Skip to main content Accessibility help
×
  • Cited by 108
Publisher:
Cambridge University Press
Online publication date:
December 2009
Print publication year:
2006
Online ISBN:
9780511607226

Book description

The authors examine the conditions under which democratic events, including elections, cabinet formations, and government dissolutions, affect asset markets. Where these events have less predictable outcomes, market returns are depressed and volatility increases. In contrast, where market actors can forecast the result, returns do not exhibit any unusual behavior. Further, political expectations condition how markets respond to the political process. When news causes market actors to update their political beliefs, market actors reallocate their portfolios, and overall market behavior changes. To measure political information, Professors Bernhard and Leblang employ sophisticated models of the political process. They draw on a variety of models of market behavior, including the efficient markets hypothesis, capital asset pricing model, and arbitrage pricing theory, to trace the impact of political events on currency, stock, and bond markets. The analysis will appeal to academics, graduate students, and advanced undergraduates across political science, economics, and finance.

Reviews

'… combination of single case studies with broader cross-country analyses … not only provide the ground for … future research, but also are a great starting point for students of political economy that have not yet been exposed to research in this area.'

Source: Swiss Political Science Review

Refine List

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
×

Contents

References
References
Alesina, A., Broeck, M., Prati, A. and Tabellini, G. (1992). Default risk on government debt in OECD countries. Economic Policy, 15, 427–51.
Alesina, A., Grilli, V. and Milesi-Ferretti, G. M. (1994). The political economy of capital controls. In Capital Mobility: the Impact on Consumption, Investment, and Growth, eds. Leiderman, L. and Razin, A.. Cambridge: Cambridge University Press.
Alesina, A. and Rosenthal, H. (1995). Partisan Politics, Divided Government, and the Economy. New York: Cambridge University Press.
Alesina, A. and Roubini, N. (1997). Political Cycles and the Macroeconomy. Cambridge: MIT Press.
Alesina, A., Roubini, N. and Cohen, G. (1993). Electoral business cycles in industrial democracies. European Journal of Political Economy, 23, 1–25.
Alesina, A. and Sachs, J. (1988). Political parties and the business cycle in the United States: 1948–1984. Journal of Money, Credit, and Banking, 20(1), 63–82.
Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis. New York: John Wiley & Sons.
Aliber, R. Z. (1973). The interest rate parity theorem: a reinterpretation. Journal of Political Economy, 81, 1451–9.
Allison, P. (1984). Event History Analysis. Beverly Hills: Sage Publications.
Alt, J. and Chrystal, K. A. (1983). Political Economics. Berkeley: University of California Press.
Alt, J. and King, G. (1994). Transfers of governmental power: the meaning of time dependence. Comparative Political Studies, 27(2), 190–210.
Alt, J. (1979). The Politics of Economic Decline. New York: Cambridge University Press.
Ammer, J. and Mei, J. (1996). Measuring international economic linkages with stock market data. Journal of Finance, 51, 1743–64.
Andrews, D. (1994). Capital mobility and state autonomy: toward a structural theory of international monetary relations. International Studies Quarterly, 38, 193–218.
Bachman, D. (1992). The effect of political risk on the forward exchange bias: the case of elections. Journal of International Money and Finance, 11, 208–19.
Bailey, R. (2005). The Economics of Financial Markets. Cambridge: Cambridge University Press.
Baillie, R. T. and McMahon, P. C. (1989). The Foreign Exchange Market: Theory and Econometric Evidence. New York: Cambridge University Press.
Ballie, R. and Bollerslev, T. (1989). The message in daily exchange rates: a conditional-variance tale. Journal of Business and Economic Statistics, 7, 297–305.
Baillie, R., Bollerslev, T. and Mikkelsen, H. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74, 3–30.
Barberis, N. and Thaler, R. (2002). A survey of behavioral finance. National Bureau of Economic Research Working Paper 9222.
Barr, D. G. and Priestley, R. (2002). Expected Returns, Risk and the Integration of International Bond Markets, Manuscript, Imperial College, London.
Barro, R. and Gordon, D. (1983). Rules, discretion, and reputation in a model of monetary policy. Journal of Monetary Economics, 12, 101–21.
Bates, R. (2001). Prosperity and Violence: The Political Economy of Development. New York: W.W. Norton and Company.
Beck, N. (1991). Comparing dynamic specifications: the case of presidential approval. Political Analysis, 3, 51–88.
Beck, N. (1997). Modeling Space and Time: The Event History Approach, Manuscript.
Beck, N., Katz, J. and Tucker, R. (1998). Beyond ordinary logit: taking time seriously in binary time-series-cross-section models. American Journal of Political Science, 42( 4), 1260–1288.
Bera, A. and Higgins, M. K. (1993). A survey of ARCH models: properties, estimation, and testing. Journal of Economic Surveys, 7, 305–66.
Berk, R. (1990). A primer on robust regression. In Modern Methods of Data Analysis, eds. Fox, J. and Long, J. S.. Thousand Oaks, CA: Sage Press.
Bernhard, W. (2001). Exchange Rate Stability and Political Accountability in the European Monetary System, Typescript, University of Illinois at Urbana-Champaign.
Bernhard, W. (2002). Banking on Reform: Political Parties and Central Bank Independence in the Industrial Democracies. Ann Arbor: University of Michigan Press.
Bernhard, W. and Leblang, D. (2002a). Political processes and foreign exchange markets: the forward exchange rate bias. American Journal of Political Science, 46(2), 316–33.
Bernhard, W. and Leblang, D. (2002b). Political parties and monetary commitments. International Organization, 56(4), 803–30.
Bernhard, W. and Leblang, D. (2006). Polls and pounds: political expectations and exchange rate volatility in Britain. Quarterly Journal of Political Science, 1(1), 26–61.
