James E. Payne

James E. Payne
Georgia College · J. Whitney Bunting College of Business

Ph.D. Florida State University

About

258
Publications
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20,387
Citations

Publications

Publications (258)
Article
Full-text available
Are the economic freedom levels of all countries converging now that the Cold War is over? If not, are they converging into a subset of economic freedom groups or ‘clubs’ based upon underlying legal origins and country characteristics? This study investigates these questions using recent methodological developments in panel data convergence analysi...
Article
Full-text available
This study examines the stochastic convergence of renewable energy intensity (REI) across U.S. states. We test for the stationarity of relative REI (stochastic convergence) using a recently developed quantile panel unit root test that accommodates both cross-sectional dependence and asymmetric behavior. Our overall finding is that most states exhib...
Article
Geopolitical risk can have an impact on investment behavior and rates of return. We explore the time-varying relation between the daily geopolitical risks index (GPRD) and tourism market. We use tourism tokens (TTI) and tourism equity market indices (WHRL) as proxies of the tourism industry. Results from DCC-GARCH analysis depict weak co-movements...
Article
This study presents evidence of global and regional comovements in public debt and examines their trends and features. We employ a Bayesian dynamic factor model with time‐varying parameters based on the debt‐to‐GDP ratio of 115 countries. We find the global factor accounts for 38 percent of the total variation in the debt ratio worldwide, but its s...
Article
US bank stress tests were introduced to improve the risk posture and management practices of large and complex banking institutions. We investigate whether stress-tested banks in the United States converge to each other in their levels and determinants of profitability, as well as their risk taking and systemic risk contributions. Our results are c...
Article
This study tests for convergence of the three main sub‐components of economic freedom (government spending, taxation, and labor market freedom) for the 50 US states from 1981 to 2019. In particular, we test for stochastic convergence using unit root tests that account for structural breaks and bounded processes. By controlling for these sources of...
Article
This study tests for convergence in economic freedom across the 50 U.S. states from 1981 to 2019. In particular, we test for stochastic convergence in overall economic freedom using unit root tests that account for structural breaks and bounded processes, two sources of parameter instability. We find limited evidence of stochastic convergence. Furt...
Article
This study examines tourism convergence across regions within a country as a means to understand the extent to which there is segmentation of regional tourism markets and the differential impact of domestic versus foreign tourism. Additionally, our empirical analysis introduces a newly developed weak σ-convergence test alongside the club convergenc...
Article
This study extends the literature on the permanent or transitory nature of shocks to per capita tourist arrivals along several dimensions. First, the study evaluates the nature of shocks to per capita tourist arrivals for a global panel of 129 countries. Second, unlike previous studies, we jointly estimate structural changes that represent either a...
Article
This study extends the literature with respect to economic policy uncertainty measures and tourism flows to Croatia through the use of the Toda and Yamamoto modeling approach with a Fourier approximation to capture structural breaks. The results show that domestic economic policy uncertainty does not have a significant impact on tourist overnight s...
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This study examines the convergence of per capita greenhouse gas emissions for a global panel of 183 countries. Unlike previous studies that address the effects of structural breaks and cross-correlations separately, a new testing approach is proposed that jointly incorporates structural breaks and cross-correlations. Specifically, we extend the tw...
Article
Tourism expenditures and receipts are an important component of many countries’ balance of payments. Indeed, the determination of whether shocks to tourism expenditures and receipts are permanent or transitory in nature is relevant to understanding the appropriate policy response. This study introduces new panel stationarity tests that simultaneous...
Article
This study examines the changes in the persistence and seasonality inherent in the Croatian tourism sector in light of the onset of the COVID-19 pandemic. First, we differentiate between the changes in the persistence and seasonal behavior with respect to domestic and foreign tourist arrivals and overnight stays. Second, with nearly 90% of the Croa...
