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All Outputs (27)

Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices (2023)
Journal Article
Chowdhury, M. S. R., & Damianov, D. S. (2023). Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices. International Review of Financial Analysis, 91, Article 102949. https://doi.org/10.1016/j.irfa.2023.102949

In this paper, we examine whether newly developed crypto price and policy uncertainty indices based on news coverage (Lucey et al., 2022) are associated with the emergence of bubbles in cryptocurrencies. Using probit regressions, we show that these i... Read More about Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices.

Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas (2022)
Journal Article
Chowdhury, M. S. R., Damianov, D. S., & Escobari, D. (2024). Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas. Journal of Real Estate Finance and Economics, 69, 132–163. https://doi.org/10.1007/s11146-022-09925-w

Contagion occurs when cross-market correlation increases because of a shock to one market. Identifying shocks as episodes of house price exuberance, we provide evidence for contagion effects among the largest metropolitan markets in the US. We find t... Read More about Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas.

Auctions for Charity: The Curse of the Familiar (2021)
Journal Article
Carpenter, J., Damianov, D., & Matthews, P. (2022). Auctions for Charity: The Curse of the Familiar. International Economic Review, 63(3), 1109-1135. https://doi.org/10.1111/iere.12559

Recently there has been considerable interest in the use of raffles and auctions to fund public goods. Economists have developed theories that predict which of the standard mechanisms should do well and they have run a variety of experiments to test... Read More about Auctions for Charity: The Curse of the Familiar.

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation? (2021)
Journal Article
Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts... Read More about Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?.

Google search queries, foreclosures, and house prices (2020)
Journal Article
Damianov, D. S., Wang, X., & Yan, C. (2021). Google search queries, foreclosures, and house prices. Journal of Real Estate Finance and Economics, 63(2), 177-209. https://doi.org/10.1007/s11146-020-09789-y

We study whether Google search behavior for “mortgage assistance” and “foreclosure help” aggregated in the mortgage default risk indicator (MDRI) of Chauvet et al. (2016) helps predict future house prices and foreclosures in local residential markets... Read More about Google search queries, foreclosures, and house prices.

Does Bitcoin add value to global industry portfolios? (2020)
Journal Article
Damianov, D. S., & Elsayed, A. H. (2020). Does Bitcoin add value to global industry portfolios?. Economics Letters, 191, Article 108935. https://doi.org/10.1016/j.econlet.2019.108935

Bitcoin has been increasingly viewed as a new form of investment, yet its role as an asset in a diversified industry portfolio is not well understood. In this paper, we explore the dynamic interdependence between Bitcoin and the ten global industry s... Read More about Does Bitcoin add value to global industry portfolios?.

Getting on and Moving Up the Property Ladder: Real hedging in the U.S. Housing Market Before and After the Crisis (2019)
Journal Article
Damianov, D. S., & Escobari, D. (2021). Getting on and Moving Up the Property Ladder: Real hedging in the U.S. Housing Market Before and After the Crisis. Real Estate Economics, 49(4), 1201-1237. https://doi.org/10.1111/1540-6229.12276

Real hedging is the practice of getting onto the property ladder in order to trade up to a larger home in the future. We define the value of the real hedge of home ownership as the difference between the risk premiums of renting and owning and explor... Read More about Getting on and Moving Up the Property Ladder: Real hedging in the U.S. Housing Market Before and After the Crisis.

Asymmetric Endogenous Prize Contests (2018)
Journal Article
Damianov, D., Sanders, S., & Yildizparlak, A. (2018). Asymmetric Endogenous Prize Contests. Theory and Decision, 85(3-4), 435-453. https://doi.org/10.1007/s11238-018-9661-0

We consider a two-player contest in which one contestant has a headstart advantage, but both can exert further effort. We allow the prize to depend on total performance in the contest and consider the respective cases in which efforts are productive... Read More about Asymmetric Endogenous Prize Contests.