Bernoth, K., Hagen, J. and Schuknecht, L. (2004). Sovereign risk premia in the European government bond market. European Central Bank, Working Paper 369 (June).
Bernstein, W. (2004). The Birth of Plenty: How the Prosperity of the Modern World was Created. New York: McGraw-Hill.
Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45, 444–54.
Block, F. (1977). The ruling class does not rule: notes on the Marxist theory of the state. Socialist Revolution, 33, 6–28.
Blomberg, S. B. and Hess, G. (1996). Politics and foreign exchange rate forecasts. Research Working Paper 96–02, Federal Reserve Bank of Kansas City.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–27.
Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: a multivariate generalized arch model. Review of Economics and Statistics, 72, 498–505.
Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992). ARCH modeling in finance. Journal of Econometrics, 52, 5–59.
Bollerslev, T. and Mikkelsen, H. (1996). Modeling and pricing long-memory in stock market volatility. Journal of Econometrics, 73, 151–84.
Bollerslev, T. and Rossi, P. (1996). Introduction. In Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, ed. Rossi, P.. San Diego, CA: The Academic Press.
Bossaerts, P. (2002). The Paradox of Asset Pricing. Princeton: Princeton University Press.
Box-Steffensmeier, J. and Smith, R. M. (1996). The dynamics of aggregate partisanship. American Political Science Review, 90(3), 352–371.
Boyer, B. H., Gibson, M. S. and Loretan, M. (1997). Pitfalls in tests for changes in correlations. International Finance Discussion Papers 597, Board of Governors of the Federal Reserve System.
Brace, P. and Hinckley, B. (1991). The structure of presidential approval. Journal of Politics, 53(4), 993–1017.
Brace, P. and Hinckley, B. (1992). Follow the Leader: Opinion Polls and Modern Presidencies. New York: Basic Books.
Bracker, K., Docking, D. S. and Koch, P. (1999). Economic determinants of evolution in international stock market integration. Journal of Empirical Finance, 6, 1–27.
Branson, R. and Henderson, D. (1985). The specification and influence of asset markets. In Handbook of International Economics, Volume II, eds. Jones, R. and Kenen, P.. Amsterdam: North Holland.
Brehm, J. and Gronke, P. (1994). Modeling volatile approval: a modified ARCH approach to presidential approval ratings. Paper presented at APSA, New York.
Brennan, R. and Prediger, D. (1981). Coefficient kappa: some uses, misuses, and alternatives. Educational and Psychological Measurement, 41, 687–699.
Britton, A. (1991). Macroeconomic Policy in Britain 1974–1987. New York: Cambridge University Press.
Brooks, C. (2002). Introductory Econometrics for Finance. New York: Cambridge University Press.
Brooks, R. and del Negro, M. (2002). The Rise in Comovement Across National Stock Markets: Market Integration or Global Bubble? IMF Working Paper WP/02/147.
Brown, S. and Warner, J. (1980). Measuring security price performance. Journal of Financial Economics, 8, 205–258.
Brown, S. and Warner, J. (1985). Using daily stock returns: the case of event studies. Journal of Financial Economics, 14, 3–31.
Budge, I. and Kingemann, H.-D. (2001). Finally! Comparative over-time mapping of party policy movement. In Mapping Policy Preferences: Estimates for Parties, Electors and Governments 1945–1998, ed. Budge, et al. New York: Oxford University Press, pp. 19–50.
Budge, I., Kingemann, H.-D., Volkens, A., Bara, J. and Tanenbaum, E. (2001). Mapping Policy Preferences: Estimates for Parties, Electors, and Governments 1945–1998. New York: Oxford University Press.
Butler, D. and Butler, G. (2000). Twentieth-Century British Political Facts 1900–2000, 8th edition. New York: St. Martin's Press.
Cameron, C. (2000). Veto Bargaining: Presidents and the Politics of Negative Power. New York: Cambridge University Press.
Cameron, D. (1984). Social democracy, corporatism, labour quiescence and the representation of economic interest in advanced capitalist society. In Order and Conflict in Contemporary Capitalism, ed. Goldthorpe, J. H.. Oxford: Clarendon Press.
Campbell, J. Y. (2002). Consumption-based asset pricing. In Handbook of the Economics of Finance, eds. Constantinides, G., Harris, M. and Stulz, R. M.. Amsterdam: North Holland.
Campbell, J. Y., Lo, A. W. and MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton: Princeton University Press.
Campbell, J. Y. and Shiller, R. J. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95, 1062–88.
Campbell, J. Y. and Shiller, R. J. (1991). Yield spreads and interest rate movements: a bird's eye view. The Review of Economic Studies, 58, 495–514.
Canova, F. and Nicolo, G. (2003). The equity premium and the risk-free rate: an investigation across time and countries. IMF Staff Papers, 50, 222–249.
Castles, F. and Mair, P. (1984). Left-right political scales: some expert judgments. European Journal of Political Research, 12, 83–8.
Cavaglia, S., Brithgman, C. and Aked, M. (2000). The increasing importance of industry factors. Financial Analysts Journal, 56, 41–56.
Charemza, W. W. and Deadman, D. F. (1992). New Directions in Econometric Practice. Aldershot, England: Edward Elgar.
Chen, N.-F. (1983). Some empirical tests of the theory of arbitrage pricing. The Journal of Finance, 38, 1393–1414.
Chen, N.-F. (1991). Financial investment opportunities and the macroeconomy. Journal of Finance, 46, 529–554.
Chen, N.-F., Roll, R. and Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59, 383–403.
Cheung, Y.-W. and Lai, K. (1998). Macroeconomic Determinants of Long-Term Stock Market Comovements Among Major EMS Countries, Manuscript, Department of Economics, University of California, Santa Cruz.
