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Dr. Sephton’s current area of research includes applied economic modeling. 

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Academic Area

  • Business Economics

Interest Topics

  • Economics
  • Energy
  • Finance & Investment

Faculty Details


Full Bio

Dr. Sephton’s current area of research includes applied economic modeling.

He has numerous papers published in journals including Energy Economics, Environmental and Resource Economics, The American Journal of Agricultural Economics, and the Federal Reserve Bank of St. Louis Review.

He has been a Visiting Scholar at the International Monetary Fund and the Federal Reserve Bank of St. Louis.

Academic Degrees

Queen’s University (1984)

Queen’s University (1981)

BA (Summa Cum Laude)
McMaster University (1980)

Academic Experience

Smith School of Business, Queen’s University
Professor (2003 - Present)
Business Economics Area Coordinator (2009-2011 and 2021-2022)
Director, Queen’s Executive MBA program (2002-2005)
Associate Professor (2001)

Department of Economics, University of New Brunswick
Professor (1993-2001)
Associate Professor (1989-1993)
Assistant Professor (1986-1989)

Department of Economics, University of Regina
Assistant Professor (1984-1986)


Books Published

Macroeconomics: Third Canadian Edition and Microeconomics: Third Canadian Edition, McGraw-Hill Ryerson Ltd., 2006, with D. Colander, D. Rockerbie, and C. Richter.

Macroeconomics: Second Canadian Edition and Microeconomics: Second Canadian Edition, McGraw-Hill Ryerson Ltd., 2003, with D. Colander and C. Richter.

Money, Banking, and the Canadian Financial System, 8th Edition, ITP Nelson, 2001, with H. Binhammer.

Money, Banking and the Canadian Financial System, 7th Edition, ITP Nelson, 1998, with H. Binhammer.

Macroeconomics: First Canadian Edition and Microeconomics: First Canadian Edition, Times Mirror Professional Publishing, 1995, with D. Colander

Instructional Materials

Contributor to the Instructor's Manual to accompany Macroeconomics: Third Canadian Edition by Dornbusch, Fischer, Sparks.

Contributor to the Instructor's Manual to accompany Macroeconomics: Fifth Edition, by Dornbusch, Fischer.

Co-Author of Instructor's Manual and Testbank to Blomquist-Wonnacott-Wonnacott Economics - Third Canadian Edition, McGraw-Hill-Ryerson.

Author of Study Guide in International Finance for distance learning course at Athabasca University. 

Author of Introductory Economics distance learning course for Saint Francis Xavier University.

Author of various Instructor’s Manuals and Testbanks to accompany my textbooks with Binhammer, Colander, and Richter.

Author of Microeconomics on the Web, Macroeconomics on the Web, Money and Banking on the Web, and Intermediate Macroeconomics on the Web (for complete course delivery over the internet).

Refereed Journal Articles

“Threshold Cointegration and Asymmetries between Dividends and Earnings News”,
Finance Research Letters, forthcoming (2023).

“A Note on CO2 Emissions using Two New Tests”, Empirica, forthcoming (2023), with
Tolga Omay.

“Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test", Computational Economics, (2023) DOI: 10.1007/s10614-023-10458-4

“Revisiting the Inflation-Hedging Properties of Precious Metals in Africa”, Resources Policy 77, (2022) 

“Further Evidence of Mean Reversion in CO2 Emissions”, World Development Sustainability, (2022)

 Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test”, Computational Economics 59, (2022), 177-183

Mean Reversion in CO2 Emissions: The Need for Structural Change”, Environmental and Resource Economics 75(4) (2020), 953-975.

El Niño, La Niña, and A Cup of Joe”, Energy Economics 84, 1-15, (2019),

“A Negative Replication of ‘The relationship between energy consumption, energy prices, and economic growth: time series evidence from Asian developing countries’”, Energy Economics (2019), 78-84, with Janelle Mann,

Gold and Crude Oil Prices After The Great Moderation”, Energy Economics 71(3), (2018), 273-281, with Janelle Mann.

"Finite Sample Critical Values of the Generalized KPSS Stationarity Test", Computational Economics 50(1), (2017), 161-172.

"Global Relationships across Crude Oil Benchmarks", Journal of Commodity Markets 2(1) (2016), 1-5, with Janelle Mann.