Prize-Based Mechanisms for Fund-Raising: Theory and Experiments (2018)
Journal Article
Damianov, D., & Peeters, R. (2018). Prize-Based Mechanisms for Fund-Raising: Theory and Experiments. Economic Inquiry, 56(3), 1562-1584. https://doi.org/10.1111/ecin.12570

We study the optimal design of mechanisms for the private provision of public goods in a setting in which donors compete for a prize of commonly known value. We discuss equilibrium bidding in mechanisms that promote both conditional cooperation and c... Read More about Prize-Based Mechanisms for Fund-Raising: Theory and Experiments.

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market (2018)
Journal Article
Damianov, D., & Elsayed, A. (2018). On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market. Finance Research Letters, 27, 193-200. https://doi.org/10.1016/j.frl.2018.03.001

Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (REITs) mar... Read More about On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market.

Teaching Futures Markets with the “ZIP Code” Trading Game (2018)
Journal Article
Damianova, E., & Damianov, D. (2018). Teaching Futures Markets with the “ZIP Code” Trading Game. Journal of financial education, 44(1), 79-99. https://doi.org/10.2307/26573537

The price dynamics of futures markets and the spot-futures convergence are among the hardest concepts for students to fully understand in a traditional lecture. In this paper we present a classroom exercise designed to enable students to better grasp... Read More about Teaching Futures Markets with the “ZIP Code” Trading Game.

Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble (2015)
Journal Article
Damianov, D., & Escobari, D. (2016). Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble. Journal of Real Estate Finance and Economics, 53(1), 1-28. https://doi.org/10.1007/s11146-015-9523-2

We use vector error correction models to examine the interdependence between the high and the low price tiers during the latest housing market boom and bust. For 118 of the 364 US statistical areas analyzed, the tiered price indexes are bound by a lo... Read More about Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble.

Should Lotteries Offer Discounts on Multiple Tickets? (2014)
Journal Article
Damianov, D. (2015). Should Lotteries Offer Discounts on Multiple Tickets?. Economics Letters, 126, 84-86. https://doi.org/10.1016/j.econlet.2014.11.002

In a complete information setting we show that the standard lottery–in which each lottery ticket is offered for the same price–is an optimal fundraising mechanism in the presence of strong asymmetries in the way bettors value the prize and the public... Read More about Should Lotteries Offer Discounts on Multiple Tickets?.

A Time Series Test to Identify Housing Bubbles (2013)
Journal Article
Escobari, D., Damianov, D., & Bello, A. (2015). A Time Series Test to Identify Housing Bubbles. Journal of Economics and Finance, 39(1), 136-152. https://doi.org/10.1007/s12197-013-9251-5

In this paper we propose a new time series empirical test to identify housing bubble periods. Our test estimates the beginning and the burst of bubbles as structural breaks in the difference between the appreciation rates of the Case-Shiller price ti... Read More about A Time Series Test to Identify Housing Bubbles.

Why Don't You Two Get a Room? A Puzzle and Pricing Model of Extra Services in Hotels (2012)
Journal Article
Damianov, D., & Sanders, S. (2012). Why Don't You Two Get a Room? A Puzzle and Pricing Model of Extra Services in Hotels. Journal of Industrial Organization Education, 6(1), Article 1035. https://doi.org/10.1515/1935-5041.1035

This case study focuses on the following “rational riddle” raised in a recent popular economics book: Hotels in Britain usually charge per guest while hotels in the US typically charge per room. What is the reason for this difference? We propose a pr... Read More about Why Don't You Two Get a Room? A Puzzle and Pricing Model of Extra Services in Hotels.

Seller Competition by Mechanism Design (2012)
Journal Article
Damianov, D. (2012). Seller Competition by Mechanism Design. Economic Theory, 51(1), 105-137. https://doi.org/10.1007/s00199-010-0597-z

This paper analyzes a market game in which sellers offer trading mechanisms to buyers and buyers decide which seller to go to depending on the trading mechanisms offered. In a (subgame perfect) equilibrium of this market, sellers hold auctions with a... Read More about Seller Competition by Mechanism Design.