Article
This is the first study to examine the differential impact of Croatian and European economic policy uncertainty indices while controlling for the real effective exchange rate and industrial production on international tourist arrivals for the seven coastal counties of Croatia and the country as a whole. The Toda-Yamamoto long-run causality modeling...
Article
The analysis of convergence behavior with respect to emissions and measures of environmental quality can be categorized into four types of tests: absolute and conditional β-convergence, σ-convergence, club convergence, and stochastic convergence. In the context of emissions, absolute β-convergence occurs when countries with high initial levels of e...
Article
This is a survey of the standard econometric approaches used in the convergence analysis of emissions and measures of environmental quality broadly defined to include tests of absolute and conditional β-convergence, σ-convergence, stochastic convergence, and club convergence. The main point shows that the results from the various econometric approa...
Article
This study examines the trend and comovements of military expenditures across 70 countries from 1967 to 2018. While previous research recognizes the degree of cross-correlations using principal components analysis, we adopt a dynamic factor model with time-varying stochastic volatility to examine the trend and comovements in military spending. Spec...
Article
Full-text available
This exploratory study extends the literature on the convergence of per capita carbon dioxide emissions in analyzing stochastic and club convergence within a panel framework for developing countries. The results from Pesaran (Journal of Applied Econometrics, 22(2), 265-312, 2007) and Bai and Carrion-i-Silvestre (Review of Economic Studies, 76(2), 4...
Article
Purpose The purpose of this paper is to examine the short-run monetary policy response to five different types of natural disasters (geophysical, meteorological, hydrological, climatological and biological) with respect to developed and developing countries, respectively. Design/methodology/approach An augmented Taylor rule monetary policy model i...
Article
With active drilling rigs essential for replenishing oil resources depleted through production, this study examines the potential asymmetries between drilling rig trajectory (vertical, directional, and horizontal), oil prices and oil production in the U.S. within a nonlinear autoregressive distributed lag framework. Based on weekly data, the result...
Article
Convergence in per capita emissions occurs when countries with higher initial levels of per capita emissions experience lower emission growth than countries with lower initial levels of per capita emissions. The recent literature adopts the notion of stochastic convergence, which implies that per capita emissions tend to converge to a stationary le...
Article
This research note examines the change in the degree of persistence in the Croatian tourism indicators, foreign arrivals, and overnight stays, due to the COVID-19 pandemic using recursive estimation of a fractional integration model. The results indicate that the shock from the COVID-19 pandemic can be viewed as permanent in nature. The policy resp...
Article
Full-text available
This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price data from 2013 until 2020 whereby three types of agents are considered: mean–variance opti...
Article
This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic po...
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This research note examines data on US citizens’ overseas air passenger travel with respect to the degree of persistence, seasonality, nonlinearities, and fractional integration. Based on seasonally differenced data with allowance for autocorrelated errors, we find evidence of nonlinearity with moderate persistence and mean reversion in US overseas...
Article
Unlike previous studies, which find that economic policy uncertainty has an adverse impact on tourism flows, our results from Toda-Yamamoto long-run causality tests reveal the absence of Granger-causality from either U.S. or global economic policy uncertainty indices to U.S. overseas travel. Upon further investigation using generalized impulse resp...
Article
Do we observe convergence between cryptocurrencies over time? This study explores this question with eight major cryptocurrencies in circulation and posits a framework to evaluate whether shifts in their market microstructures drive convergence. Three main findings emerge. First, convergence occurs between cryptocurrencies with distinct technologic...
Article
This study explores the convergence of housing prices for 21 metropolitan areas within the state of Florida for the quarterly period 1987:2 to 2017:3. The examination of house price differentials between metropolitan and state-level house prices using a battery of univariate and panel unit root testing approaches yielded mixed results with respect...
Article
This study examines the influence of changes in oil prices on total household consumption along with its sub‐components from 1996 to 2018, a period characterised in the literature by the declining impact of oil price shocks on macroeconomic activity. Using several dynamic panel VAR econometric approaches, we examine the role of oil prices alongside...