“Compelling Evidence of an Environmental Kuznets Curve in the United Kingdom",  Environmental and Resource Economics 64(2) (2016), 301-315. with Janelle Mann.

“Revising Fiscal Policy and Growth in Saudi Arabia”, Journal of Reviews on Global Economics (4) (2015), 139-146, with Janelle Mann.

Non-linear Attractors and Asymmetries Between Non-Life Insurance Premiums and Financial Markets", Empirical Economics (49) (2015), 783-799, with Janelle Mann.

“Modeling Customer Satisfaction: A Panel Cointegration Perspective of The Limited Service Restaurant Sector”, The Open Economics Journal (2013), 11-17.

“Threshold Cointegration, Model Selection with an Application”, Journal of Economics and Econometrics 56(2) (2013), 54-77, with Janelle Mann.

“Further Evidence of the Environmental Kuznets Curve in Spain”, Energy Economics 36 (2013), 177-181, with Janelle Mann.

“Persistence in U.S. State Unemployment Rates: Errata and Extensions”, Southern Economic Journal 78(3) (2012), e1-e9.

“Consumer Spending and Customer Satisfaction: Untying the Knot”, Economics Research International (2012), 1-7.

“Breaking Deterministics, Test Size, and the Efficient Wald Test for Fractional Unit Roots”, Applied Economics Letters (2012), 83-87   

“Threshold Cointegration in Sarawak Pepper Prices”, Canadian Journal of Agricultural Economics 59 (2011), 405-416.

“Who Cut the Cheese?”, Applied Economics Letters 18 (2011), 7-10.

“On the Empirical Size of Nielsen’s Multivariate Likelihood Ratio Test of Fractional Integration”, Applied Economics (2010), 1671-1679.   

"A Comparison of Hedging Strategies and Effectiveness for Storable and Non-Storable Commodities", Agricultural Economics: New Research (2010), Nova Science Publishers: New York, with Janelle Mann

“Unit Roots and Purchasing Power Parity: Another Kick at the Can”, Applied Economics 42 (2010), 3439-3453.

“Persistence in U.S. State Unemployment Rates”, Southern Economic Journal (2009), 458-466.

“Predicting Recessions”, Foresight: The International Journal of Forecasting 12 (2009), 26-32

“Prostate Cancer: A New Brunswick Tale”, Applied Economics Letters 16 (2009), p 663-667.

“Fractional Integration in Agricultural Futures Price Volatilities Revisited”, Agricultural Economics 40 (2009), 103-111.

Critical Values for the Augmented Efficient Wald Test for Fractional Unit Roots”, Empirical Economics (2009),  615-626.

“Some Evidence of Purchasing Power Parity”, The Open Economics Journal (2008), p. 55-57

“Exchange Rates and Fractional Integration Revisited”, Applied Financial Economics Letters (2008) 4, p 383-387

On the Finite Sample Size and Power of the Generalized KPSS Test in the Presence of Level Breaks”, Applied Economics Letters 15 (2008), p 833-843.  

“Critical Values of the Augmented Fractional Dickey Fuller Test”, Empirical Economics (2008) 35, p 437-450

“Market Shares and Rivalry in the U.S. Cigarette Industry”, Applied Economics Letters 15(6) (2008), p 417-422. 

“Forecasting Inflation using the Term Structure and MARS”, Applied Economics Letters 12 (2005), 199-202. 

“Predicting the Equity Premium with Dividend Ratios: A Matter of Balance”, Applied Economics Letters 12 (3) (2005), 145-148.

“Spatial Market Arbitrage and Threshold Cointegration”, American Journal of Agricultural Economics 85 (4) (2003), 1041-1046.

“Fractional Cointegration: Monte Carlo Estimates of Critical Values, with an Application”, Applied Financial Economics 12 (2002), p. 331-335.

"Forecasting Recessions: Can We Do Better on MARS?", Federal Reserve Bank of St. Louis Review, March/April (2001), pp. 39-49.

“Financial Analysis Package for Gauss: A Review”, Journal of Applied Econometrics 13 (2000), pp. 203-207.

“GARCH and MARKOV Hedging at the WCE”, Canadian Journal of Agricultural Economics 46 (1998), pp 117-126

“EasyReg 1.12: A Review”, Journal of Applied Econometrics 13 (1998), pp.203-207.

