School of Economics and Finance · Te Kura Ohaoha Pūtea: Working Paper Series: Recent submissions

  • Job matching, family gap and fertility choice 
    Chang, Chia-Ying; Laing, Derek; Wang, Ping (Te Herenga Waka—Victoria University of Wellington, 2012)
    This paper concentrates on the role of job matching frictions in influencing the interactions between fertility choice and wage offers and show that job market frictions are a crucial factor in wage differentials among ...
  • New entries and economic growth 
    Chang, Chia-Ying; Hansen, Vera (Te Herenga Waka—Victoria University of Wellington, 2012)
    The main goal of this paper is to construct a theoretical model that provides an explanation for the relationship between growth and new entry that is consistent with empirical evidence. The model is a four sector endogenous ...
  • Can a home country benefit from FDI? A theoretical analysis 
    Chang, Chia-Ying (Te Herenga Waka—Victoria University of Wellington, 2012)
    The effects of outward FDI on home country’s growth remain an open question. The growth of outward FDI has renewed this attention. By allowing for endogenous decisions of firms on both whether to conduct FDI and whether ...
  • The role of market frictions on the price differential: A search-theoretical approach 
    Chang, Chia-Ying (Te Herenga Waka—Victoria University of Wellington, 2012)
    To shed light on how market frictions and the waiting time of imitators affect prices and how effective research subsidy and patent protection affect the price differential, this paper adopts a direct search-theoretical ...
  • Banking crises and sudden stops: What could IMF do to assist? 
    Chang, Chia-Ying (Te Herenga Waka—Victoria University of Wellington, 2012)
    Along the studies suggesting IMF to promote private capital flows, this paper sheds light on the links of banking crisis and sudden stops and provides suggestions which are flexible and more specific for countries in various ...
  • When banking systems meet currencies 
    Chang, Chia-Ying (Te Herenga Waka—Victoria University of Wellington, 2012)
    In this paper, we examine the link of investment portfolio decisions of households and investment on international capital flows. I extend Bencivenga and Smith (1991)’s overlapping generation model to an open economy and ...
  • Personality, well-being and the marginal utility of income: What can we learn from random coefficient models? 
    Schurer, Stefanie; Yong, Jongsay (Te Herenga Waka—Victoria University of Wellington, 2012)
    Fixed effects models are the gold standard in empirical well-being research, however, their applicability is limited to controlling for intercept heterogeneity and identifying effects of time-varying variables. This paper ...
  • A note resolving the debate on “The weighted average cost of capital is not quite right” 
    Keef, Stephen P; Khaled, Mohammed S; Roush, Melvin L (Te Herenga Waka—Victoria University of Wellington, 2011)
    Miller (2009a) derives a weighted average cost of capital for the special case where the cash flows to equity and the cashflows to debt are annuities. The paper attracts debate. We show that the weighted average cost of ...
  • Miller's (2009) WACC model: An extension 
    Keef, Stephen P; Khaled, Mohammed S; Roush, Melvin L (Te Herenga Waka—Victoria University of Wellington, 2011)
    Miller (2009a) presents an analysis of the weighted average cost of capital WACC model. The paper attracts debate which uses a variety of repayment schedules to support the arguments raised. We present an extension of ...
  • The friday the thirteenth effect in stock prices: international evidence using panel data 
    Keef, Stephen P; Khaled, Mohammed S (Te Herenga Waka—Victoria University of Wellington, 2011)
    This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the ...
  • Tests for weak form market efficiency in stock prices: Monte Carlo evidence 
    Khaled, Mohammed S; Keef, Stephen P (Te Herenga Waka—Victoria University of Wellington, 2011)
    Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the ...
  • On the dynamics of international stock market efficiency 
    Khaled, Mohammed; Keef, Stephen (Te Herenga Waka—Victoria University of Wellington, 2011)
    Purpose – to measure the temporal change in market efficiency of 17 international stock indices based on small firms.
  • Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience 
    Tripe, David; Xia, Bingru; Roberts, Leigh (Te Herenga Waka—Victoria University of Wellington, 2011)
    Retail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the ...
  • The stability of big-five personality traits 
    Cobb-Clark, Deborah; Schurer, Stefanie (Te Herenga Waka—Victoria University of Wellington, 2011)
    We use a large, nationally-representative sample of working-age adults to demonstrate that personality (as measured by the Big Five) is stable over a four-year period. Average personality changes are small and do not vary ...
  • Price setting in a leading Swiss online supermarket 
    Berka, Martin; Devereux, Michael B.; Rudolph, Thomas (Te Herenga Waka—Victoria University of Wellington, 2011)
    We study a newly released data set of scanner prices for food products in a large Swiss online supermarket. We find that average prices change about every two months, but when we exclude temporary sales, prices are extremely ...
  • What determines European real exchange rates? 
    Berka, Martin; Devereux, Michael B. (Te Herenga Waka—Victoria University of Wellington, 2011)
    We study a newly constructed panel data set of relative prices for a large number of consumer goods among 31 European countries over a 15 year period. The data set includes eurozone members both before and after the inception ...
  • The impact of private hospital insurance on utilization of hospital care in Australia: Evidence from the national health survey 
    Eldridge, Damien; Koç, Cagatay; Onur, Ilke; Velamuri, Malathi (Te Herenga Waka—Victoria University of Wellington, 2011)
    We estimate the impact of private hospital insurance on utilization of hospital care services in Australia. We employ the two-stage residual inclusion approach to address the endogeneity of private insurance. We calculate ...
  • Optimal Tax Rules for Addictive Consumption 
    Bossi, Luca; Calcott, Paul; Petkov, Vladimir (Te Herenga Waka—Victoria University of Wellington, 2011)
    This paper studies implementation of the social optimum in a model of habit formation. We consider taxes that address inefficiencies due to negative consumption externalities, imperfect competition, and self-control problems. ...
  • Modelling New Zealand electricity prices from a risk management perspective 
    Moy, Caroline; Roberts, Leigh (Te Herenga Waka—Victoria University of Wellington, 2011)
    A direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering ...
  • Two economists’ musings on the stability of locus of control 
    Cobb-Clark, Deborah; Schurer, Stefanie (Te Herenga Waka—Victoria University of Wellington, 2011)
    Empirical studies of the role of non-cognitive skills in driving economic behavior often rely heavily on the assumption that these skills are stable over the relevant time frame. We analyze the change in a specific ...

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