Anurag Narayan Banerjee

Anurag Narayan Banerjee
Durham University | DU · Department of Economics and Finance

PhD

About

56
Publications
7,037
Reads
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467
Citations
Additional affiliations
November 1998 - December 2000
Queen's University Belfast
Position
  • Lecturer
October 2005 - present
Durham University
Position
  • Reader in Econometrics
January 2000 - September 2007
University of Southampton
Position
  • Lecturer

Publications

Publications (56)
Article
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 of development. Using a matching model of occupational choice and skill acquisition, we quantify the...
Article
Full-text available
Using India's national benchmark survey for financial literacy and inclusion, we observe a step change in financially literate women, who possess higher levels of sole and joint responsibility with their spouse to manage their households' finances. Considering ownership information in eighteen different financial products, alternative investments (...
Article
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 O(T−α) distance of unity, with α ∈ (0, 1). When the expectation of the autoregressive coefficient l...
Article
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 the withdrawal date approached. These, at first, counter-intuitive phenomena, are addressed by study...
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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 by a supply-side policy. We examine the household preference and other the factors leading to open...
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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 publicly reveals its decision to change a firm’s credit rating. Using quarterly data, we show that firm...
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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. Methods: Patients referred from the shoulder clinic underwent hydrodilatation under ultrasound guida...
Article
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 institutions’ credit default swap spreads during the European sovereign debt crisis. Before the first Greek...
Article
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, and finds evidence in favour of a uniform process of growth across sectors and regions, which has h...
Article
Full-text available
We compare the momentum strategies to "naïve" 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 (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are clo...
Article
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 under nonlinear dynamics. We subsequently introduce a nonparametric approach for estimating the unknown...
Article
Long-memory tests are often complicated by the presence of deterministic trends. Hence, an additional step of detrending the data is necessary. The typical way to detrend a suspected long-memory series is to use OLS or BSP residuals. Applying the method of sensitivity analysis we address the of question of how robust these residuals are in presence...
Article
This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary or exhibit temporary exponential growth. We develop the...
Article
This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary or exhibit temporary exponential growth. We develop the...
Article
Firm circumstances change but rating agencies may not make timely revisions to their ratings, leading to an information asymmetry between firms and the market. We show, attempting to take advantage of this 'information gap', firms adjust financing structures before rating changes are publicly revealed. Firms facing possible downgrades exploit the p...
Article
Abstract We consider the standard linear model yt = xt�+ut; where ut is generated from a long memory error process. We investigate the sensitivity of the predictor (BL) and,sensitivity of variance estimates (DL) of the linear model,under,ARFIMA process. Our analysis of the predictor shows detrending a long memory,time series may,not be a robust pro...
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We analyze the bias in the standard error caused by the correlated variance-covariance error matrix from using the Fama-McBeth method with panel data. We propose a three step Generalized Fama-McBeth method to model the correlated errors. In the first step we estimate the betas using cross-sectional regressions. Next, the betas are fitted with a a s...
Article
We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its performance in finite samples. Our working model also allows...
Article
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 profits relative to the return percentiles of the naive investors with scores that are symmetric around t...
Article
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 income distribution. Using district-level per-capita income we find that the income distribution ha...
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Full-text available
This paper considers the dynamics of income distributional pattern in India. If reforms are pro-rich then would see emergence of twin peaks in the underlying income distribution function in India (i.e.clustering of the rich people, and clustering of the poor people). On the other hand, a uniform growth process at a pan-India level will lead to the...
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How should institutions convey relevant information to the public? Should they sched-ule their communications or release information as it becomes available? What are the welfare effects of an unanticipated information release? We model a decentralized econ-omy and show that a credible schedule delays trade towards the information release date and...
Article
We consider a passive 1/N naive diversification strategy which is long in the equally weighted portfolio of stocks feasible for trading and short in the risk-free asset. We then examine the profi…tability, exposures to risk factors, idiosyncratic variance as well as the relation between the momentum and the 1/N naive diversifi…cation strategies. Th...
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1 I would like to thank ESRC (grant number RES-000-22-0646) and the British Academy for the …nancial support.
Article
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 both receive a single point, regardless of the outcome in overtime. A team scoring in the sudden-death 5-minute ov...
Article
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 intercept term is present. This paper considers the limiting power of these tests in models with possi...
Article
