- Economics - Research Publications
Economics - Research Publications
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ItemTesting for a level effect in short-term interest ratesHENRY, OT ; SUARDI, S (Department of Economics, The University of Melbourne, 2004)
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ItemTime Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International DiversificationHenry, Olan T. ; OLEKALNS, NILSS ; Shields, Kalvinder ( 2004-06)The International Capital Asset Pricing Model measures countryrisk in terms of the conditional covariance of national returns withthe world return. Using impulse responses from a multivariate nonlinearmodel we provide evidence of time variation and asymmetry inthe measure of country risk. and the implied benefit to internationaldiversification. The evidence implies that the price of risk and the benefitsfrom diversification may differ in a statistically and economicallymeaningful fashion across bull and bear markets.
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ItemThe Displacement Hypothesis and Government Spending in the United Kingdom: Some New Long-Run EvidenceHenry, Olan ; OLEKALNS, NILSS ( 2000-06)This paper presents new evidence on the ability of Peacock and Wiseman'sdisplacement hypothesis to explain temporal increases in the ratio ofgovernment expenditure to GDP in the United Kingdom. Using univariatemodelling techniques that are robust to structural changes in the underlyingdata generating process and a data set extending back to 1836, we find fourinstances where displacement may be said to have occurred.
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ItemAustralian Economic Growth: Non-linearities and International InfluencesHenry, Olan T. ; Summers, Peter M. ( 2000-03)This paper considers the extent to which fluctuations in Australian economic growth are affected by domestic and overseas economic performance. We investigate the performance of a range of non-linear models versus linear models, comparing the models using Bayes factors and posterior odds ratios. The posterior odds ratios favour non-linear specifications in which luctuations in economic activity in the US affect Australia's economic performance. Our results suggest that an exogenous negative shock will be more persistent, lead to greater output volatility, and have a greater impact on growth, than a positive shock of equal magnitude.
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ItemThe effect of recessions on the relationship between output variability and growthHenry, OT ; Olekalns, N (WILEY, 2002-01)
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ItemThe asymmetric effects of uncertainty on inflation and output growthGrier, KB ; Henry, OT ; Olekalns, N ; Shields, K (WILEY, 2004-09-01)