Research
Working Papers
Monetary and Fiscal Policy Interactions and the Impact of the COVID-19 Pandemic: The Latin American Experience in Perspective (with Richard Burdekin and John Horan)
Under review at Applied Economic Letters
[Abstract]
Although the onset of the pandemic pressured monetary and fiscal policy across the globe, deficit finance was aided by the large, established debt markets in countries like the United States. The expansionary efforts in emerging markets like Latin America put greater strains on their more limited capacity. This paper demonstrates strong and significant interactions between monetary and fiscal policy in Latin America around the time of the pandemic. This was not entirely a one-way street. In addition to larger deficits eliciting more monetary accommodation, there is some evidence of looser monetary policy encouraging more fiscal expansion.
Transmission of Stock Market Movements from China to Australia, Hong Kong and the ASEAN Group: Do Chinese Effects Outweigh US Effects? (with Richard Burdekin)
Under review at East Asian Economic Review
[Abstract]
This study seeks to quantify the rising financial linkages between mainland China, Australia, Hong Kong, and the six largest Association of Southeast Asian Nations (ASEAN group). Stock market co-movements would be consistent with growing trade ties. Our sample runs from 2010 through 2022 and the coronavirus pandemic. Markov-switching analysis allows for changing effects as we move from periods of low market volatility to periods of high volatility. The results offer support for the premise that growing trade and investment ties between China, Australia, Hong Kong and the ASEAN region have been accompanied by significant financial market integration as reflected in stock market co-movement. US effects are significant as well, but these tend to be concentrated during high volatility episodes. Under low volatility conditions, Shanghai effects become more important and typically outweigh US effects amongst the ASEAN group.
Recent Publications
Determinants of Attendance in the Early Days of Professional Baseball: Panel Estimation, 1892-1940 (with Richard Burdekin and David Berri)
Forthcoming in Applied Economics
[Abstract]
If fan demand is driven by balanced competition and/or the spectacle of the game, then all teams can do well. However, if winning is what really counts, life becomes very difficult for the teams at the bottom of the standings each year. In contrast to the dominant role played by television and media rights today, the calculation was more clear-cut during US baseball’s early days when simply getting fans in the stands was what paid the bills. Although our panel data analysis shows that other factors like home runs hit and competitive balance were also significant over the 1892-1940 period, it appears that fans then, like today, mostly just wanted to see their favorite team win.
Prepayment and Credit Utilization in Peer-to-Peer Lending (with Yuan Yuan)
Managerial Finance, Vol. 49 No. 12, pp. 1849-1864
https://doi.org/10.1108/MF-02-2023-0136
[Abstract]
Peer-to-peer (P2P) lending, which emerged in the 2008 global financial crisis, has grown exponentially and has become a significant credit supplier to consumers and small businesses. Borrowers benefit from P2P loans through the convenience, flexibility, and accessibility for borrowers with low credit ratings. We investigate attributes to borrowers’ prepayment decisions, while existing literature typically focuses on default risks. We consider borrower-specific characteristics as well as macroeconomic factors. We find that creditworthy borrowers obtain P2P loans to pay off credit cards and to consolidate debt, and they tend to prepay quickly when the overall cost of borrowing is low, suggesting that P2P lending offers consumers an efficient alternative to obtain credits. Our results provide evidence that P2P lending can improve consumers’ optimal credit utilization.
The Effects of Deflation and Macroeconomic Shocks on Leisure Spending in the Pre-War Era: Evidence from Major League Baseball, 1890-1940 (lead author, with Richard Burdekin and David Berri)
Atlantic Economic Journal, 50, pages 119–132 (2022)
https://doi.org/10.1007/s11293-022-09756-3
[Abstract]
Pre-war baseball attendance data afford a unique opportunity to assess how leisure spending fared not only through deflation but also after such shocks as the Spanish Flu of 1918 and the 1929 Wall Street Crash. Long-run analysis via a vector error correction model (VECM) reveals significant cointegration of baseball attendance with both prices and output. A long-run positive relationship with prices offers evidence of a negative impact of deflation on leisure spending, suggesting that deflation is indeed more to be feared than inflation. There are also apparent parallels between the post-pandemic boom in leisure spending in 1919 and the post-2020 experience.