Article
Full-text available
This paper extends the literature on the convergence of carbon dioxide emissions intensity and its determinants (energy intensity and the carbonization index) for six Central American countries over the period 1971 to 2014. Using the Phillips-Sul club convergence approach, the results indicate two distinct convergence clubs with respect to carbon d...
Article
This study examines the degree of persistence in the prices, returns, excess returns, and risk-adjusted excess returns in the condominium market for five U.S. metropolitan areas: Boston, Chicago, Los Angeles, New York, and San Francisco, using fractional integration techniques that account for structural breaks and nonlinearity. The results show th...
Article
This empirical study examines the extent to which the introduction of NAFTA influenced the convergence behavior of CO2 emissions intensity and its determinants (energy intensity and carbonization index) associated with the countries of Canada, Mexico, and the U.S. Our results from tests of stochastic convergence, σ-convergence, and club convergence...
Article
Researchers utilizing the U.S economic policy uncertainty index and its sub-categories need to be cognizant of the unique persistence profile of each index. We use fractional integration techniques to estimate the degree of persistence in the U.S. economic policy uncertainty index and its 11 sub-categories. The results indicate the estimated values...
Article
Purpose The purpose of the study is to examine the long-run convergence properties of condominium prices based on the ripple effect for five major US metropolitan areas (Boston, Chicago, Los Angeles, New York and San Francisco). Specifically, we test for both overall convergence in condominium prices and the possibility of distinct convergence club...
Article
This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The resul...
Article
The previous literature on the impact of trade on energy consumption has yielded inconclusive results. However, recent studies provide evidence of a nonlinear relationship between trade and energy consumption. Unlike previous studies, we employ a panel framework with allowance for heterogeneity and cross-sectional dependence to investigate the trad...
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Full-text available
This study reinvestigates the hypothesis that education is expected to have a positive and statistically significant effect on democracy for a panel of 169 countries over the period 1990–2014. Unlike previous studies, we employ the time-varying cointegration approach of Bierens and Martins (Econom Theory 26:1453–1490, 2010) to show the time-varying...
Article
This study explores the role of monetary policy rules and central bank actions originating from such rules that directly affects the equity risk premium. The results indicate that monetary policy rules have a direct impact on the equity risk premium through investors’ appetite for risk and greater uncertainty faced by market participants. The analy...
Article
Purpose The purpose of this paper is to extend the literature on the entrepreneurship-unemployment nexus to the case of Croatia. Design/methodology/approach The study uses the Toda-Yamamoto causality test within a vector autoregressive model to determine the causal dynamics between the self-employment rate (SER), unemployment rate (UR), industri...
Article
This study applies fractional integration techniques (parametric and semi-parametric) to examine the time series behavior of US retail gasoline prices using weekly data from January 2, 1995, to May 22, 2017. The results based on both parametric and semi-parametric methods provide conflicting evidence. Using parametric methods, the orders of integra...
Article
This research note examines the change in data measurement for international tourist arrivals to the United States due to the requirement that all tourists must complete the INS I-94 entry form and its impact on tourist arrivals in the aftermath of the September 2001 terrorist attacks. Using fractional integration techniques, we find that the major...
Article
This study examines the convergence of carbon dioxide emissions intensity across the 50 US states including the District of Columbia over the period 1997–2013 using a battery of tests. The results from cross-sectional tests of β- and σ-convergence lend support for overall convergence in carbon dioxide emissions intensity. On the other hand, panel u...
Article
This study examines the degree to which the deployment of well service rigs is responsive to changes in commodity prices and operating rigs in terms of long- and short-run estimates of elasticity. Well service rigs respond more to changes in natural gas rigs than oil rigs, and more to real oil prices than to real natural gas prices. In the shorter...
Article
Full-text available
This study examines the impact of the anti-inflation stabilization policies on the behavior of inflation in Croatia in the early 1990s and through the subsequent post-stabilization period using fractional integration techniques. Indeed, the implementation of the stabilization program in October 1993 brought immediate deflation with a relative high...
Article
This study examines the performance of four alternative univariate seasonal time series forecasting models (seasonal autoregressive integrated moving average [SARIMA], SARIMA with Fourier transformation, ARAR, and fractionally integrated autoregressive-moving average) of tourist arrivals to 20 Croatian counties and the City of Zagreb. Both in-sampl...
Article
This study extends the literature on the convergence of per capita carbon dioxide emissions by examining the 50 U.S. states including the District of Columbia in the aggregate, by sector, and by fossil fuel source using the Phillips-Sul club convergence approach for the period 1980 to 2013. The results indicate multiple convergence clubs in the agg...
Article
Given the federal and state policy initiatives to curb fossil fuel consumption and expand the use of renewable energy sources in the U.S., this study investigates the convergence properties of per capita renewable energy consumption across U.S. states (including the District of Columbia). In addition to cross-sectional tests of β- and σ-convergence...
Article
Understanding the performance of new-well oil production per rig over time and across oil-producing regions serves as an important indicator of current and future production capabilities. As such, this study examines the degree of persistence in response to shocks in new-well production per rig for the six major US oil-producing regions using modif...
Article
We study the cross-effects of the beer market on U.S. cigarette demand. The extant literature has mainly focused on the cigarettes and (hard) liquor relationship with inconclusive findings on substitution or complementarity. Our results show cigarettes and beer serve as complements as supported through beer price (tax) and non-price (regulation) ch...
Article
The Croatian tourism sector has been affected by a number of negative and positive shocks since the beginning of the 1990s. To examine the impact of shocks on tourism, the authors employ fractional integration techniques as a means to gauge the degree of persistence of such shocks. Based on monthly data from January 1995 to December 2013, they find...
Article
Purpose – The purpose of this paper is to extend the existing literature on the causal dynamics between entrepreneurship and the unemployment rate (UR) in the use of the Kauffman Foundation index of entrepreneurial activity. Design/methodology/approach – Recently developed panel unit root tests with recognition of cross-sectional dependence and pa...
Article
This study examines the stochastic convergence of per capita fossil fuel consumption across U.S. states (including the District of Columbia) utilizing LM and RALS-LM unit root tests with allowance for endogenously determined structural breaks. Our results indicate that with the exception of Nevada, the evidence from two-break and one-break LM and R...
Article
Oil producing exploration and production companies generate revenue from reserves which, from any given well, are depleting over time. The reserve life index measures how long reserves would last at the current production rate if there were no additions to reserves. In this study, we examine the time series behavior of the reserve life index for ea...
Article
With oil company valuations tied in part to oil well drilling to replace reserves at a rate that exceeds production, understanding the dynamic relationship between the development of oil rigs and oil production is important. This study focuses on the Bakken, Eagle Ford, Haynesville, Marcellus, Niobrara, and Permian regions, historically the six maj...
Article
A number of factors have contributed to the rapid growth of wind power capacity in Illinois from 50 MW in 2003 to 3,334.91 MW in 2012, including: federal and state policies, energy security, energy costs, environmental benefits, economic development opportunities, and state-specific factors. One key policy driver in Illinois was the passage of the...
Article
This study proposes a new unit root test that allows for structural breaks in both the intercept and the slope, and adopts the residual augmented least squares (RALS) procedure to gain improved power when the error term follows a non-normal distribution. The new test using the RALS procedure is more powerful than the usual LM test which does not in...
Article
Purpose – The purpose of this paper is to extend the literature on the entrepreneurship-unemployment nexus to include the role of economic policy uncertainty in the causal dynamics. Design/methodology/approach – The study utilizes the Toda-Yamamoto causality tests of a vector autoregressive (VAR) model to infer the causal dynamics between the self...
Book
Expert editors add to an important field of research, the economics of entrepreneurship, and explore how institutions influence entrepreneurial behavior. This book provides comprehensive and contemporary insights into the interaction between economic behavior of firms and households, economic freedom, and entrepreneurship, and how it generates an e...
Article
This study utilizes panel cointegration techniques to estimate the long-run relationship as well as the causal dynamics between renewable energy consumption per capita, real gross domestic product (GDP) per capita, carbon dioxide emissions per capita, and real oil prices for a panel of 11 South American countries over the period 1980 to 2010. Speci...
Article
This study examines the stochastic conditional convergence of per capita health care expenditures (PCHCE) among 19 OECD countries over the period 1972-2008. Specifically, newly developed LM and RALS-LM unit root tests with allowance for two endogenously determined structural breaks are employed. The results indicate support for PCHCE convergence am...
Article
Full-text available
The sub-prime financial crisis was not simply the result of excessive leverage and inadequate capital, but it was brewing for some time as a result of a gradual deterioration of business leadership, lapses in governance and in the regulatory framework (particularly in derivatives markets), and an ineffective risk-management framework.[...]
Article
This study examines the degree of persistence in foreign tourist arrivals and overnight stays for seven Croatian coastal counties over the period January 1998 to December 2013 using fractional integration techniques. Our findings reveal that the respective regional tourism indicators exhibit seasonal unit roots which require seasonal first differen...
Article
This study examines the cointegration between city-gate and residential retail natural gas prices at the U.S. state level using monthly data from 1989:1 to 2012:12. Both price series are tested for unit roots using the Harris (2009) procedure to endogenously identify structural breaks related to deregulation associated with FERC Order No. 636. The...
Article
This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in p...
Article
In this study, we analyze state and metropolitan housing prices in the United States, focusing on the long range dependence of price volatility proxied by squared and absolute returns based on the fractional integration approach. We use quarterly data on state house price indices from each of the 50 U.S. states and the S&P/Case-Shiller house price...
Article
This study extends the empirical literature on the determinants of renewable energy consumption in the case of 25 OECD countries for the period 1980–2011. Preliminary analysis suggests the presence of cross-sectional dependence within the panel data. As a result, second-generation panel unit root tests of Smith et al. (2004) and Pesaran (2007) are...
Article
This empirical note employs fractional integration techniques with allowance for seasonality to infer the degree of persistence in US self-employment rate using monthly data from 2000:01 to 2014:05. The results indicate orders of integration in the range of [0.5,1] implying nonstationary, but mean-reverting behaviour.
Article
This study re-examines the impact of oil abundance on economic growth in a number of MENA (Middle East and North African) countries for the period 1990-2013. Given the number of economic and institutional reforms undertaken by these countries in recent years, we incorporate measures of institutional quality to evaluate if oil abundance impacts econ...
Article
Using an event study approach, we find the announcement by the Bank of France in 1907 to accelerate gold payments directly for U.S. crops is associated with the ultimate upturn in U.S. equity prices. Spillover to the French financial markets accompanied the Regents’ decision to release sterilized reserves, thereby arresting the drainage of coin in...
Article
This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector autoregressive (FAVAR) model, the empirical findings display that...
Article
This study analyzes the degree of time persistence in United States energy prices (natural gas, crude oil, and bituminous coal) using innovative fractional integration models. Annual price data from 1919 to 2006 are used for natural gas and from 1870 to 2006 for crude oil and bituminous coal. The results indicate that energy prices are explained in...
Article
The issue of environmental sustainability is a controversial and extremely diverse multi-faceted topic that ranges from questions as to how to ensure that adequate investment in energy R&D and infrastructure will be undertaken, to state level renewable portfolio standards, to the impact of pollution havens on legislation that would enhance industri...
Article
This study examines whether the target levels of a state's renewable portfolio standard (RPS) are influenced by target levels in neighboring states, controlling for state-specific characteristics. Contrary to previous studies, target levels in neighboring states have a positive and statistically significant impact. In addition, the renewable energy...