Christodoulakis, N. and Kalyvitis, S. (1997). Efficiency testing revisited: a foreign exchange market with Bayesian learning. Journal of International Money and Finance, 16, 367–85.
Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41, 135–55.
Clarke, H., Ho, K. and Stewart, M. (2000). Major's lessor (not minor) effects: Prime Ministerial approval and governing party support in Britain since 1979. Electoral Studies, 19, 255–273.
Clarke, H. and Stewart, M. (1995). Economic evaluations, prime ministerial approval and governing party support: rival models reconsidered. British Journal of Political Science, 25, 145–170.
Clarke, H. D., Stewart, M. C. and Whiteley, P. F. (1998). New models for new labour: the political economy of labour party support, January 1992–April 1997. American Political Science Review, 92(3), 559–575.
Cobham, D., ed. (1994). European Monetary Upheavals. Manchester: Manchester University Press.
Cochrane, J. H. (2001). Asset Pricing. Princeton: Princeton University Press.
Codogno, L., Favero, C. and Missale, A. (2003). Yield Spreads on EMU Government Bonds. Economic Policy, 18, 503–532.
Copeland, L. and Jones, S. (2001). Default probabilities of European sovereign debt: market-based estimates. Applied Economic Letters, 8, 321–24.
Corsetti, G., Pericoli, M. and Sbracia, M. (2002). Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion. Working Paper, Department of Economics, Yale University.
Cox, G. (1987). Electoral equilibria under alternative voting institutions. American Journal of Political Science, 31, 82–108.
Cox, G. (1989). Undominated candidate strategies under alternative voting rules. Mathematical Modelling, 12, 451–60.
Cukierman, A., Webb, S. B. and Neyapti, B. (1992). Measuring the independence of central banks and its effect on policy outcomes. World Bank Economic Review, 6(3), 353–98.
Cuthbertson, K. (1996). Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. New York: John Wiley and Sons.
Dacorogna, M. M., Gencay, R., Muller, U. A., Olsen, R. B. and Pictet, O. (2001). An Introduction to High Frequency Finance. New York: Academic Press.
DeBoef, S. (2000). Modeling equilibrium relationships: error correction models with strongly autoregressive data. Political Analysis, 9, 78–94.
DeVries, C. (1992). Stylized facts of nominal exchange rate returns. In Handbook of International Macroeconomics, ed. Ploeg, F.. London: Blackwell.
Diebold, F. X., Lee, J.-H. and Weinbach, G. C. (1994). Regime-switching with time varying transition probabilities. In Nonstationary Time Series Analysis and Cointegration, ed. Hargreaves, C.. Oxford: Oxford University Press, pp. 283–302.
Diebold, F. and Nerlove,, M. (1989). The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. Journal of Applied Econometrics, 4, 1–21.
Domowitz, I. and Hakkio, C. (1985). Conditional variance and the risk premium in the foreign exchange market. Journal of International Economics, 19, 47–66.
Dooley, M. P. and Isard, P. (1980). Capital controls, political risk, and deviations from interest-rate parity. Journal of Political Economy, 88, 370–84.
Downs, A. (1957). An Economic Theory of Democracy. Boston: Addison-Wesley.
Drazen, A. (2000). Political Economy in Macroeconomics. Princeton: Princeton University Press.
Duffie, D. (2001). Dynamic Asset Pricing Theory, 3rd edition. Princeton: Princeton University Press.
Eichengreen, B. and Mody, A. (2004). Do collective action clauses raise borrowing costs. The Economic Journal, 114, 247–64.
Eichengreen, B., Rose, A. and Wyplosz, C. (1995). Exchange market mayhem: the antecedents and aftermath of speculative attacks. Economic Policy, 21, 249–312.
Elton, E. J., Gruber, M. J., Brown, S. J. and Goetzmann, W. N. (2003). Modern Portfolio Theory and Investment Analysis, 6th edition. New York: John Wiley and Sons.
Enders, W. (2004). Applied Econometric Time Series, 2nd edition. New York: John Wiley and Sons.
Engel, C. (1994). Can the Markov-switching model forecast exchange rates?Journal of International Economics, 36, 151–165.
Engel, C. (1996). The forward discount anomaly and the risk premium: a survey of recent evidence. Journal of Empirical Finance (June), 123–91.
Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987–1007.
Engle, R. (1984). Wald, likelihood ratio, and Lagrange multiplier tests in econometrics. In Handbook of Econometrics, Vol. 2, eds. Griliches, Z. and Intriligator, M.. Amsterdam: North-Holland.
Engle, R. (1996). The econometrics of ultra-high frequency data. NBER Paper 5816.
Engle, R. F., Lilien, D. M. and Robins, R. P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391–408.
Epps, T. and Epps, M. (1976). The stochastic dependence of security price changes and transactions volumes: implications for the mixture-of-distributions hypothesis. Econometrica, 44, 305–25.
Evans, G. and Honkapohja, S. (2001). Learning and Expectations in Macroeconomics. Princeton, NJ: Princeton University Press.
Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383–417.
Fama, E. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14, 319–338.
Fama, E. (1991). Efficient capital markets II. Journal of Finance, 46, 1575–1618.
Fama, E. L., Jensen, F. M. and Roll, R. (1969). The adjustment of stock prices to new information. International Economics Review, 10, 1–21.
Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Finance, 47, 426–465.
Fama, E. and MacBeth, J. (1973). Risk, return and equilibrium: empirical tests. Journal of Political Economy, 71, 607–636.
Farrell, D. M. (2001). Electoral Systems: A Comparative Introduction. New York: Palgrave.
Fiorina, M. (1981). Retrospective Voting in American National Elections. New Haven: Yale University Press.
Flandreau, M., Cacheux, L. and Zumer, F. (1998). Stability without a pact? Lessons from the European gold standard. 1880–1914. Economic Policy, 26, 117–62.
Forbes, K. J. and Chinn, M. D. (2003). A decomposition of global linkages in financial markets over time, Working Paper 4413–03. MIT Sloan School of Management.
Forbes, K. J. and Chinn, M. D. (2004). A decomposition of global linkages in financial markets over time. Review of Economics and Statistics, 86, 705–722.
Forbes, J. and Rigobon, R. (2002). No contagion, only interdependence: measuring stock market co-movements. Journal of Finance, 999, 900–909.
Foster, F. D. and Vishwanathan, S. (1995). Can speculative trading explain the volume–volatility relation?Journal of Business and Economic Statistics, October, 379–396.
Frankel, J. and Mussa, M. (1985). Asset markets, exchange rates and the balance of payments. In Handbook of International Economics, Volume II, eds. Jones, R. and Kenen, P.. Amsterdam: North Holland.
Frankel, J. A. and Engel, C. M. (1984). Do asset demand functions optimize over the mean and variance of real returns? A six currency test. Journal of International Economics, 17, 309–323.
Frankel, J. A. and Schmukler, S. L. (1997). Country funds and asymmetric information. Center for International and Development Economics Research (CIDER) Working Papers C97-087. University of California at Berkeley.
Franklin, C. (2001). Pre-Election Polls in Nation and State: a Dynamic Bayesian Hierarchical Model. Presented at the 2001 Annual Meeting of the American Political Science Association, San Francisco.
Franses, P. H. and Dijk, D. (2000). Non-Linear Time Series Models in Empirical Finance. New York: Cambridge University Press.
Franzese, R. (2002). Electoral and partisan cycles in economic policies and outcomes. Annual Review of Political Science, 5, 369–421.
Freeman, J. R., Hays, J. C. and Stix, H. (1999). The Electoral Information Hypothesis Revisited, Manuscript, University of Michigan.
Freeman, J. R., Hays, J. C. and Stix, H. (2000). Democracy and markets: the case of exchange rates. American Journal of Political Science, 44(3), 449–468.
French, K. and Poterba, J. (1991). Investor diversification and international equity markets. American Economic Review, 81, 222–226.
Frieden, J. (1991). Invested interests: the politics of national economic policies in a world of global finance. International Organization, 45, 425–451.
Frieden, J. (1999). Sectoral Interests and European Monetary Integration: An Empirical Assessment, Typescript, Harvard University.
Friedman, M. (1953). The case for flexible exchange rates. In Essays in Positive Economics. Chicago: University of Chicago Press.
Froot, K. and Frankel, J. (1989). Forward discount bias: is it an exchange risk premium?Quarterly Journal of Economics, 104, 139–161.
Froot, K. and Frankel, J. (1990). Anomalies: foreign exchange. Journal of Economic Perspectives, 4, 179–192.
Gallant, A. R, Rossi, P. E. and Tauchen, G. (1992). Stock prices and volume. Review of Financial Studies, 5, 199–242.
Garcia, R. (1998). Asymptotic null distribution of the likelihood ratio test in a Markov-switching model. International Economic Review, 39, 763–788.
Garrett, G. (1992). The political consequences of Thatcherism. Political Behavior, 14, 361–382.
Garrett, G. (1995). Capital mobility, trade, and the domestic politics of economic policy. International Organization, 49(4), 657–687.
Gartner, M. and Wellershoff, K. W. (1995). Is there an election cycle in stock market returns?International Review of Economics and Finance, 4, 387–410.
Gemmill, G. (1992). Political risk and market efficiency: tests based on British stock and options markets in the 1987 election. Journal of Banking and Finance, 16, 211–31.
Gemmill, G. (1995). Stockmarket behavior and information in British elections. Working Paper, City University Business School.
Gerber, A. and Green, D. (1998). Rational learning and partisan attitudes. American Journal of Political Science, 42, 794–818.
Glosten, L. R., Jaganathan, R. and Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48, 1779–1801.
Goodman, J. and Pauly, L. B. (1993). The obsolescence of capital controls? Economic management in an age of global markets. World Politics, 46, 50–82.
Granato, J. (1996). The effect of policy-maker reputation and credibility on public expectations: an application to macroeconomic policy changes. Journal of Theoretical Politics, 8(4), 449–70.
Granato, J. and Wong, M. C. S. (2005). The Role of Policymakers in Business Cycle Fluctuations. New York: Cambridge University Press.
Green, D. and Gerber, A. (2000). Samplemiser 4.0.
Green, D., Gerber, A. and DeBoef, S. (1999). Tracking opinion over time: a method for reducing sampling error. Public Opinion Quarterly, 63, 178–192.
Green, D., Palmquist, B. and Schickler, E. (2002). Partisan Hearts and Minds. New Haven, CT: Yale University Press.
Greene, W. (2003). Econometric Analysis, 5th edition. New Jersey: Prentice Hall.
Griffin, J. M. and Karolyi, G. A. (1998). Another look at the role of the industrial structure of markets for international diversification strategies. Journal of Financial Economics, 59, 351–73.
Griffin, J. M., Nardari, F. and Stulz, R. M. (2002). Daily cross-border equity flows: published or pulled? Ohio State University: Dice Working Paper No. 2002–6.
Grilli, V., Masciandaro, D. and Tabellini, G. (1991). Political and monetary institutions and public finance policies in the industrialized democracies. Economic Policy, 10(October), 342–92.
Gros, D. and Thygesen, N. (1998). European Monetary Integration: from the European Monetary System to European Monetary Union, 2nd edition. New York: Longman Press.
Gujarati, D. (2003). Basic Econometrics, 4th edition. New York: McGraw-Hill.
Haggard, S. and McCubbins, M., eds. (2001). Presidents, Parliaments and Policy. Cambridge: Cambridge University Press.