Quantifying China's Financial Reach up through the Pandemic: The African Experience (with Richard Burdekin and Dawson Reckers)
North American Journal of Economics and Finance, Volume 63, November 2022, 101833
https://doi.org/10.1016/j.najef.2022.101833
[Abstract]
This study seeks to quantify the financial connections between China and Africa. China’s increasing investments in Africa have inevitably strengthened the relationship between China and the majority of African countries over the past decade. We find consistent effects of the Shanghai Industrial Index on African stock markets together with some evidence that these relationships strengthened following the onset of the coronavirus pandemic. Markov-Switching analysis affirms these connections while also identifying intensifying effects as we move from periods of low market volatility to periods of high volatility. The African stock markets included in the sample encompass Egypt, Kenya, Morocco, Nigeria, South Africa, Tanzania, Uganda, and Zambia.
Chinese Influences on Inflation Determination in Australia and the ASEAN group: A Markov-Switching Analysis (with Richard Burdekin)
Asian and the Global Economy, July 2022, vol. 2, no. 2, article 100037
https://doi.org/10.1016/j.aglobe.2022.100037
[Abstract]
China’s rapidly growing role in the world economy has been accompanied by rising bilateral trade with Australia and the Association of Southeast Asian Nations (ASEAN group) as well as expanded offshore renminbi (RMB) markets in the region. Using a Markov-switching analysis that allows for variation across stable and volatile domestic inflation regimes, we find evidence of significant inflation transmission from China to Australia and the five larger ASEAN economies. Chinese inflation effects are further confirmed when we incorporate money supply and commodity price effects within a Markov-switching Vector Autoregressive (MSVAR) framework. The importance of allowing for regime change over our sample period is clear and these inflation effects are shown to generally be stronger during periods when domestic inflation is more volatile. These findings on inflation pass-through from China represent a novel extension to a prior literature that has been primarily limited to real economy and trade effects.
Price Leadership and Asynchronous Movements of Multi-Market Listed Stocks (with Krastina Dzhambova and Yuan Yuan)
International Review of Financial Analysis, January 2022, vol. 79, article 101970
https://doi.org/10.1016/j.irfa.2021.101970
[Abstract]
We examine the asynchronous price movements of the same assets traded on multiple markets. Our sample of stocks simultaneously traded in three different financial markets (Shanghai Stock Exchange, New York Stock Exchange, and Stock Exchange of Hong Kong) represents an ideal setting to investigate the stock price co-movement, directions, and leaderships. We find strong evidence that foreign prices lead home prices, but not the reverse effect. Contrary to theory predictions, investors in the firms’ home market respond to idiosyncratic fluctuations in the stock returns in the host markets. It suggests investors pay attention to fluctuations in the stocks listed on the more institutionally developed markets.
The Golden Hedge: From Global Financial Crisis to Global Pandemic (with Richard Burdekin)
Economic Modelling, February 2021, vol. 95, pp. 170-180
From Shanghai to Sydney: Chinese Stock Market Influences on Australia (with Richard Burdekin)
Finance Research Letters, January 2021, vol 38, article 101502
Chinese Liquidity Effects on the Australian Macroeconomy (with Richard Burdekin)
Applied Economics February 2020, vol. 52, no. 18, pp. 1973-1985
The Importance of Debt for Household Risky Asset Allocation and Portfolio Structure (with Yuan Yuan)
Lead article in the Financial Services Review, winter 2019, vol. 27, no. 4, pp. 325-344
Bank Deserts in the United States and the Great Recession: Geography and Demographics (with Russ Kashian and Robert Drago)
Journal of Economic Studies, September 2018, Vol. 45, Issue: 4, pp.691-709
An Empirical Examination of Factors Driving the Offshore Renminbi Market (with Richard Burdekin)
China Economic Journal, September 2017, vol. 10, no. 3, pp. 287-304
A Computational Dynamic Model of Strategic Behavior in the US Retail Banking Market
Managerial and Decision Economics, March 2016, vol, 27, no. 3, pp.182-194.
Health Benefit Downward Rigidity: Employers’ Responses to Rising Insurance Costs (with Xuguang Guo)
Risk Management and Insurance Review, September 2015, vol. 18, no. 2, pp. 217-241.
Off-balance Sheet Activities and Community Bank Performance (with Russ Kashian)
Journal of Economic Studies, November 2014, vol. 41, no. 6, pp.789-807.
Bank Lending Margins in China and the Effects of the June 2012 Liberalization (with Richard Burdekin)
Journal of International Commerce, Economics and Policy, vol. 5, no. 2, May 2014, 19 pages.
China Real Estate Market Performance: Stock Market Linkages, Liquidity Pressures, and Inflationary Effects (with Richard Burdekin)
The Chinese Economy, vol. 47, no. 2, March–April 2014, pp. 5-26.