"A Note on Fractional Cointegration", Applied Economics Letters  3 (1996), pp. 683-685

"Extended Critical Values for a Simple Test of Cointegration", Applied Economics Letters 3 (1996), pp. 155-157. 

"Response Surface Estimates of the KPSS Stationarity Test", Economics Letters 47, (1995), pp. 255-261.

"A Non-Parametric View of Money/Income Causality", Applied Financial Economics 5 (1995), pp. 79-84.

"Cointegration Tests on MARS", Computational Economics 7 (April 1994), pp. 23-35. 

"Software for Econometric and Financial Analysis: A Review of Eleven Selected Desktop Supported Packages", Economic and Financial Computing 2 (Winter 1993), pp. 1-46, with H. Larsen.

"Hedging Wheat and Canola at the Winnipeg Commodity Exchange", Applied Financial Economics 3 (Winter 1993), pp. 67-72.

"Optimal Hedge Ratios at the Winnipeg Commodity Exchange", Canadian Journal of Economics 26 (February 1993), pp. 175-193.

“Modelling the Link Between Commodity Prices and Exchange Rates: The Tale of Daily Data", Canadian Journal of Economics 25 (February 1992), pp. 156-171.

"Tests of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests", Journal of International Money and Finance 10 (December 1991), pp. 561-570, with H. Larsen.

"The Determinants of Union Membership Growth in Taiwan", Journal of Labor Research 12 (Fall 1991), pp. 429-437, with B. Sharma.

"Commodity Prices: Policy Target or Information Variable?: A Comment",  Journal of Money, Credit, and Banking 23 (May 1991), pp. 260-266.

"The Efficiency of the London Metal Exchange - Another Look at the Evidence", Applied Economics 23 (April 1991), pp. 669-674, with D. Cochrane.

"Metal Prices, Cointegration and Market Efficiency at the LME:  Another Look", The Kentucky Journal of Economics and Business 10 (1990), pp. 30-37, with D. Cochrane. 

"A Note on the Efficiency of the London Metal Exchange", Economics Letters 33  (September 1990), pp. 341-345,  with D. Cochrane.

"Eliminating Required Reserves:  Does It Matter?"  International Economic Journal 4 (Autumn 1990), pp. 69-76.

"Unemployment in OECD Countries:  An Empirical Test of the Wage Gap", Applied Economics 22 (July 1990), pp. 881-890, with T. Myatt.

"Does Anticipated Monetary Policy Matter?  More Evidence", Applied Economics 22 (January 1990), pp. 111-116.

"Causality Between Export Growth and Industrial Development: Empirical Evidence form the NIC's - A Comment", Journal of Development Economics 31 (October 1989), pp. 413-415

"On Exchange Intervention, Sterilization, and Bank Reserve Accounting", Journal of International Money and Finance 8 (September 1989), pp. 445-450

"Anticipated Monetary Policy in Canada: Some New Evidence", Economic Letters 30 (August 1989), pp. 11-17.

"Relative Prices and Money: Some Canadian Evidence", Canadian Journal of Agricultural Economics 37 (July 1989), pp. 269-278.

"On the Exchange-Rate Elasticity of the Demand for International Reserves:  Some Evidence from Industrial Countries - A Comment", Weltwirtschaftliches Archiv 125 (June 1989), pp. 392-393.

"A Note on Exchange Rate Trend-Stationarity", International Economic Journal 3 (Spring 1989), pp. 73-78.

"On Interest Rate Innovations and Anticipated Monetary Policy", Economics Letters 28 (December 1988), pp. 177-180.

"The Impossible Dream: The IMF and Trend-Stationary Exchange Rates in a Currency Substitution Model", Atlantic Economic Journal 16 (December 1988), p. 89.

"Money in the Production Function Revisited", Applied Economics 20 (July 1988), pp. 853-860.

"World Non-Oil Primary Commodity Markets", IMF Staff Papers 35 (March 1988), pp. 198-203.

"The Choice of Monetary Policy Instruments in Canada:  An Extension, Canadian Journal of Economics 20 (February 1987), pp. 55-60.

