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Cross-country Disparities in Skill Premium and Skill Acquisition (2022)
Journal Article
Banerjee, A., Basu, P., & Keller, E. (2023). Cross-country Disparities in Skill Premium and Skill Acquisition. Economic Inquiry, 61(1), 179-198. https://doi.org/10.1111/ecin.13107

Skilled individuals are rewarded more in poor than in rich countries. Why aren’t more individuals acquiring skills in poor countries? We document that the unemployment rate of the skilled net of that of the unskilled decreases with a country’s level... Read More about Cross-country Disparities in Skill Premium and Skill Acquisition.

International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics (2020)
Working Paper
Nicolae, A., & Nower, M. (2020). International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics

How do the interactions between non-trading firms and labour market frictions impact the domestic and international transmission of macroeconomic shocks? In this paper we explore the impact of these interactions on labour productivity and unemploymen... Read More about International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics.

Probabilistic Forecasting of Bubbles and Flash Crashes (2020)
Journal Article
Banerjee, A., Chevillon, G., & Kratz, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. The Econometrics Journal, 23(2), 297-315. https://doi.org/10.1093/ectj/utaa004

We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an... Read More about Probabilistic Forecasting of Bubbles and Flash Crashes.

The Endgame (2019)
Journal Article
Banerjee, A., Markovich, S., & Secciay, G. (2019). The Endgame. Games and Economic Behavior, 118, 176-192. https://doi.org/10.1016/j.geb.2019.08.010

On December 1st, 2009 President Obama announced that the U.S. troops would have started leaving Afghanistan on July 2011. Rather than simply waiting \the U.S. troops out," the Taliban forces responded with a spike in attacks followed by a decline as... Read More about The Endgame.

The information content of forward moments (2019)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. https://doi.org/10.1016/j.jbankfin.2019.07.021

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structu... Read More about The information content of forward moments.

International trade, non-trading firms and their impact on labour productivity (2019)
Working Paper
Millard, S., Nicolae, A., & Nower, M. (2019). International trade, non-trading firms and their impact on labour productivity

In this paper we examine the impact of non-trading firms on labour productivity and its persistence in response to macroeconomic shocks, through their entry and exit into the domestic market, in a model with monopolistic competition and heterogeneous... Read More about International trade, non-trading firms and their impact on labour productivity.

Demand for household sanitation in India using NFHS-3 data (2017)
Journal Article
Banerjee, A. N., Banik, N., & Dalmia, A. (2017). Demand for household sanitation in India using NFHS-3 data. Empirical Economics, 53(1), 307-327. https://doi.org/10.1007/s00181-017-1250-5

India has the highest number of people defecating in the open, and the Indian Government is trying to eradicate by constructing toilets for its citizens. This paper is about whether the government is likely to succeed in its cleanliness drive mission... Read More about Demand for household sanitation in India using NFHS-3 data.

Analysis of hydrodilatation as part of a combined service for stiff shoulder (2017)
Journal Article
Sinha, R., Patel, P., Rose, N., Tuckett, J., Banerjee, A., Williams, J., …Stuart, P. (2017). Analysis of hydrodilatation as part of a combined service for stiff shoulder. Shoulder & Elbow, 9(3), 169-177. https://doi.org/10.1177/1758573216687273

Background: Adhesive capsulitis is a common cause of stiff shoulder and may result in pain and restriction of movement. The study aimed to investigate the role of hydrodilatation of the glenohumeral joint in the management of adhesive capsulitis. Met... Read More about Analysis of hydrodilatation as part of a combined service for stiff shoulder.

Corporate financing and anticipated credit rating changes (2016)
Journal Article
Hung, C. D., Banerjee, A. N., & Meng, Q. (2017). Corporate financing and anticipated credit rating changes. Review of Quantitative Finance and Accounting, 48(4), 893-915. https://doi.org/10.1007/s11156-016-0571-3

Firm circumstances change but rating agencies may not make timely revisions to their ratings, thereby increasing information asymmetry between firms and the market. We examine whether firms time the securities market before a credit rating agency pub... Read More about Corporate financing and anticipated credit rating changes.

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis (2015)
Journal Article
Banerjee, A., Hung, C., & Lo, K. (2016). An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis. Journal of International Financial Markets, Institutions and Money, 41, 102-120. https://doi.org/10.1016/j.intfin.2015.12.007

In this paper we assess the effectiveness of large scale bailouts aiming at preventing a financial crisis from further propagating into a systemic risk. We examine the structural changes in the relationship between the sovereign and financial institu... Read More about An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis.

The Dynamics of Income Growth and Poverty: Evidence from Districts in India (2015)
Journal Article
Banerjee, A., Banik, N., & Mukhopadhyay, J. (2015). The Dynamics of Income Growth and Poverty: Evidence from Districts in India. Development Policy Review, 33(3), 293-312. https://doi.org/10.1111/dpr.12110

This article examines the dynamics of the income-distribution pattern in India during the post-1991 economic reforms. It considers district-level per-capita income data across agriculture, manufacturing, services, and various constituent sub-sectors,... Read More about The Dynamics of Income Growth and Poverty: Evidence from Districts in India.

Stock market literacy, trust, and participation (2014)
Journal Article
Balloch, A., Nicolae, A., & Philip, D. (2015). Stock market literacy, trust, and participation. Review of Finance, 19(5), 1925-1963. https://doi.org/10.1093/rof/rfu040

This article studies the importance of stock market literacy and trust for stock ownership decisions. We find that these two distinct channels simultaneously explain not only the probability of participation, but, conditional on participation, also e... Read More about Stock market literacy, trust, and participation.

How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea? (2014)
Journal Article
Hung, C., & Banerjee, A. (2014). How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?. Emerging Markets Review, 21, 67-81. https://doi.org/10.1016/j.ememar.2014.08.001

We compare the momentum strategies to “naive” uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (... Read More about How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?.

The Effect of the Financial Crisis on TFP Growth: A General Equilibrium Approach. (2014)
Working Paper
Millard, S., & Nicolae, A. (2014). The Effect of the Financial Crisis on TFP Growth: A General Equilibrium Approach

In this paper, we use a simple endogenous growth model to show how a financial crisis might have a permanent effect on the level of total factor productivity (TFP). In the model, a financial shock leads to a rise in the spread between the rate of int... Read More about The Effect of the Financial Crisis on TFP Growth: A General Equilibrium Approach..

Is India Shining? (2014)
Journal Article
Banerjee, A., & Banik, N. (2014). Is India Shining?. Review of Development Economics, 18(1), 59-72. https://doi.org/10.1111/rode.12069

The popular perception about economic reforms having benefitted only the richer districts of India between 1999/2000 and 2004/2005 is investigated. Using the spatial dynamics of district-level per-capita income it was found that income distribution d... Read More about Is India Shining?.

Functional cointegration: definition and nonparametric estimation (2014)
Journal Article
Banerjee, A., & Pitarakis, J. (2014). Functional cointegration: definition and nonparametric estimation. Studies in Nonlinear Dynamics & Econometrics, 18(5), 507-520. https://doi.org/10.1515/snde-2013-0083

We formally define a concept of functional cointegration linking the dynamics of two time series via a functional coefficient. This is achieved through the use of a concept of summability as an alternative to I(1)’ness which is no longer suitable und... Read More about Functional cointegration: definition and nonparametric estimation.