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All Outputs (29)

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.

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.

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.

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?.

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.

Informed Momentum Trading versus Uninformed "Naive" Investors Strategies (2011)
Journal Article
Banerjee, A., & Hung, C. (2011). Informed Momentum Trading versus Uninformed "Naive" Investors Strategies. Journal of Banking and Finance, 35(11), 3077-3089. https://doi.org/10.1016/j.jbankfin.2011.04.005

We construct a zero-net-worth uninformed ”naive investor” who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profi... Read More about Informed Momentum Trading versus Uninformed "Naive" Investors Strategies.

Is India shining? (2011)
Preprint / Working Paper
Banerjee, A., & Banik, N. (2011). Is India shining?

In India, the popular perception is economic reforms have benefited the rich more than the poor leading to an unequal income distribution, as in Quah's twin peaks hypothesis. In this article we test this hypothesis by studying the spatial dynamics of... Read More about Is India shining?.

The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade. (2011)
Preprint / Working Paper
Banerjee, A., & Banik, N. (2011). The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade

In India, the popular perception is that economic reforms have benefited the rich more than the poor, leading to unequal income distribution as in Quah’s twin peaks hypothesis. If economic reforms are pro-rich then we would see the emergence of twin... Read More about The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade..

Skating on Thin Ice: Rule Changes and Team Strategies in the NHL. (2007)
Journal Article
Banerjee, A., Swinnen, J. F., & Weersink, A. (2007). Skating on Thin Ice: Rule Changes and Team Strategies in the NHL. Canadian Journal of Economics, 40(2), 493-514. https://doi.org/10.1111/j.1540-5982.2007.00418.x

Abstract.  In an effort to stimulate a more exciting and entertaining style of play, the National Hockey Association (NHL) changed the rewards associated with the results of overtime games. Under the new rules, teams tied at the end of regulation bot... Read More about Skating on Thin Ice: Rule Changes and Team Strategies in the NHL..

The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions (2007)
Journal Article
Wan, A., Zou, G., & Banerjee, A. (2007). The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions. Economics Letters, 94(2), 213-219. https://doi.org/10.1016/j.econlet.2006.06.032

It is well known that the Durbin–Watson and several other tests for first-order autocorrelation have limiting power of either zero or one in a linear regression model without an intercept, and a constant lying strictly between these values when an in... Read More about The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions.