-
1
-
-
0016355478
-
A new look at the statistical model identification
-
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control 19(6), 716-723.
-
(1974)
IEEE Transactions on Automatic Control
, vol.19
, Issue.6
, pp. 716-723
-
-
Akaike, H.1
-
2
-
-
56749150914
-
Arbitrage in the foreign exchange market: Turning on the microscope
-
Akram, Q. F., D. Rime, and L. Sarno (2008). Arbitrage in the foreign exchange market: Turning on the microscope. Journal of International Economics 76(2), 237-253.
-
(2008)
Journal of International Economics
, vol.76
, Issue.2
, pp. 237-253
-
-
Akram, Q.F.1
Rime, D.2
Sarno, L.3
-
3
-
-
0036184128
-
Money, interest rates, and exchange rates with endogenously segmented markets
-
Alvarez, F., A. Atkeson, and P. Kehoe (2002). Money, interest rates, and exchange rates with endogenously segmented markets. Journal of Political Economy 110(1), 73-112.
-
(2002)
Journal of Political Economy
, vol.110
, Issue.1
, pp. 73-112
-
-
Alvarez, F.1
Atkeson, A.2
Kehoe, P.3
-
4
-
-
67549105072
-
Time-varying risk, interest rates, and exchange rates in general equilibrium
-
Alvarez, F., A. Atkeson, and P. Kehoe (2009). Time-varying risk, interest rates, and exchange rates in general equilibrium. Review of Economic Studies 76(3), 851-878.
-
(2009)
Review of Economic Studies
, vol.76
, Issue.3
, pp. 851-878
-
-
Alvarez, F.1
Atkeson, A.2
Kehoe, P.3
-
5
-
-
0039066490
-
Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomics announcements and longer run dependencies
-
February
-
Andersen, T., and T. Bollerslev (1998, February). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomics announcements and longer run dependencies. Journal of Finance 53(1), 219-265.
-
(1998)
Journal of Finance
, vol.53
, Issue.1
, pp. 219-265
-
-
Andersen, T.1
Bollerslev, T.2
-
6
-
-
1842715601
-
The distribution of realized exchange rate volatility
-
Andersen, T., T. Bollerslev, F. Diebold, and P. Labys (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association 96(453), 42-55.
-
(2001)
Journal of the American Statistical Association
, vol.96
, Issue.453
, pp. 42-55
-
-
Andersen, T.1
Bollerslev, T.2
Diebold, F.3
Labys, P.4
-
7
-
-
0242345456
-
Micro effects of macro announcements: Real-time price discovery in foreign exchange
-
Andersen, T., T. Bollerslev, F. Diebold, and C. Vega (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review 93(1), 38-62.
-
(2003)
American Economic Review
, vol.93
, Issue.1
, pp. 38-62
-
-
Andersen, T.1
Bollerslev, T.2
Diebold, F.3
Vega, C.4
-
9
-
-
33747706175
-
Can information heterogeneity explain the exchange rate determination puzzle?
-
Bacchetta, P., and E. van Wincoop (2006). Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review 96(3), 552-576.
-
(2006)
American Economic Review
, vol.96
, Issue.3
, pp. 552-576
-
-
Bacchetta, P.1
van Wincoop, E.2
-
10
-
-
47749096695
-
Higher order expectations in asset pricing
-
Bacchetta, P., and E. van Wincoop (2008). Higher order expectations in asset pricing. Journal of Money, Credit and Banking 40(5), 837-866.
-
(2008)
Journal of Money, Credit and Banking
, vol.40
, Issue.5
, pp. 837-866
-
-
Bacchetta, P.1
van Wincoop, E.2
-
11
-
-
77955140950
-
Infrequent portfolio decisions:Asolution to the forward discount puzzle
-
Bacchetta, P., and E. van Wincoop (2010). Infrequent portfolio decisions:Asolution to the forward discount puzzle. American Economic Review 100(3), 870-904.
-
(2010)
American Economic Review
, vol.100
, Issue.3
, pp. 870-904
-
-
Bacchetta, P.1
van Wincoop, E.2
-
12
-
-
0039843719
-
Affine term structure models and the forward premium anomaly
-
Backus, D., S. Foresi, and C. Telmer (2001). Affine term structure models and the forward premium anomaly. Journal of Finance 56(1), 279-304.
-
(2001)
Journal of Finance
, vol.56
, Issue.1
, pp. 279-304
-
-
Backus, D.1
Foresi, S.2
Telmer, C.3
-
13
-
-
0028591186
-
Dynamics of the trade balance and the terms of trade: The J-curve?
-
Backus, D., P. Kehoe, and F. Kydland (1994). Dynamics of the trade balance and the terms of trade: The J-curve?American Economic Review 84(1), 84-103.
-
(1994)
American Economic Review
, vol.84
, Issue.1
, pp. 84-103
-
-
Backus, D.1
Kehoe, P.2
Kydland, F.3
-
14
-
-
38248999435
-
Consumption and real exchange rates in dynamic exchange economies with nontraded goods
-
Backus, D., and G. Smith (1993). Consumption and real exchange rates in dynamic exchange economies with nontraded goods. Journal of International Economics 35(3-4), 297-316.
-
(1993)
Journal of International Economics
, vol.35
, Issue.3-4
, pp. 297-316
-
-
Backus, D.1
Smith, G.2
-
16
-
-
0001399205
-
The Purchasing-Power Parity doctrine: A Reappraisal
-
Balassa, B. (1964). The Purchasing-Power Parity doctrine: A Reappraisal. Journal of Political Economy 72(6), 584-596.
