Journal of Economics and Finance

Publishes theoretical and empirical articles in the general areas of economics and finance. 

Articles from Vol. 27, No. 1, Spring

A Disaggregated Approach to Test the J-Curve Phenomenon: Japan versus Her Major Trading Partners
Abstract A limited number of studies have tested the J-Curve phenomenon using bilateral trade data between the United States and its major trading partners. In this paper, we test the J-Curve hypothesis by using quarterly bilateral data over the 1973-98...
An International Study of Causality-in-Variance: Interest Rate and Financial Sector Returns
Abstract We demonstrate that causality-in-variance test could be employed to model the direction and lags in information flow between two variables and to avoid misspecifications. We apply this methodology to test the causality between the financial...
Consumption Insurance and Entrepreneurial Risk: Evidence from Italian Micro-Data
Abstract Using cross-sectional data from the Bank of Italy's Survey on Household Income and Wealth, we make an attempt to assess the relevance of entrepreneurial risk, i.e., idiosyncratic risk borne by firm owners while running their operations. Our...
Determinants of Credit Card Delinquency and Bankruptcy: Macroeconomic Factors
Abstract In this paper, we examine how county unemployment rates affect consumers' delinquency and bankruptcy behavior by focusing on the credit card market. In particular, after controlling for credit supply and shocks like divorce and health coverage...
Estimating the Sensitivity of State Tax Revenue to Cyclical and Wealth Effects
Abstract In this study, we estimate the elasticities of alternative sources of state tax revenue relative to the economy, as measured by GSP, and to wealth, as measured by the S&P500. Next, efficient tax frontiers are estimated for each state by...
The Impact of Inflationary News on Money Market Yields and Volatilities
Abstract This study investigates the impact of surprises in hourly wages, non-farm payroll, unemployment rate, and producer price index on the yields and volatilities of money market securities. The methodology is conducted in a framework that preserves...
The Reversal of Large Stock Price Declines: The Case of Large Firms
Abstract This paper examines the long-run reversal pattern for a sample of large U.S. firms that experienced significant stock price declines of more than 20 percent during a specific month. The results from the analysis are largely consistent with the...
Understanding the Determinants of Sovereign Debt Ratings: Evidence for the Two Leading Agencies
Abstract An analysis of the possible determinants of sovereign credit ratings assigned by the two leading credit rating agencies, Moody's and Standard and Poor's, is conducted in this paper by using linear, logistic, and exponential transformations of...