The paper suggests a CUSUM-type test for time-varying parameters in a recently proposed spatial autoregressive model for stock returns and derives its asymptotic null distribution as well as local power properties. As can be seen from Euro Stoxx 50 returns, a combination of spatial modelling and change point tests allows for superior risk forecasts in portfolio management. JEL Classification: C...

We use 130 years of data on historical migrations to the United States to show a causal effect of the ancestry composition of US counties on foreign direct investment (FDI) sent and received by local firms. To isolate the causal effect of ancestry on FDI, we build a simple reduced-form model of migrations: migrations from a foreign country to a US county at a given time depend on (i) a push fac...

This paper studies the role of the host country’s market size in the determination of foreign direct investment (FDI) and trade flows in a general equilibrium model. We propose a simple model with non-homothetic consumer behavior where the distribution of income in the host country implies market segmentation. Facing a proximity-concentration trade-off, in equilibrium ex-ante identical firms ch...