Book Chapters/Reviews/Contributions

“A Perambulation along the Royal Mile”, The Oracle (online newsletter of the International Institute of Forecasters) 2014. Reprinted, “Shopping with Adam Smith”, Smith Business Insight (2015)

“The Drunkard’s Walk”, Foresight: The International Journal of Applied Forecasting (2009), 5-8

 “Acceptable and Unacceptable Dirty Pedagogy: The Case of AS/AD”, Aggregate Demand and Supply: A Critique of Orthodox Macroeconomic Modeling, MacMillan Press Ltd. U.K., with D. Colander, 1997.

“An Evaluation Framework for the NB WORKS Program", Report for the Canadian Employment Research Forum, sponsored by New Brunswick Department of Advanced Education and Labour, 1995, with W. Milne.

"The London Metal Exchange", New Palgrave Companion Money and Finance, 1992,  MacMillan Press, with P. Ritchie.

"Targets and Indicators: A Blueprint for the International Coordination of Economic Policies", by J. Williamson and M. Miller, Canadian Journal of Economics, August 1988.

In the Media/Public Speaking

Source for various newspaper articles on Executive MBA programs

School of Business Forecasting Luncheon, December

Source for newspaper articles and editorials in Ontario and New Brunswick, answered “Good Questions” for CBC Radio, Saint John, N.B.

“Using the Web to Teach”, Morningside, CBC, May 5.
“Learning Economics on the Web”, Mainstreet: Fredericton CBC, April .
“The Unemployment Rate”, Information Morning: Fredericton, February.
“The Budget”, Fredericton Chamber of Commerce Budget Breakfast, February.

"Does the Bank Governor Know His Economic Stuff?", The Globe and Mail, June 27.

"The Saskatchewan Budget Challenge", Canada AM.


Visiting Positions

Visiting Scholar
Federal Reserve Bank of St. Louis

Visiting Scholar
International Monetary Fund


Research Awards

UNB Research Fund Award (1989, 1990, 1991, 1992, 1993, 1994, 1995)

UNB Merit Award for Excellence in Teaching and Research (1991)

UNB Arts Research Grant Application Prize (1989)

Grants & Funding

Queen’s University & School of Business SSHRC 4A Grant (2011)

Queen’s University & School of Business SSHRC 4A Grant (2010)

PELA CFDC Grant, Monieson Centre (2008)

SSHRC CURA Seed Grant (2008)

School of Business Research Grant (2008)

School of Business Research Grant (2001)

School of Business, D.I. McLeod Student Assistantship (2001)

Canadian Cancer Society, New Brunswick Regional Research Development Program “Prostate Cancer: Socioeconomic Determinants and the Efficacy of Treatment Regimens in New Brunswick” (1999)

Student Career Placement Grant, Human Resources Development Canada (1999)

Student Career Placement Grant, Human Resources Development Canada (1998)

Student Career Placement Grant, Human Resources Development Canada (1997)

SSHRC Research Grant "Financial and Commodity Markets, and Non-linear Relationships in Economics" (1993-1996)

Canadian Program Development Grant "An Empirical Test of the Reserve Tax Hypothesis" (1990)

SSHRC Research Grant "Macroeconomics and Commodity Markets: A Study into Market Efficiency, Comparative Dynamics, and the Monetary Effects on Relative Prices.” (1990)


Activity as Reviewer


Referee for The Canadian Journal of Economics, Applied Economics, Applied Economics Letters, Applied Financial Economics, Ecological Indicators, Energy Economics, Environmental and Resource Economics, Journal of Business and Economic Statistics, The Journal of International Money and Finance, The Canadian Journal of Agricultural Economics, The American Journal of Agricultural Economics, The Journal of Money, Credit and Banking, The Journal of Futures Markets, The Journal of Macroeconomics, the International Economic Review, The Journal of International Economics, The Canadian Journal of Regional Science, Canadian Public Policy, The Manchester School, Oxford Bulletin of Economics and Statistics, and publishing firms.


  • External Reviewer, Promotion and tenure candidates, Saint Mary’s University and Dalhousie University (several cases).
  • External Examiner, Economics Ph.D. Dissertation, Dalhousie University, 2004.
  • Internal/External Examiner, Queen’s Economics Department PhD Theses.
  • SSHRC General Research Grants reviews.
  • UOIT Undergraduate Commerce Program Review Consultant, 2009.