Mark E. Wohar

University of Nebraska at Omaha

UNO/CBA Distinguished Professor

Department of Economics

6708 Pine Street MH 332S

Omaha, NE 68182

United States

http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

SCHOLARLY PAPERS

48

DOWNLOADS
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Top 18,688

in Total Papers Downloads

3,484

SSRN CITATIONS
Rank 16,967

SSRN RANKINGS

Top 16,967

in Total Papers Citations

40

CROSSREF CITATIONS

25

Scholarly Papers (48)

1.

The Effects of Brexit on the Pound: Towards a Currency Crisis?

Number of pages: 14 Posted: 24 Jul 2017
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 634 (53,897)

Abstract:

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Brexit, Economic Uncertainty, Machine Learning

2.

Forecasting Returns: New European Evidence

Number of pages: 42 Posted: 07 Nov 2012
Steven J. Jordan, Andrew Vivian and Mark E. Wohar
Econometric Solutions, Loughborough University and University of Nebraska at Omaha
Downloads 316 (123,102)
Citation 4

Abstract:

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Return forecasting, Fundamental ratios, Macro variables, Technical indicators, Europe, Emerging markets

3.

Estimating Taylor-Type Rules: An Unbalanced Regression?

Number of pages: 56 Posted: 19 Nov 2004
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha
Downloads 295 (132,475)
Citation 8

Abstract:

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Taylor rules, stationarity, cointegration

4.

Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets

Number of pages: 47 Posted: 16 Feb 2012 Last Revised: 12 Sep 2013
Board of Governors of the Federal Reserve System, Loughborough University and University of Nebraska at Omaha
Downloads 278 (140,891)
Citation 1

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Asset pricing, Commodity markets, Equity markets, Industry-level returns, Information and market efficiency, Predictability, Underreaction

5.

The Long-Run Linkage between Yields on Treasury and Municipal Bonds and the 1986 Tax Act

Number of pages: 26 Posted: 29 Oct 1997
William J. Crowder and Mark E. Wohar
University of Texas at Arlington - College of Business Administration - Department of Economics and University of Nebraska at Omaha
Downloads 201 (192,932)
Citation 2

Abstract:

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6.

Price Gap Anomaly in the US Stock Market: The Whole Story

Number of pages: 39 Posted: 10 Oct 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 185 (207,831)

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Price Gap Anomaly, Trading Strategy, Stock Market, Momentum Effect, Efficient Market Hypothesis

7.

Are Tax Effects Important in the Long-Run Fisher Relation? Evidence from the Municipal Bond Market

Number of pages: 11 Posted: 07 May 1997
William J. Crowder and Mark E. Wohar
University of Texas at Arlington - College of Business Administration - Department of Economics and University of Nebraska at Omaha
Downloads 163 (231,548)
Citation 1

Abstract:

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8.

Erratum to 'The Prebisch-Singer Hypothesis: Four Centuries of Evidence' (Review of Economics and Statistics, 2010, 92, 367-377)

Number of pages: 5 Posted: 31 Jan 2013
University of Nottingham - School of Economics, University of Essex - Essex Business School, Monash University and University of Nebraska at Omaha
Downloads 158 (237,788)
Citation 12

Abstract:

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9.

An Unobserved Components Model That Yields Business and Medium-Run Cycles

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 28 Posted: 24 Apr 2011 Last Revised: 25 Feb 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 123 (289,360)
Citation 2

Abstract:

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Unobserved Components model, trend-cycle decomposition

10.

The Relationship between Temperature and CO2 Emissions: Evidence from a Short and Very Long Dataset

Number of pages: 27 Posted: 31 Jan 2012
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 113 (307,423)

Abstract:

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Temperature, CO2, Stationarity, VAR

11.