Article
This study examines the determinants of renewable energy consumption per capita for a panel of seven Central American countries over the period 1980 to 2010. Specifically, we find a long-run cointegrated relationship exists between renewable energy consumption per capita, real GDP per capita, carbon emissions per capita, real coal prices, and real...
Article
This study uses state-level data for nearly four decades to study the dynamic demand for cigarettes, focusing especially on the long-run equilibrium relationship between cigarette consumption and its determinants as well as the short-run and long-run causal dynamics. We find the presence of cointegration with the long-run equilibrium, indicating th...
Article
This study examines the stochastic conditional convergence of sulphur dioxide (SO2) emissions using the Residual Augmented Least Squares–Lagrange Multiplier (RALS–LM) unit root test with structural breaks. This procedure allows the data to account for trend breaks and nonnormal errors that have been ignored or deemphasized in previous studies. The...
Article
This study explores the impact of electricity consumption, as a proxy for economic activity, on stock prices for a panel of 23 Organization for Economic Cooperation and Development countries for the period 1992 to 2010. Heterogeneous panel cointegration tests reveal a long-run equilibrium relationship between stock prices and electricity consumptio...
Article
This study extends the investigation of the relationship between renewable and non-renewable electricity consumption and economic growth for 16 emerging market economies within a time-varying coefficient cointegration model spanning the period 1990–2011. The standard panel cointegration tests with fixed coefficients indicate that there is a stable...
Article
We investigate the causal relationship between income inequality and economic freedom using data from U.S. states over the period 1981 to 2004 within a panel error correction model framework. The results indicate bidirectional causality between income inequality and economic freedom in both the short and the long run. These results suggest that hig...
Article
This study examines the degree of time persistence in U.S. disaggregated renewable energy consumption (hydropower, geothermal, solar, wind, wood, waste, and biofuels) using innovative fractional integration and autoregressive models with monthly data for the period 1994:2 to 2011:10. The results indicate that in the case of hydropower, solar, wind,...
Article
Full-text available
This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial a...
Article
Full-text available
This study examines the impact of research and development (R&D) expenditures on carbon dioxide (CO2) emissions prior to and under the mandatory adoption of International Financial Reporting Standards at the firm level within the manufacturing sectors of three European countries, i.e. Germany, France and the U.K. Estimation of a threshold autoregre...
Article
This study estimates a panel error correction model to determine the Granger-causal relationship between renewable and non-renewable electricity consumption and economic growth for South America. The results show a long-run equilibrium relationship between real gross domestic product, renewable electricity consumption, non-renewable electricity con...
Article
Unlike previous studies which mainly focus on the integration properties of energy consumption and production, this study examines the convergence of per capita energy use among 25 OECD countries over the period 1960 to 2010. In particular, newly developed LM and RALS-LM unit root tests with allowance for two endogenously determined structural brea...
Article
This study investigates the role of credit risk factors in predicting European bank failures in light of the recent financial (banking) crisis. Using data from 90 European Union (EU) banks in 21 countries (including 9 banks that failed the 2011 stress tests undertaken by the European Banking Authority), we employ a random effects probit model to an...
Article
This study examines the causal relationship between renewable energy consumption and economic growth for 80 countries within a multivariate panel framework over the period 1990–2007. The results of the panel cointegration test indicates there is a long-run equilibrium relationship between real gross domestic product, renewable energy consumption, r...
Article
This short communication examines the convergence of the Tier 1 capital ratio in the banking sector across the EMU. The study applies the Phillips-Sul convergence and clustering algorithm for 251 European banks over annual periods from 1990 to 2010. The null hypothesis of full convergence is rejected; however, the convergence tests reveal heterogen...
Article
Purpose – The purpose of this paper is to examine the possibility of asymmetries in the budgetary adjustment process. Design/methodology/approach – The paper uses the TAR and MTAR models, set forth by Enders and Siklos, for the period 1957 to 2009. Findings – Short‐run results indicate unidirectional causality from revenues to expenditures. Long‐...

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