We derive a simple semi-parametric estimator of the “direct” Average Derivative, δ=E(D[m(x)]), where m(x) is the regression function and S, the support of the density of x is compact. We partition S into disjoint bins and the local slope D[m(x)] within these bins is estimated by using ordinary least squares. Our average derivative estimate , is the...
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Recently there have been much discussion of the theory and applications of long memory processes. In this paper we consider the standard linear model y=X*b+u and assume that the variance covariance matrix of the errors being generated from an ARFIMA(0,d,0) model. Following Banerjee and Magnus (1999) we investigate the sensitivity of the standard OL...
Article
Full-text available
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 tend to a constant lying strictly between these values when an intercept term is present. This paper considers the limiting power of these tests in models wi...
Article
Full-text available
In an effort to stimulate more attractive football, the international football association FIFA, has introduced several new rules over the past decades. One of the most recent rule change is the introduction of the ``sudden death'' or ``golden goal'' rule for games going into extra time play. This paper analyses under which conditions, if any, the...
Article
In an effort to stimulate more attractive football, the international football association FIFA, has recently introduced the "sudden death" or "golden goal" rule for games going into extra time play. This paper analyses under which conditions, if any, the introduction of the sudden death rule improves the attractiveness of the football game. Our re...
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Full-text available
When monetary policy announcements are expected to occur at scheduled dates, the event of an unscheduled announcement often ``surprises'' financial markets. However, if the information provider knows the future policy beforehand, he might be induced to anticipate the release of information without waiting for the next scheduled date, on the assumpt...
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The paper uses local linear regression to estimate the ``direct'' Average Derivative \delta = E(D[m(x)]), where m(x) is the regression function. The estimate of \delta is the weighted average of local slope estimates. We prove the asymptotic normality of the estimate under conditions which are different from the conditions used by Heardle-Stoker (H...
Article
This empirical study uses 100 years of annual data on 11 agricultural commodities from Belgium to measure the impact of structural changes coinciding with economic development and changes in political institutions on agricultural protection. The analysis shows that changes in agricultural protection are caused by a combination of factors. Governmen...
Article
The excess smoothness puzzle is explored using a simple version of the permanent income hypothesis. The new feature is that consumers do not know the observed data-generating process for income. Instead they estimate the income process every period using the past income data and update their income forecasts as new data arrive. Two scenarios are ex...
Article
We consider the linear time-series model yt=dt+ut(t=1,...,n), where dt is the deterministic trend and ut the stochastic term which follows an AR(1) process; ut=ut-1+t, with normal innovations t. Various assumptions about the start-up will be made. Our main interest lies in the behaviour of the l-period-ahead forecast yn+1 near =1. Unlike in other s...
Article
This empirical study uses one hundred years of annual data on eleven agricultural commodities from Belgium to measure the impact of structural changes coinciding with economic development and changes in political institutions on agricultural protection. The analysis shows that changes in agricultural protection are caused by a combination of factor...
Article
Full-text available
The excess smoothness puzzle is explored using a simple version of the permanent income hypothesis. The new feature is that consumers do not know the observed data-generating process for income. Instead they estimate the income process every period using the past income data and update their income forecasts as new data arrive. Two scenarios are ex...
Article
We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed where . Our interest lies in testing linear restrictions using the usual F-statistic based on OLS residuals. We are not interested in finding out whether θ=0 or not. Instead we want to find out what the e...
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The paper tests a political economy theory of simultaneous government decision-making on income redistribution through commodity policies and on public research investment in agriculture. We use data from 37 countries on agricultural protection and public agricultural research expenditures (PARI). The empirical results are consistent with the polit...
Article
We consider the standard linear regression model y=Xβ+u with all standard assumptions, except that the variance matrix is assumed to be σ2Ω(θ), where Ω depends on m unknown parameters . Our interest lies exclusively in the mean parameters β or Xβ. We introduce a new sensitivity statistic (B1) which is designed to decide whether ŷ (or ) is sensitive...
Article
Economic and econometric models are used as simple metaphors for the real economic process. There are several reasons to study economic models - to justify some economic theory, to get a mathematical model of the economy but mostly they are used to study a particular feature or features of the real economy. When we are interested in estimating or i...
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Full-text available
This paper addresses a puzzle in the UK labour market. Why is not there enough investment in job training when there is a high skill premium? We model this as a coordination game between firms and workers. Using a social planning model as a baseline, the paper demonstrates that while it is socially beneficial to invest in job training, the private...
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Full-text available
Fully anticipated arrivals of payo-relevant public information act as trading deadlines for - nancial investors. This entails a \deadline eect" by skewing large volumes of nancial trades towards the date the information is due to reach the market. This occurs if and only if traders are risk-averse. Unanticipated information arrivals entail a loss o...

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