Rise and Fall of Calendar Anomalies over a Century

University of Pretoria Department of Economics Working Paper Series (2019)
Number of pages: 45 Posted: 25 Apr 2019 Last Revised: 08 May 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 112 (309,315)
Citation 2

Abstract:

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Calendar Anomalies, Day of the Week Effect, Turn of the Month Effect, Turn of the Year Effect, Holiday Effect, Stock Market, Dow Jones Industrial Average Index

12.

Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature

Number of pages: 48 Posted: 08 Mar 2011 Last Revised: 18 Mar 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 106 (321,264)
Citation 1

Abstract:

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stock price decomposition, state-space model, weak identification

13.

Economically-Linked Economies and Forecasting Chinese Stock Returns

Number of pages: 21 Posted: 07 Nov 2012
Steven J. Jordan, Mark E. Wohar and Andrew Vivian
Econometric Solutions, University of Nebraska at Omaha and Loughborough University
Downloads 101 (331,736)

Abstract:

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China, forecast, import, export, macroeconomics, forecast combinations

14.

Sources of the Stock Price Fluctuations in Chinese Equity Market

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 21 Aug 2012
Zhenhua Su, Jun Ma and Mark E. Wohar
Zhejiang University, Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 80 (383,461)

Abstract:

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price decomposition, state-space model, Chinese equity market

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Number of pages: 43 Posted: 11 Jun 2020
Eastern Mediterranean University, Economic Research Forum (ERF), Gazi University and University of Nebraska at Omaha
Downloads 60 (453,504)
Citation 3

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Economic Policy Uncertainty, Oil Price Change, Quantile VAR, Relative-Tail-Dependence

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Number of pages: 44 Posted: 23 May 2020
Eastern Mediterranean University, Economic Research Forum (ERF), Gazi University and University of Nebraska at Omaha
Downloads 15 (711,603)

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quantile VAR, oil price change, economic policy uncertainty, relative-tail-dependence

16.

Halloween Effect in Developed Stock Markets: A US Perspective

University of Pretoria, Department of Economics Working Paper Series, No. 2019-14
Number of pages: 49 Posted: 30 Apr 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 63 (436,539)

Abstract:

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Calendar Anomalies, Halloween Effect, Stock Market, Efficient Market Hypothesis

17.

Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data

Number of pages: 28 Posted: 24 Jul 2017
Democritus University of Thrace, University of Navarra - Faculty of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 63 (436,539)

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Dynamic Probit Models, Support Vector Machines, U.S. Recessions

18.

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

Number of pages: 26 Posted: 27 Feb 2019
Eastern Mediterranean University, Economic Research Forum (ERF), affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 58 (454,469)
Citation 2

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Unconventional Monetary Policy, US Financial Markets, Volatility Spillover, STVAR Model

19.

Are BRICS Exchange Rates Chaotic?

Applied Economics Letters, Forthcoming
Number of pages: 9 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, University of Navarra - Department of Economics and University of Nebraska at Omaha
Downloads 44 (511,754)

Abstract:

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Exchange Rate, Chaos, Lyapunov Exponent

20.

Historical Evolution of Monthly Anomalies in International Stock Markets

Number of pages: 43 Posted: 31 Jul 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 41 (525,709)
Citation 1

Abstract:

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Calendar Anomalies, Month of the Year Effect, Stock Market, Efficient Market Hypothesis, January Effect, December Effect, Mark Twain Effect

21.

Day-of-the-Week Effect and Spread Determinants: Some International Evidence From Equity Markets

Number of pages: 30 Posted: 13 Aug 2019
University of Patras - Business Administration, University of Lincoln, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and University of Nebraska at Omaha
Downloads 38 (540,482)
Citation 1

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Day-of-the-week, Bid ask spread, Panel error correction, Equity markets

Effectives of monetary policy under the high and low economic uncertainty states: Evidence from the major Asian economies

Number of pages: 30 Posted: 01 Jun 2021
Eastern Mediterranean University, Economic Research Forum (ERF), Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 21 (663,783)

Abstract:

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Economic policy uncertainty, monetary policy efficiency, quantile spillover, QVAR

Effectives of Monetary Policy Under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies

Number of pages: 32 Posted: 12 Jun 2021
Eastern Mediterranean University, Economic Research Forum (ERF), Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 12 (737,169)

Abstract:

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23.

