing Educators (ACME)


Outliers and Persistence in Threshold Autoregressive Processes, with Luiggi Donayre, Studies in Nonlinear Dynamics and Econometrics, 20 (1), February 2016, pp. 37-56


Nonlinear Time Series Models and Model Selection, with Ming Chien Lo,

in: Ma, J. and Wohar, M. E. (Eds.), Recent Advances in Estimating Nonlinear Models, Chapter 6, (2014), pp. 99 - 121.


Causes of Nonlinearities in Low-Order Models of the Real Exchange Rate, with Ming Chien Lo and Olena Mykhaylova, Journal of International Economics, 91 (1), September 2013, 128 - 141.

Volatility and Persistence of Simulated DSGE Real Exchange Rates, with Ming Chien Lo and Olena Mykhaylova, Economics Letters, 119 (1), April 2013, 38 - 41.

Temporal Aggregation and Purchasing Power Parity Persistence, with Bill Craighead, Journal of International Money and Finance, 30 (5), September 2011, pp. 817 - 830.

International Observations of Monetary Policy Periods, ICFAI's Journal of Monetary Economics, 7(3&4), Aug - Nov. 2009, pp. 7 - 43.

Searching for Nonlinearities in Real Exchange Rates, with Stuart Glosser, Applied Economics, 43 (15), May 2011, pp. 1829 - 1845 [First Published: Applied Economics, iFirst, May 2009, pp. 1 - 17]

Modeling the Time to and Initial Public Offering: When Does the Fruit Ripen?, Journal of Economics and Finance, 34 (4), October 2010, pp. 391 - 414 [First Published: Journal of Economics and Finance, January 2009]

The Effects of Small Sample Bias In Threshold Autoregressive (TAR) Models, Economics Letters, 101 (1), October 2008, pp. 6 - 8

Money Market Rates And Implied CCAPM Rates: Some International Evidence, Quarterly Review of Economics and Finance, 45 (4) , Sept 2005, pp. 699 - 729

Working Papers

Implications for Determinacy with Average Inflation Targeting

joint with James Murray (UW-La Crosse)

Abstract

We use a standard New Keynesian model to explore implications of backward- and forward-looking windows for monetary policy with average inflation targeting and investigate the conditions for determinacy. A unique equilibrium rules out sunspot shocks that can lead to self-fulfilling shocks for inflation expectations. We find limitations for the length of the forward window and demonstrate how this depends on other parameters in the model, including parameters governing monetary policy and expectations formation.

Current version: May 2022

  • Under Review

ait_EL_current.pdf
UR_ACL_current.pdf

Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches

joint with Ming Chien Lo (Metropolitan State U)and Adam Check (U. of St Thomas)

Abstract

We compare the effectiveness of Classical, Bayesian, and Machine Learning (ML) methods for predicting the presence of a unit root in univariate time-series models. Framing the issue as a classification problem, we demonstrate how ML may be used to uncover structural features of a macroeconomic time series with small data. We use a Monte Carlo approach to evaluate the predictions from these approaches and find that ML outperforms both the Classical and Bayesian tests using prediction accuracy, and appears to be the most flexible for classifying unit roots when class imbalance is present. In data, we find broad consensus among the approaches for predicted nonstationary series, with some disagreement for predicted stationary series.

Current version: July 2020

  • Under Review

Bubble-like Behavior in Asset Markets: The role of limited information

Abstract

This note examines the role of information in determining asset price dynamics under rational expectations. Under the no-bubbles solution, we generate and compare price dynamics arising from different informational assumptions on the part of households. We compare perfect foresight and limited information scenarios and explore the impact of various signal extraction methods that yield rational deviations from fundamentals with complete information and perfect foresight.

Current Version: May 2020

Work In Progress

  • Break or No Break? Identifying Structural Breaks using Classical, Bayesian and Machine Learning Approaches (joint with Ming Chien Lo and Adam Check; Metropolitan State University and University of St. Thomas respectively)

  • Analyzing FOMC Transcripts using Machine Learning (joint with Eylem Ersal-Kiziler and Narendra Regmi; UW-Whitewater)

  • Revisiting International Macroeconomic Puzzles (joint with Eylem Ersal-Kiziler and Narendra Regmi; UW-Whitewater)

  • Estimates of the Sacrifice Ratio over Time (joint with Luiggi Donayre; University of Minnesota - Duluth)

  • Expectational Stability of Monetary Policy Rules under Average Inflation Targeting (AIT) (joint with James Murray; UW - LaCrosse)