Hall, P. (1986). Governing the Economy: the Politics of State Intervention in Britain and France. New York: Oxford University Press.
Hallerberg, M. (2004). Domestic Budgets in a United Europe: Fiscal Governance from the End of Bretton Woods to EMU. Ithaca, NY: Cornell University Press.
Hallerberg, M. and von Hagen, J. (1998). Electoral institutions, cabinet negotiations, and budget deficits within the European Union. In Fiscal Institutions and Fiscal Performance, eds. Poterba, J. and Hagen, J., pp. 209–32. Chicago: University of Chicago Press.
Hallwood, C. P. and MacDonald, R. (1994). International Money and Finance, 2nd edition. Oxford: Basil Blackwell.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357–384.
Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press: Princeton.
Hamilton, J. D. and Susmel, R. (1994). Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics, 64, 307–333.
Hansen, B. E. (1992). The likelihood ratio test under non-standard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics, 7, S61–S82.
Hansen, B. E. (2001). The New Econometrics of Structural Change: Dating Changes in U.S. Labor Productivity. Typescript, University of Wisconsin.
Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029–1054.
Hansen, L. and Hodrick, R. (1980). Forward exchange rates as optimal predictors of future spot rates: an econometric analysis. Journal of Political Economy, 88, 829–53.
Hanushek, E. A. (1974). Efficient estimators for regressing regression coefficients. The American Statistician, 28, 66–67.
Harvey, C., Solnik, B. and Zhou, G. (1994). What determines expected international asset returns? NBER Working Paper.
Hausman, J. (1978). Specification tests in econometrics. Econometrica, 46, 1251–1271.
Heckman, J. (1979). Sample selection bias as a specification error. Econometrica, 47, 153–161.
Helleiner, E. (1994). States and the Reemerging of Global Finance: From Bretton Woods to the 1990s. Ithaca, NY: Cornell University Press.
Herron, M. (2000). Estimating the economic impact of political party competition in the 1992 British election. American Journal of Political Science, 44(3), 326–337.
Herron, M., Lavin, J., Cram, D. and Silver, J. (1999). Measurement of political effects in the U.S. economy: a study of the 1992 presidential election. Economics and Politics, 11, 51–81.
Heston, S. L. and Rouwenhorst, K. G. (1994). Does industrial structure explain the benefits of international diversification?The Journal of Finance, 36, 3–27.
Treasury, H. M. (2003). EMU and the Cost of Capital. London: Bank of England.
Hibbs, D. A. (1987). The Political Economy of Industrial Democracies. Harvard Univ. Press: Cambridge, Mass.
Hodrick, R. J. (1987). The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. London: Harwood Academic Publishers.
Howison, S. and Lamper, D. (2000). Trading volume in models of financial derivatives, Working Paper, Center for Industrial and Applied Mathematics, University of Oxford.
Huber, J. (1996a). Rationalizing Parliament: Legislative Institutions and Party Politics in France. New York: Cambridge University Press.
Huber, J. (1996b). The vote of confidence in parliamentary democracies. American Political Science Review, 90(2), 269–282.
Huber, J. and Gabel, M. (2000). Putting parties in their place: inferring party left-right ideological positions. American Journal of Political Science, 44(1), 94–103.
Ilmanen, A. (1996). When do bond markets reward investors for interest rate risk? Journal of Portfolio Management, Winter.
Ito, T. (1986). Capital controls and covered interest parity between the Yen and the Dollar. Economic Studies Quarterly, 37, 223–40.
Jackson, S. (1995). Re-thinking equilibrium presidential approval: Markov-switching error correction, Presented at the Annual Meeting of the Political Methodology Section, Bloomington, IN.
Jacobs, L. R. and Shapiro, R. Y. (2000). Politicians Don't Pander: Political Manipulation and the Loss of Democratic Responsiveness. Chicago: University of Chicago Press.
Jones, P. and Hudson, J. (1996). The quality of political leadership: a case study of John Major. British Journal of Political Science, 26(2), 229–244.
Jorion, P. (1992). Term premiums and the integration of the Eurocurrency markets. Journal of International Money and Finance, 11, 17–39.
Jowell, R., Hedges, B., Lynn, P., Farrant, G. and Heath, A. (1993). The 1992 British election: the failure of the polls. Public Opinion Quarterly, 57(Summer), 238–263.
Karolyi, G. A. and Stulz, R. M. (2002). Are financial assets priced locally or globally? In Handbook of the Economics of Finance, eds. M. Harris, G. Constantinides and Stulz, R. M.. North Holland.
Karpoff, J. (1987). The relation between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis, 22, 109–126.
Kavanaugh, D. (1987). Thatcherism and British Politics: The End of Consensus?New York: Oxford University Press.
Kennedy, P. (1998). A Guide to Econometrics, 4th edition. Cambridge, MA: MIT Press.
Kim, C.-J., Morley, J. C. and Nelson, C. R. (2002). Is there a Positive Relationship Between Stock Market Volatility and the Equity Premium? Manuscript, Washington University, St. Louis.
King, A., ed. with Wybrow, R. J. (2001). British Public Opinion: 1937–2000, The Gallup Polls. London: Politico's Publishing.
King, G., Alt, J., Burns, N. and Laver, M. (1990). A unified model of cabinet dissolution in parliamentary democracies. American Journal of Political Science, 34(3), 846–71.
King, G. and Zeng, L. (2001). Logistic regression in rare events data. Political Analysis, 9, 137–63.
King, M., Sentant, E. and Wadhawani, S. (1994). Volatility and links between stock markets. Econometrica, 62, 901–933.
King, R. G. and Kurmann, A. (2002). Expectations and the term structure of interest rates: evidence and implications. Federal Reserve Bank of Richmond Economic Quarterly, 88, 49–95.
Kirk, R. E. (1995). Experimental Design: Procedures for the Behavioral Sciences. Pacific Grove, CA: Brooks-Cole.
Kmenta, J. (1986). Elements of Econometrics, 2nd edition. New York: Macmillan.
Kose, M. A., Otrok, C. and Whiteman, C. (2003). Understanding the Evolution of World Business Cycles, Manuscript, International Monetary Fund.
Kothari, S. P. and Shanken, J. (1992). Stock return variation and excess dividends: a time-series and cross-sectional analysis. Journal of Financial Economics, 31, 177–210.
Koutmos, G. and Theodossiou, P. (1994). Time-series properties and predictability of Greek exchange rates. Managerial and Decision Economics, 15, 159–67.
Krasker, W. (1980). The ‘peso problem’ in testing the efficiency of forward exchange markets. Journal of International Economics, 6, 269–276.
Krehbiel, K. (1998). Pivotal Politics. University of Chicago Press.
Kydland, F. and Prescott, E. (1977). Rules rather than discretion: the inconsistency of optimal plans. Journal of Political Economy, 85, 473–91.
Lamoureux, C. and Lastrapes, W. (1990). Heteroskedasticity in stock return data: volume versus GARCH effects. Journal of Finance, 45, 221–9.
Laux, P. and Ng, L. (1993). The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks. Journal of International Money and Finance, 12, 543–60.
Laver, M. (2001). Estimating the Policy Positions of Political Actors. New York: Routledge.
Laver,, M. and Budge, I., eds. (1991). Party and Coalition Policy in Western Europe. New York: Cambridge University Press.
Laver, M. and Schofield, N. (1998). Multiparty Government: The Politics of Coalition in Europe. Ann Arbor: University of Michigan Press.
Laver, M. and Shepsle, K. (1996). Making and Breaking Governments. Cambridge: Cambridge University Press.
Leblang, D. and Bernhard, W. (2000). The politics of speculative attacks in industrial democracies. International Organization, 54(2), 291–324.
Leblang, D. and Bernhard, W. (2006). Parliamentary politics and foreign exchange markets: the world according to GARCH. International Studies Quarterly (March) 50(1): 69–92.
Leblang, D. and Mukherjee, B. (2004). Presidential elections and the stock market: comparing Markov-switching and fractionally integrated GARCH models. Political Analysis, Summer.
Leblang, D. and Mukherjee, B. (2005). Government partisanship, elections and the stock market: examining American and British stock returns, 1930–2000. American Journal of Political Science (October) 49, 781–803.
Lemmen, J. and Goodhart, C. (1999). Government bond markets: a panel data econometric analysis. Eastern Economic Journal, 25, 77–107.
Lewis, K. (1995). Puzzles in international financial markets. In Handbook of International Economics, Volume III, eds. Grossman, G. and Rogoff, K.. Elsevier Science.
Lewis, K. K. (1999). Trying to explain home bias in equities and consumption. Journal of Economic Literature, 37, 571–608.
Lewis-Beck, M. (1988). Economics and Elections: The Major Western Democracies. Ann Arbor: University of Michigan Press.
Lewis-Beck, M., Norpoth, H. and Lafay, J.-D., eds. (1991). Economics and Politics: The Calculus of Support. Ann Arbor: University of Michigan Press.
Li, L. (2002). Macroeconomic Factors and the Correlation of Stock and Bond Returns, Manuscript, Department of Economics, Yale University.
Lijphart, A. (1984a). Measures of cabinet durability: a conceptual and empirical evaluation. Comparative Political Studies, 17(2), 265–79.
Lijphart, A. (1984b). Democracies. New Haven: Yale University Press.
Lijphart, A. (1999). Patterns of Democracy: Government Forms and Performance in Thirty-Six Countries. New Haven: Yale University Press.
Lin, T. and Roberts, B. (2001). Markets and politics: the 2000 Taiwanese election. Paper presented at the Annual Meeting of the Midwest Political Science Association, Chicago, Illinois.
Lindblom, C. (1977). Politics and Markets: The World's Political Economic Systems. New York: Basic Books.
Lintner, J. (1965). Security prices, risk and maximal gains from diversification. Journal of Finance, 20, 587–615.
Ljungqvist, L. and Sargent, T. (2000). Recursive Macroeconomic Theory. Cambridge, MA: MIT Press.
Lobo, B. and Tufte, D. (1998). Exchange rate volatility: does politics matter?Journal of Macroeconomics, 20, 351–65.
Longin, F. and Solnik, B. (2001). Extreme correlation of international equity markets. Journal of Finance, 56, 649–675.
Lonning, I. M. (2000). Default premia on European government debt. Weltwirtschaftliches Archiv, 136, 259–283.
Lumsdaine, R. L. (1991). Asymptotic Properties of the Maximum Likelihood Estimator in GARCH (1,1) and IGARCH (1,1) Models, Manuscript, Department of Economics, Princeton University.
Lupia, A. and Strom, K. (1995). Coalition termination and the strategic timing of legislative elections. American Political Science Review, 89, 648–65.
MacDonald, R. and Taylor, M. P. (1991). Testing efficiency in the interwar foreign exchange market: a multiple time series approach. Weltwirschaftliches Archiv, 127, 500–523.
Mackuen, M., Erikson, R. and Stimson, J. A. (1989). Macropartisanship. American Political Science Review, 83, 1125–1142.
Mackuen, M., Erikson, R. and Stimson, J. A. (1995). Dynamic representation. American Political Science Review, 89(4), 543–565.
Malkiel, B. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17, 59–82.
Mandelbrot, B. and Taylor, H. (1967). On the distribution of stock price differences. Operations Research, 15, 1057–62.
Mark, N. (1985). On time varying risk premia in the foreign exchange market. Journal of Monetary Economics, 16, 3–18.
Markovitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons.
Marston, R. C. (1995). International Financial Integration: A Study of Interest Differentials between the Major Industrial Countries. Cambridge: Cambridge University Press.
Martin, L. (2000). Public Opinion Shocks and Cabinet Termination, Typescript, Florida State University.
McBrady, M. (2003). What Explains Industrial Country Sovereign Spreads? Manuscript: Darden Graduate School of Business, University of Virginia.
McCarty, N., Poole, K. and Rosenthal, H. (2002). Polarized Politics in the Transfer State, Manuscript, Princeton University.
McGillivray, F. (2003). Coalition Formation and Stock Price Volatility, Manuscript, New York University.
McKinnon, R. (1962). Optimum currency areas. American Economic Review, 53, 717–24.
Meese, R. (1990). Currency fluctuations in the post-Bretton Woods era. Journal of Economic Perspectives, 4, 117–34.
Meese, R. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out-of-sample?Journal of International Economics, 3–24.
Meese, R. and Rogoff, K. (1987). Was it real? The exchange rate-interest differential relation over the modern floating-rate era. Journal of Finance, 933–48.
Mehra, R. and Prescott, E. (1985). The equity premium puzzle. Journal of Monetary Economics, 15, 145–61.
Mehra, R. and Prescott, E. (2003). The equity premium in retrospect. National Bureau of Economic Research. Working Paper W9525.
Melvin, M. and Yin,, X. (2000). Public information arrival, exchange rate volatility, and quote frequency. The Economic Journal, 110, 644–661.
Mincer, J. and Zarnowitz, V. (1969). The evaluation of economic forecasts. In Economic Forecasts and Expectations, ed. Mincer, J.. New York: National Bureau of Research.
Monroe, B. (2001). Bias and Responsiveness in Multiparty Representation, Typescript, Michigan State University.
Mosley, L. (2002). Global Capital Markets and National Governments, Cambridge: Cambridge University Press.
Mulgan, R. (1994). Politics in New Zealand. Auckland: Auckland University Press.
Mundell, R. (1961). A theory of optimal currency areas. American Economic Review, 51, 509–17.
Mussa, M. (1984). The theory of exchange rate determination. In Exchange Rate Theory and Policy, eds. Bilson, J. and Marston, R.. Chicago, Il: University of Chicago Press.
Nadeau, R., Niemi, R. and Amato, T. (1996). Prospective and comparative or retrospective and individual? Party leaders and party support in Great Britain. British Journal of Political Science, 26(2), 245–258.
Nadeau, R., Niemi, R. and Amato, T. (2000). Elite economic forecasts, economic news, mass economic expectations, and voting intentions in Great Britain. European Journal of Political Research, 38, 135–170.
Neal, L. (1990). The Rise of Financial Capitalism: International Capital Markets in the Age of Reason. New York: Cambridge University Press.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347–70.
Newey, W. K. and West, K. D. (1987). A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703–8.
Norpoth, H. (1991). The popularity of the Thatcher government: a matter of war and economy. In Economics and Politics, eds. Norpoth, M. Lewis-Beck H. and Lafay, J.-D.. Ann Arbor: University of Michigan Press.
North, D. (1981). Structure and Change in Economic History. New York: W.W. Norton and Company.
Obstfeld, M. and Stockman, A. (1985). Exchange rate dynamics. In Handbook of International Economics, Volume II, eds. Jones, R. and Kenen, P.. Amsterdam: North Holland.
Obstfeld, M. and Taylor, A. M. (2004). Global Capital Markets: Integration, Crisis, and Growth. Cambridge: Cambridge University Press.
OECD (2002). Increases in Investment in the 1990s: the role of output, cost of capital and finance. Financial Market Trends, 83, 121–42.
O'Hara, M. (1995). Market Microstructure Theory. London: Blackwell Publishing.
Oxley, L. and McAleer, M. (1993). Econometric issues in macroeconomic models with generated regressors. Journal of Economic Surveys, 7, 1–40.
Pagan, A. R. and Schwert, G. W. (1990). Alternative models of stock volatility. Journal of Econometrics, 45, 267–290.
Patterson, K. (2000). An Introduction to Applied Econometrics. New York: St. Martin's Press.
Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361–1402.
Persson, T. and Tabellini, G. (2002). Political Economics: Explaining Economic Policy. Cambridge, MA: MIT Press.
Portes, R. and Rey, H. (2005). The determinants of cross-border equity flows. Journal of International Economics, 65, 269–296.
Poterba, J. (2004). The impact of population aging on financial markets. NBER Working Papers 10851, National Bureau of Economic Research, Inc.
Powell, G. B. (1982). Contemporary Democracies. Cambridge: Harvard University Press.
Powell, G. B. (2000). Elections as Instruments of Democracy. New Haven: Yale University Press.
Quinn, D. P. (1997). The correlates of change in international financial regulation. American Political Science Review, 91(September), 531–551.
Quinn, D. and Inclan, C. (1997). The origins of financial openness: a study of current and capital account liberalization. American Journal of Political Science, 41(3), 771–813.
Quinn, D. P. and Woolley, J. T. (2001). Democracy and national economic performance: the preference for stability. American Journal of Political Science, 45(July), 634–657.
Rae, D. (1971). The Political Consequences of Electoral Laws. New Haven: Yale University Press.
Rajan, R. G. and Zingales, L. (2003). Saving Capitalism from the Capitalists. New York: Crown Books.
Riker, W. (1962). The Theory of Political Coalitions. New Haven: Yale University Press.
Roberts, B. (1994). The Industrial Organization of the 1992 US Presidential Election. Paper Presented at the Annual Meeting of the Midwest Political Science Association, Chicago, Illinois.
Rogoff, K. (1990). Equilibrium political budget cycles. American Economic Review, 80, 21–36.
Roll, R. (1977). A critique of the asset pricing theory's tests: part I. Journal of Financial Economics, 4, 129–176.
Roll, R. (1992). Industrial structure and the comparative behavior of international stock market indices. Journal of Finance, 47, 3–41.
Roll, R. and Yan, S. (1998). An Explanation of the Forward Premium ‘Puzzle’, Manuscript, Los Angeles: The Anderson School at UCLA.
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341–360.
Roubini, N. and Sachs, J. (1989a). Government spending and budget deficits in the industrial countries. Economic Policy, 8, 99–132.
Roubini, N. and Sachs, J. (1989b) Political and economic determinants of budget deficits in the industrial democracies. European Economic Review, 33, 903–38.
Sanders, D. (1999). Conservative incompetence, labour responsibility and the feel-good factor: why the economy failed to save the Conservatives in 1997. Electoral Studies, 18, 251–270.
Sanders, D. (2000). The real economy and the perceived economy in popularity functions: how much do voters need to know?Electoral Studies, 19, 275–294.
Sanders, D., Marsh, D. and Ward, H. (1993). The electoral impact of press coverage of the British economy. 1979–87. British Journal of Political Science, 23(2), 175–210.
Scharpf, F. (1987). Crisis and Choice in European Social Democracy. Ithaca: Cornell University Press.
Schofield, N. (1992). Political Competition in Multiparty Coalition Governments, Typescript, Washington University.
Sharpe, W. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425–42.
Sharpe, W. (1970). Portfolio Theory and Capital Markets. New York: McGraw-Hill.
Shepsle, K. (1991). Models of Multiparty Electoral Competition. Chur: Harwood Academic Publishers.
Shiller, R. (1979). The volatility of long-term interest rates and expectations models of the term structure. Journal of Political Economy, 87, 1190–1219.
Shiller, R. (1990). The term structure of interest rates. In Handbook of Monetary Economics, Volume I, eds. Friedman, B. M. and Hahn, F. H.. New York: Elsevier Science Publishers.
Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Cambridge: Cambridge University Press.
Smith, A. (2000). Election Timing in Majoritarian Parliaments, Typescript, Yale University.
Smith, A. (2004). Election Timing. New York: Cambridge University Press.
Sola, M. and Timmerman, A. (1994). Fitting the Moments: A Comparison of ARCH and Regime-Switching Models for Daily Stock Returns. London Business School DP, pp. 6–94.
Solnik, B. (2000). International Investments, 4th edition. New York: Pearson Addison Wesley.
Stein, E. and Streb, W. (1998). Elections and the timing of devaluations. Working Paper, Inter-American Development Bank, Washington, DC.
Stewart, M. C. and Clarke, H. D. (1992). The (un) importance of party leaders: leader images and party choice in the 1987 British election. The Journal of Politics, 54(2), 447–470.
Strange, S. (1996). Retreat of the State: The Diffusion of Power in the World Economy. New York: Cambridge University Press.
Strom, K. and Leipart, J. (1993). Policy, institutions, and coalition avoidance: Norwegian governments. 1945–1990. American Political Science Review, 87(4), 870–887.
Tabellini, G. and Alesina, A. (1990). Voting on the Budget Deficit. American Economic Association, American Economic Review, 80(1), 37–49.
Tauchen, G. and Pitts, M. (1983). The price variability-volume relationship in speculative markets. Econometrica, 51, 485–506.
Tavelli, H., Tullio, G. and Spinelli, F. (1998). The evolution of European Central Bank independence: an updating of the Masciandaro and Spinelli index. Scottish Journal of Political Economy, 45(3), 341–44.
Taylor, M. (1995). The economics of exchange rates. Journal of Economic Literature, 33, 13–47.
Thaler, R. H. (1992). The winner's curse: Paradoxes and anomalies of economic life. Princeton: Princeton University Press.
Theodossiou, P. (1994). The stochastic properties of major Canadian exchange rates. The Financial Review, 29, 193–221.
Timmerman, A. G. (1996). Excess volatility and predictability of stock prices in autoregressive models with learning. Review of Economic Studies, 63, 523–557.
Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1, 15–29.
Tsay, R. (2002). Analysis of Financial Time Series. New York: John Wiley and Sons.
Tsebelis, G. (2002). Veto Players: How Political Institutions Work. Princeton, NJ: Princeton University Press.
Turner, C. M., Startz, R. and Nelson, C. R. (1989). A Markov model of heteroskedasticity, risk and learning in the stock market. Journal of Financial Economics, 25, 3–22.
Norden, S. and Huntley, S. (1997). Regime-switching in stock-market returns. Applied Financial Economics, 7, 177–191.
Warwick, P. (1994). Government Survival in Parliamentary Democracies. New York: Cambridge University Press.
Westerfield, R. (1977). The distribution of common stock price changes: an application of transactions time and subordinated stochastic models. Journal of Financial and Quantitative Analysis, 12, 743–65.
Wlezien, C. (2001). On forecasting the presidential vote. PS: Political Science and Politics, 34, 25–31.
Wlezien, C. and Erikson, R. (2001). Campaign effects in theory and practice. American Politics Research, 29, 419–36.
Wooldridge, J. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
Zakoian, J. M. (1990). Threshold Hetereoskedastic Models, Manuscript, CREST, INSEE, Paris.
Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18, 931–44.
Zivot, E. and Andrews, D. W. K. (1992). Further evidence on the great crash, the oil price shock, and the unit-root hypothesis. Journal of Business and Economic Studies, 10, 251–270.

Metrics

Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Book summary page views

Total views: 0 *
Loading metrics...

* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

Usage data cannot currently be displayed.