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

University of Nebraska and Loughborough University Working Paper: 2020-16
Number of pages: 32 Posted: 19 Feb 2021
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 26 (608,538)

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Overreaction, Momentum Effect, Contrarian Effect, Abnormal Returns, Stock Market; Dow Jones Index

24.

U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Forthcoming
Number of pages: 19 Posted: 19 Jun 2017 Last Revised: 26 May 2018
University of Pretoria - Department of Economics, University of Huddersfield, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 26 (608,538)

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Quantile structural VAR, fiscal policy, stock prices, house prices, partisan conflict

25.

Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from over 150 Years of Data

Empirical Economics, Forthcoming
Number of pages: 50 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, Aristotle University of Thessaloniki - Department of Economics and University of Nebraska at Omaha
Downloads 24 (622,102)

Abstract:

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time-varying VAR, house prices, macroeconomic shocks

26.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Number of pages: 39 Posted: 10 Sep 2003
Lucio Sarno, Giorgio Valente and Mark E. Wohar
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Nebraska at Omaha
Downloads 24 (622,102)
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

27.

Growth Volatility and Inequality in the U.S.: A Wavelet Analysis

Physica A: Statistical Mechanics and its Applications, May 2019
Number of pages: 43 Posted: 02 Jun 2018 Last Revised: 27 Jul 2020
Univeristy of Pretoria, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 21 (643,085)

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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

28.

Housing and Economic Policy Uncertainty in the OECD Countries

Number of pages: 25 Posted: 26 Oct 2020
Eastern Mediterranean University, Montpellier Business School, Eastern Mediterranean University and University of Nebraska at Omaha
Downloads 20 (650,137)
Citation 1

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housing price, economic policy uncertainty, panel vector auto-regression

29.

A Cautionary Note on the Order of Integration of Post-War Aggregate Wage, Price and Productivity Measures

Number of pages: 22 Posted: 17 Mar 2004
Robert Sollis and Mark E. Wohar
University of Newcastle and University of Nebraska at Omaha
Downloads 20 (650,137)
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30.

Greek Government-Debt Crisis Events and European Financial Markets: Surprises of Greek Bond Yields and Inter-Relations of European Financial Markets

Number of pages: 21 Posted: 13 Aug 2019
University of Patras - Business Administration, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 19 (657,339)

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contagion, Greek debt crisis, realized correlation, correlation jumps

31.

An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data

Number of pages: 29 Posted: 26 Nov 2018
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 17 (671,663)

Abstract:

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Time-Varying VAR, Macroeconomic Shocks

32.

Changes in the Relationship between Short‐Term Interest Rate, Inflation and Growth: Evidence from the UK, 1820–2014

Bulletin of Economic Research, Vol. 71, Issue 4, pp. 616-640, 2019
Number of pages: 25 Posted: 05 May 2020
Erdenebat Bataa, Andrew Vivian and Mark E. Wohar
National University of Mongolia - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 1 (801,813)
Citation 2
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inflation, growth, short term interest rate, structural breaks, VAR

33.

Multi-Horizon Financial and Housing Wealth Effects across the U.S. States

University of Pretoria Department of Economics Working Paper No. 2019-58
Number of pages: 27 Posted: 24 Aug 2019
Capital Markets Board of Turkey, University of Piraeus - Department of Banking and Financial Management, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 1 (801,813)

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consumption, housing wealth effect, financial wealth effect, multi-step causality

34.

Wealth‐To‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

International Review of Finance, Vol. 18, Issue 3, pp. 495-506, 2018
Number of pages: 12 Posted: 17 Sep 2018
Eastern Mediterranean University, University of Pretoria - Department of Economics, University of Minho and University of Nebraska at Omaha
Downloads 1 (801,813)
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35.

Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks

The Manchester School, Vol. 86, Issue 4, pp. 488-511, 2018
Number of pages: 24 Posted: 13 Jun 2018
University of Pretoria - Department of Economics, Feng Chia University, National Taichung University of Science and Technology, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 1 (801,813)
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36.

Forecasting US Inflation Using Dynamic General‐To‐Specific Model Selection

Bulletin of Economic Research, Vol. 68, Issue 2, pp. 151-167, 2016
Number of pages: 17 Posted: 11 Apr 2016
Timberlake Consultants, University of Glasgow - Department of Economics and University of Nebraska at Omaha
Downloads 1 (801,813)
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dynamic general‐to‐specific, inflation forecasting

37.

A Panel Analysis of the Stock Return–Dividend Yield Relation: Predicting Returns and Dividend Growth

The Manchester School, Vol. 81, Issue 3, pp. 386-400, 2013
Number of pages: 15 Posted: 17 Apr 2013
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (801,813)
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38.

Profit Persistence Revisited: The Case of the UK

The Manchester School, Vol. 79, Issue 3, pp. 510-527, 2011
Number of pages: 18 Posted: 21 Apr 2011
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (801,813)
Citation 1
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39.

What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 311-330, 2020
Number of pages: 20 Posted: 02 Jun 2020
Jun Ma, Andrew Vivian and Mark E. Wohar
Northeastern University - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 0 (819,136)
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40.

Us Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Vol. 19, Issue 4, pp. 851-862, 2019
Number of pages: 12 Posted: 26 May 2020
University of Pretoria - Department of Economics, Teesside University, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 0 (819,136)
Citation 2
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41.

A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set

Financial Review, Vol. 52, Issue 3, pp. 405-433, 2017
Number of pages: 29 Posted: 18 Jul 2017
Paul Jones, Eric Olson, Eric Olson and Mark E. Wohar
Pepperdine University - Economics, IndependentUniversity of Tulsa and University of Nebraska at Omaha
Downloads 0 (819,136)
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informational sufficiency, FAVAR, stock returns

Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Real Estate Economics, Vol. 47, Issue 4, pp. 935-976, 2019
Number of pages: 42 Posted: 04 Jun 2020
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN and University of Nebraska at Omaha
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Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Real Estate Economics, Forthcoming
Posted: 20 Mar 2015
Brunel University London - Department of Economics and Finance, University of Minho and University of Nebraska at Omaha

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consumption-wealth ratio, housing returns

43.

Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 238-274, 2006
Posted: 29 Feb 2008
David E. Rapach and Mark E. Wohar
Seattle University, Albers School of Business and Economics and University of Nebraska at Omaha

Abstract:

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financial variables, predictive regression model, real stock returns, structural breaks

44.

Identifying Regime Changes in Market Volatility

Posted: 15 Feb 2005
Weiyu Guo and Mark E. Wohar
University of Nebraska at Omaha - Department of Finance, Banking & Law and University of Nebraska at Omaha

Abstract:

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Volatility, regime change

45.

Technological Convergence Among Us Regions and States

Posted: 02 Dec 2003
Catherine Y. Co and Mark E. Wohar
University of Nebraska at Omaha - Department of Economics and University of Nebraska at Omaha

Abstract:

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46.

Nonlinear Dynamics and Covered Interest Rate Parity

Posted: 30 Dec 1998
Nathan S. Balke and Mark E. Wohar
Southern Methodist University (SMU) - Department of Economics and University of Nebraska at Omaha

Abstract:

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47.

Real Interest Rate Parity: A New Test with International Data

Posted: 20 Jul 1998
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

Abstract:

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Convergence in Interest Rates and Inflation Rates Across Countries and Over Time

REVIEW OF INTERNATIONAL ECONOMICS
Posted: 10 Oct 1996
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

Abstract:

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Convergence in Interest Rates and Inflation Rates: Across Countries and Over Time

Posted: 07 Dec 1995
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

Abstract:

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