Economics Faculty Directory

"Securities fraud and corporate board turnover: New evidence from lawsuit outcomes", with James Bohn and Atreya Chakraborty, International Review of Law and Economics, 2016, 48:14-25. DOI: 10.1016/j.irle.2016.07.001

An Introduction to Modern Econometrics Using Stata, 2006. College Station, TX: Stata Press. Chinese translation, China Renmin University Press, 2012. Russian translation, Yurayt Publishing, 2016.

"The impact of state cigarette taxes on disparities in maternal smoking during pregnancy," with Summer Sherburne Hawkins, 2014. American Journal of Public Health, 104:8, 1464-1470.

"The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity", with Mustafa Caglayan and Oleksandr Talavera, 2013. Review of International Economics, 21:3, 459-474.

"What do Chinese macro announcements tell us about the world economy?", with Alexander Kurov and Marketa Halova Wolfe, 2015. Journal of International Money and Finance, 59, 100-122.

Working Paper 975. Christopher F. Baum, Boston College and Arthur Lewbel, Boston College, "Advice on using heteroscedasticity based identification", (02/2019; PDF)

Working Paper 965. Christopher F. Baum, Linda Dastory, CESIS, KTH Royal Institute of Technology, Hans Lööf, CESIS, KTH Royal Institute of Technology, and Andreas Stephan, Jönköping International Business School, "Migrant STEM Entrepreneurs", (10/2018; PDF)

Working Paper 963. Christopher F. Baum, Hans Lööf, CESIS, KTH Royal Institute of Technology, and Andreas Stephan, Jönköping International Business School, "Refugee immigrants, occupational sorting and wage gaps", (10/2018; PDF)

Working Paper 962. Christopher F. Baum, Hans Lööf, CESIS, KTH Royal Institute of Technology, and Andreas Stephan, Jönköping, International Business School, "Economic impact of STEM immigrant workers", (10/2018; PDF)

Working Paper 953. Liyuan Chen, University of York, Paola Zerilli, University of York, and Christopher F Baum, "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications", (01/2018; PDF)

Working Paper 952. Christopher F Baum, Paola Zerilli, University of York, and Liyuan Chen, University of York, "Stochastic volatility and leverage effect in energy markets: evidence from high frequency data with VaR and CVaR risk analysis", (06/2015; PDF)

Working Paper 948. Giovanni Cerulli, CNR-IRCrES, Maria Ventura, STICERD, London School of Economics, and Christopher F. Baum, "The Economic Determinants of Crime: an Approach through Responsiveness Scores", (03/2018; PDF)

Workinig Paper 939. Christopher F. Baum, Boston College, Mustafa Caglayan, Heriot-Watt University, and Bing Xu, Heriot-Watt University, "The Impact of Uncertainty on Financial Institutions", (rev. 09/2018; PDF)

Working Paper 936. Christopher F. Baum, Madhavi Pundit, Asian Development Bank, and Arief Ramayandi, Asian Development Bank, "Capital Flows and Financial Stability in Emerging Economies", (10/2017; PDF)

Working Paper 918. Christopher F. Baum, Atreya Chakraborty (University of Massachusetts-Boston), and Boyan Liu (Beihang University) "Corporate Financial Policy and the Value of Cash under Uncertainty" (PDF; published, International Journal of Managerial Finance, 2017, 13(2), 149-164)

Working Paper 876. Christopher F Baum, Hans Lööf (Royal Institute of Technology, Stockholm), Pardis Nabavi (Royal Institute of Technology, Stockholm), and Andreas Stephan (Jönkoping International Business School), "A New Approach to Estimation of the R&D-Innovation-Productivity Relationship" (PDF; published, Economics of Innovation and New Technology, 2017, 26:1-2, 121-133)

Working Paper 865. Michael Pesko (Cornell University) and Christopher F Baum, "The Self-Medication Hypothesis: Evidence from Terrorism and Cigarette Accessibility" (02/2016, PDF; published, Economics and Human Biology, 22:94-102)

Working Paper 860. Christopher F Baum and Paola Zerilli (University of York), "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility" (10/2014, PDF; published, Energy Economics, 53-175-181)

Working Paper 841. Christopher F Baum, Margarita Karpava (MediaCom London), Dorothea Schäfer (DIW Berlin) and Andreas Stephan (Jönköping International Business School), "Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises" (PDF; published Journal of Financial Stability, 2016, 24, 117-131)

Working Paper 834. Christopher F Baum, Marketa Halova Wolfe (Washington State University) and Alexander Kurov (West Virginia University), "Does Regular Economic News from Emerging Countries Move Markets? Evidence from Chinese Macro Announcements" (rev. 06/2015, PDF; published, Journal of International Money and Finance, 59:100-122)

Working Paper 822. Christopher F Baum, Mustafa Caglayan (Heriot-Watt University), Abdul Rashid (International Islamic University, Islamabad), "Capital Structure Adjustments: Do Macroeconomic and Business Risks Matter?" (rev. 08/2016, PDF; forthcoming, Empirical Economics)

Working Paper 794. Christopher F Baum, Mustafa Caglayan (Heriot-Watt University) and Oleksandr Talavera (University of Sheffield), "R&D Expenditures and Geographical Sales Diversification" (rev. 10/2013, PDF; published, Manchester School, 84:2, 197-221)

Working Paper 786. Daniel Kim (RAND Corporation), Christopher F Baum, Michael Ganz (Abt Bio-Pharma Solutions, Inc.), S.V. Subramanian (Harvard School of Public Health), Ichiro Kawachi (Harvard School of Public Health), "The contextual effects of social capital on health: A cross-national instrumental variable analysis" (10/2011, PDF; published, Social Science & Medicine, 73:12, 1689-1697, 2011)

Working Paper 764. Christopher F Baum, Mark E Schaffer (Heriot-Watt University) and Steven Stillman (University of Waikato), "Using Stata for Applied Research: Reviewing its Capabilities" (12/2010, PDF; published, Journal of Economic Surveys, 2011, 25:2, 380-394)

Working Paper 730. Oleg Badunenko (DIW Berlin), Christopher F Baum and Dorothea Schäfer (DIW Berlin), "Does the tenure of Private Equity investment improve the performance of European firms?" (03/2010, PDF)

Working Paper 726. Christopher F Baum, Atreya Chakraborty (University of Massachusetts-Boston), Liyan Han (Beihang University) and Boyan Liu (Beihang University), "The Effects of Uncertainty and Corporate Governance on Firms' Demand for Liquidity" (11/2009, PDF; published, Applied Economics, 2012, 44:4, 515-525)

Working Paper 724. Christopher F Baum and Chi Wan (Carleton University) "Macroeconomic Uncertainty and Credit Default Swap Spreads" (rev. 03/2010: PDF; published, Applied Financial Economics, 20, 1163-1171, 2010)

Working Paper 712. Christopher F Baum, Mustafa Caglayan (Heriot-Watt University of Sheffield) and Oleksandr Talavera (University of Sheffield), "The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity" (rev. 07/2012, PDF; published, Review of International Economics, 21:3, 459-474, 2013)

Working Paper 705. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (University of East Anglia), "Parliamentary Election Cycles and the Turkish Banking Sector" (rev. 02/2010, PDF; published, Journal of Banking and Finance, 34, 2709-2719, 2010)

Working Paper 695. Christopher F Baum and Mustafa Caglayan (University of Sheffield), "The Volatility of International Trade Flows and Exchange Rate Uncertainty" (11/2008, 248 Kb, PDF)

Working Paper 690. Christopher F Baum, Dorothea Schäfer (DIW Berlin) and Oleksandr Talavera (University of East Anglia), "The Impact of the Financial System's Structure on Firms' Financial Constraints" (rev. 09/2010, PDF; published, Journal of International Money and Finance, 2011, 30, 678-691)

Working Paper 688. Christopher F Baum, Atreya Chakraborty (University of Massachusetts-Boston) and Boyan Liu (Beihang University), "The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage" (08/2008, 131 Kb, PDF; published, International Journal of Finance and Economics, 15:1, 22-30, 2010)

Working Paper 686. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (Robert Gordon University), "On the Investment Sensitivity of Debt under Uncertainty" (rev. 09/2009, PDF; published, Economics Letters, 2010, 106:25-27)

Working Paper 667. Christopher F Baum, Mark E. Schaffer (Heriot-Watt University) and Steven Stillman (Motu Economic and Public Policy Research), "Enhanced routines for instrumental variables/GMM estimation and testing" (09/2007, 410 Kb, PDF; published, Stata Journal, 7:4, 465-506, 2007)

Working Paper 664. Christopher F Baum, James G. Bohn and Atreya Chakraborty (University of Massachusetts-Boston), "Corporate Board Turnover and Securities Fraud Litigation: Some new evidence from case outcomes" (rev. 05/2016, PDF; published, International Review of Law and Economics, 2016, 48, 14-25)

Working Paper 657. Christopher F Baum, Mustafa Caglayan (University of Sheffield), Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "Political Patronage in Ukranian Banking" (rev. 02/2008, 133 Kb, PDF; published, Economics of Transition, 16(3), 2008, 537-557)

Working Paper 646. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (DIW Berlin), "Uncertainty Determinants of Firm Investment" (07/2006, 140 Kb, PDF; published, Economics Letters, 98:3, 282-287, 2008)

Working Paper 641. Christopher F Baum and Mustafa Caglayan (University of Sheffield), "On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty" (rev. 07/2008, 212 Kb, PDF; published, Journal of International Money and Finance, 2010, 29, 79-93.)

Working Paper 638. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Oleksandr Talavera (Aberdeen Business School), "On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty" (rev. 04/2008, 211 Kb, PDF; published, Oxford Economic Papers, 62 (2010))

Working Paper 637. Christopher F Baum, Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany" (rev. 05/2006, 188 Kb, PDF)

Working Paper 636. Christopher F Baum, Dorothea Schäfer (DIW-Berlin) and Oleksandr Talavera (DIW-Berlin), "The Effects of Short-Term Liabilities on Profitability: A Comparison of German and US Firms" (rev. 04/2007, 164 Kb, PDF)

Working Paper 634. Christopher F Baum, Mustafa Caglayan (University of Sheffield), Andreas Stephan (European University Viadrina & DIW Berlin) and Oleksandr Talavera (DIW Berlin), "Uncertainty Determinants of Corporate Liquidity" (01/2006, 307 Kb, PDF; published, Economic Modelling, 25 (2008), pp. 833-849)

Working Paper 612. Christopher F Baum, "A little bit of Stata programming goes a long way..." (06/2005, 238 Kb, PDF format)

Working Paper 602. Christopher F Baum, Andreas Stephan (European University Viadrina & DIW Berlin) and Oleksandr Talavera (DIW Berlin), "The Effects of Uncertainty on the Leverage of Non-Financial Firms" (rev. 07/2007, 200 Kb, PDF; published, Economic Inquiry, 47 (2009), pp. 216-225)

Working Paper 598. Christopher F Baum, "Stata: The language of choice for time series analysis?" (rev. 09/2004, 148 Kb, PDF; published, Stata Journal, 2005, 5:46-63)

Working Paper 581. Christopher F Baum, "A review of Stata 8.1 and its time series capabilities" (10/2003, 218 Kb, PDF; published, International Journal of Forecasting, 2004, 20:151-161.)

Working Paper 566. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms" (06/2003, 128 Kb, PDF)

Working Paper 561. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "The role of uncertainty in the transmission of monetary policy effects on bank lending" (rev. 07/2007, PDF; published, Manchester School, 81:2, 202-225, 2013)

Working Paper 558. John Barkoulas (University of Tennessee) and Christopher F Baum, "Long-Memory Forecasting of U.S. Monetary Indices" (05/2003, 4 Mb, PDF format; published, Journal of Forecasting, 2006, 25, 291-302)

Working Paper 552. Christopher F Baum, Mustafa Caglayan (University of Glasgow), Neslihan Ozkan (University of Bristol) and Oleksandr Talavera (DIW Berlin), "The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity" (rev. 12/2005, 232 Kb, PDF format; published, Review of Financial Economics. 15, 289-304, 2006. Prior version circulated as Discussion Paper No. 04-10, ZEW, Mannheim, Germany)

Working Paper 545. Christopher F Baum, Mark E. Schaffer (Heriot-Watt University) and Steven Stillman (New Zealand Department of Labour), "Instrumental variables and GMM: Estimation and testing" (rev. 02/2003, 384 Kb, PDF; published, Stata Journal, 3(1), 1-31, 2003)

Working Paper 531. Christopher F Baum, "Facilitating Applied Economic Research with Stata" (01/2002, 109 Kb, PDF format; Chapter 7 in Programming Languages and Systems in Computational Economics and Finance, Soren S. Nielsen, ed.)

Working Paper 521. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "The second moments matter: The response of bank lending behavior to macroeconomic uncertainty" (rev. 08/2008, 120 Kb, PDF; published, Economics Letters, 2009, 102, 87-89)

Working Paper 520. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Bristol), "Sectoral Fluctuations in U.K. Firms' Investment Expenditures" (rev. 06/2003, 111 Kb, PDF; published, Economics Bulletin, 5:13, 2003)

Working Paper 492. Christopher F Baum and John Barkoulas (Georgia Southern University), "Dynamics of Intra-EMS Interest Rate Linkages" (rev. 06/2004, 2.6 Mb, PDF; published, Journal of Money, Credit and Banking, 2006, 38, 469-482)

Working Paper 488. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and Neslihan Ozkan (University of Liverpool), "Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports" (rev. 07/2002, 1349 Kb, PDF; pubished, Journal of Applied Econometrics, 19:1-23, 2004)

Working Paper 472. Basma Bekdache (Wayne State University) and Christopher F Baum, "A re-evaluation of empirical tests of the Fisher hypothesis" (09/2000, 224 Kb, PDF format)

Working Paper 464. Natalya Delcoure (Louisiana Tech University), John Barkoulas (University of Tennessee), Christopher F Baum and Atreya Chakraborty (Charles River Associates), "The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test" (06/2000, 76 Kb, PDF format; published, Global Finance Journal, 14, 83-93.)

Working Paper 461. John Barkoulas (Louisiana Tech University), Christopher F. Baum and Atreya Chakraborty (Charles River Associates), "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums" (rev. 09/2001, 194 Kb, PDF; published, Journal of Macroeconomics, 2003, 25, 109-122)

Working Paper 422. Christopher F Baum, Mustafa Caglayan (University of Sheffield) and John T. Barkoulas (Louisiana Tech University), "Exchange Rate Uncertainty and Firm Profitability" (revised 06/2000, 120 Kb, PDF; published, Journal of Macroeconomics, 2001, 23, 565-576)

Working Paper 409. Basma Bekdache (Wayne State University) and Christopher F Baum, "Modeling fixed income excess returns" (Rev. 04/2000, 716 Kb, PDF)

Working Paper 405. John T. Barkoulas (Louisiana Tech University), Christopher F Baum and Mustafa Caglayan (University of Liverpool), "Exchange Rate Effects on the Volume and Variability of Trade Flows" (revised 09/2001, 132 Kb, PDF; published, Journal of International Money and Finance, 21, 481-496, 2002)

Working Paper 404. Christopher F Baum, Mustafa Caglayan (Koc University) and John T. Barkoulas (Louisiana Tech University), "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era" (rev. 11/1999, 1447 Kb, PDF; published, Journal of International Money and Finance, 20, 379-399, 2001)

Working Paper 396. John T. Barkoulas (Louisiana Tech University), Christopher F Baum and Atreya Chakraborty (Brandeis University), "Waves and Persistence in Merger and Acquisition Activity" (Rev. 12/1999, 413 Kb, PDF; published, Economics Letters, 70, 237-243, 2001)

Working Paper 393. Atreya Chakraborty (Brandeis University), Christopher F Baum, "Poison Pills, Optimal Contracting and the Market for Corporate Control: Evidence from Fortune 500 Firms" (11/1997, 51 Kb, PDF; published, International Journal of Finance, 1998, 10:3, 1120-1138)

Working Paper 384. Christopher F Baum and Clifford F. Thies (Shenandoah University), "Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money" (09/1997, 197 Kb, PDF; published, Journal of Economics and Finance, 1998, 22:2-3, 5-12)

Working Paper 380. Christopher F Baum, John T. Barkoulas, and Mustafa Caglayan, "Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?" (Rev. 01/1999, 170 Kb, PDF; published, Journal of International Financial Markets, Institutions, and Money, 1999, 9, 359-376)

Working Paper 377. John T. Barkoulas (Georgia Southern University), Christopher F. Baum, Mustafa Caglayan (University of Leicester) and Atreya Chakraborty (The Brattle Group), "Persistent Dependence in Foreign Exchange Rates? A Reexamination" (rev. 04/2000, 504 Kb, PDF; published in Global Financial Markets: Issues and Strategies, D. Ghosh and M. Ariff, eds., Praeger Publishers, 2004)

Working Paper 375. Christopher F Baum and Meral Karasulu (Bogazici University), "Credible Disinflation Policy in a Dynamic Setting" (06/1997, 456 Kb, PDF)

Working Paper 372. Basma Bekdache (Wayne State University) and Christopher F Baum, "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates" (06/1997, 570 Kb, PDF)

Working Paper 363. Christopher F Baum and Meral Karasulu (International Monetary Fund), "Monetary Policy in the Transition to a Zero Federal Deficit" (04/1997, 105 Kb, PDF; published in Inflation, Fiscal Policy and Central Banks, Nova Science Publishers, 2007)

Working Paper 361. John Barkoulas and Christopher F Baum, "Long Memory and Forecasting in Euroyen Deposit Rates" (02/1997, 199 Kb, PDF; published in Financial Engineering and the Japanese Markets, 1997, 4:189-201)

Working Paper 356. John T. Barkoulas, Christopher F Baum and Nickolaos Travlos, "Long Memory in the Greek Stock Market" (12/1996, 161 Kb, PDF; published, Applied Financial Economics, 2000, 10:2, 177-184.)

Working Paper 349. John T. Barkoulas, Christopher F Baum and Gurkan S. Oguz (Tufts), "Stochastic Long Memory in Traded Goods Prices" (10/1996, 173 Kb, PDF; published in Applied Economics Letters, 1998, 5:135-138)

Working Paper 335. Christopher F Baum and Meral Karasulu (Bogazici University), "Modelling Federal Reserve Discount Policy" (rev. 10/1996, 93 Kb, PDF; published, Computational Economics, 11, 53-70, 1998)

Working Paper 334. John Barkoulas and Christopher F Baum, "Fractional Dynamics in Japanese Financial Time Series" (rev. 07/1997, 99 Kb, PDF; Pacific-Basin Finance Journal, 6:1/2, 1998)

Working Paper 333. Christopher F Baum, John Barkoulas and Mustafa Caglayan, "Persistence in International Inflation Rates" (rev. 09/1997, 714 Kb, PDF; published in Southern Economic Journal, 65:4 (1999), 900-913)

Working Paper 332. Christopher F Baum and Clifford F. Thies (Shenandoah University), "Q, Cash Flow and Investment: An Econometric Critique" (revised 08/1997, 182 Kb, PDF; published in Review of Quantitative Finance and Accounting, 1999, 12:35-47).

Working Paper 321. John Barkoulas, Christopher F Baum and Mustafa Caglayan, "Fractional Monetary Dynamics" (rev. 01/1998, 57 Kb, PDF; published in Applied Economics, 1999, 31, 1393-1400.)

Working Paper 320. John Barkoulas, Christopher F Baum, Joseph Onochie (Baruch College), "A Nonparametric Investigation of the 90-Day T-Bill Rate" (rev. 05/1997, 90 Kb, PDF; published in Review of Financial Economics, 1997, 6:2, 187-198).

Working Paper 317. John Barkoulas, Christopher F Baum, "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates" (rev. 10/1996, 75 Kb, PDF; published in Journal of Financial Research, Fall 1997, 20:3, 355-372).

Working Paper 315. John Barkoulas, Christopher F Baum and Gurkan S. Oguz, "Fractional Cointegration Analysis of Long Term International Interest Rates" (rev. 10/1996, 281 Kb, PDF; published in International Journal of Finance, 1997, 9:2, 586-606).

Working Paper 314. John Barkoulas and Christopher F Baum, "Long Term Dependence in Stock Returns" (04/1996, 178 Kb, PDF; published in Economics Letters, 1996, 53:3, 253-259)

Working Paper 313. John Barkoulas, Christopher F. Baum, and Atreya Chakraborty, "Nearest-Neighbor Forecasts of U.S. Interest Rates" (02/1996, 231 Kb, PDF; published in International Journal of Banking and Finance, 1:1, 119-135, 2003)

Working Paper 311. Christopher F Baum and John T. Barkoulas, "A Re-examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency" (02/1996, 352Kb, PDF; published in Applied Financial Economics, 1997, 7:635-643).

Working Paper 288. Christopher F Baum and Basma Bekdache, Factor-GARCH Modeling of the Treasury Term Structure (revised 06/1996, 221 Kb, PDF; published in H. Amman et al.,eds., Computational Approaches to Economic Problems, Dordrecht: Kluwer Academic Publishers, 1997).

Working Paper 281. Christopher F Baum and John T. Barkoulas, Time-Varying Risk Premia in the Foreign Currency Futures Basis (01/1996, 192 Kb, PDF; published in Journal of Futures Markets 16:7, 735-755).

Working Paper 275. Olin Liu (International Monetary Fund) and Christopher F. Baum, "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates" (10/1994, 1.8 Mb, PDF)