-
(1964)
Journal of Political Economy
, vol.72
, Issue.6
, pp. 584-596
-
-
Balassa, B.1
-
17
-
-
0034112701
-
The forward premium puzzle: Different tales from developed and emerging economies
-
Bansal, R., and M. Dahlquist (2000). The forward premium puzzle: Different tales from developed and emerging economies. Journal of International Economics 51(1), 115-144.
-
(2000)
Journal of International Economics
, vol.51
, Issue.1
, pp. 115-144
-
-
Bansal, R.1
Dahlquist, M.2
-
18
-
-
34547707633
-
-
Working paper, Duke University
-
Bansal, R., and I. Shaliastovich (2007). Risk and return in bond, currency, and equity markets.Working paper, Duke University.
-
(2007)
Risk and return in bond, currency, and equity markets
-
-
Bansal, R.1
Shaliastovich, I.2
-
19
-
-
84917318542
-
The global foreign exchange market: Growth and transformation
-
Autumn
-
Barker, W. (2007). The global foreign exchange market: Growth and transformation. Bank of Canada Review 2007(Autumn), 4-13.
-
(2007)
Bank of Canada Review
, vol.2007
, pp. 4-13
-
-
Barker, W.1
-
20
-
-
33646382246
-
Rare disasters and asset markets in the twentieth century
-
Barro, R. (2006). Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics 121(3), 823-866.
-
(2006)
Quarterly Journal of Economics
, vol.121
, Issue.3
, pp. 823-866
-
-
Barro, R.1
-
21
-
-
0029536933
-
Business cycles and the asset structure of foreign trade
-
Baxter, M., and M. Crucini (1995). Business cycles and the asset structure of foreign trade. International Economic Review 36(4), 821-854.
-
(1995)
International Economic Review
, vol.36
, Issue.4
, pp. 821-854
-
-
Baxter, M.1
Crucini, M.2
-
22
-
-
49249124560
-
Exchange rate determination under interest rate rules
-
October
-
Benigno, G., and P. Benigno (2008, October). Exchange rate determination under interest rate rules. Journal of International Money and Finance 27(6), 971-993.
-
(2008)
Journal of International Money and Finance
, vol.27
, Issue.6
, pp. 971-993
-
-
Benigno, G.1
Benigno, P.2
-
24
-
-
43049157541
-
Order flow and exchange rate dynamics in electronic brokerage system data
-
Berger, D., A. Chaboud, S. Chernenko, E. Howorka, and J. Wright (2008). Order flow and exchange rate dynamics in electronic brokerage system data. Journal of International Economics 75(1), 93-109.
-
(2008)
Journal of International Economics
, vol.75
, Issue.1
, pp. 93-109
-
-
Berger, D.1
Chaboud, A.2
Chernenko, S.3
Howorka, E.4
Wright, J.5
-
25
-
-
0037403616
-
Putting the new open economy macroeconomics to a test
-
Bergin, P. (2003). Putting the new open economy macroeconomics to a test. Journal of International Economics 60(1), 3-34.
-
(2003)
Journal of International Economics
, vol.60
, Issue.1
, pp. 3-34
-
-
Bergin, P.1
-
27
-
-
0040271450
-
The exchange rate in a model of pricing-to-market
-
April
-
Betts, C., and M. Devereux (1996, April). The exchange rate in a model of pricing-to-market. European Economic Review 40(3-5), 1007-1021.
-
(1996)
European Economic Review
, vol.40
, Issue.3-5
, pp. 1007-1021
-
-
Betts, C.1
Devereux, M.2
-
28
-
-
0033970641
-
Exchange rate dynamics in a model of pricing-tomarket
-
February
-
Betts, C., and M. Devereux (2000, February). Exchange rate dynamics in a model of pricing-tomarket. Journal of International Economics 50(1), 215-244.
-
(2000)
Journal of International Economics
, vol.50
, Issue.1
, pp. 215-244
-
-
Betts, C.1
Devereux, M.2
-
29
-
-
33748931988
-
US real exchange rate fluctuations and relative price fluctuations
-
Betts, C., and T. Kehoe (2006). US real exchange rate fluctuations and relative price fluctuations. Journal of Monetary Economics 53(7), 1297-1326.
-
(2006)
Journal of Monetary Economics
, vol.53
, Issue.7
, pp. 1297-1326
-
-
Betts, C.1
Kehoe, T.2
-
30
-
-
0002836172
-
The monetary approach to the exchange rate: Some empirical evidence
-
Bilson, J. (1978). The monetary approach to the exchange rate: Some empirical evidence. IMF Staff Papers 25(1), 48-75.
-
(1978)
IMF Staff Papers
, vol.25
, Issue.1
, pp. 48-75
-
-
Bilson, J.1
-
32
-
-
13944282314
-
Liquidity provision in the overnight foreign exchange market
-
March
-
Bjønnes, G. H., D. Rime, and H. O. A. Solheim (2005, March). Liquidity provision in the overnight foreign exchange market. Journal of International Money and Finance 24(2), 177-198.
-
(2005)
Journal of International Money and Finance
, vol.24
, Issue.2
, pp. 177-198
-
-
Bjønnes, G.H.1
Rime, D.2
Solheim, H.O.A.3
-
33
-
-
25144492738
-
International investors, the U.S. Current account, and the dollar
-
Blanchard, O., F. Giavazzi, and F. Sa (2005). International investors, the U.S. current account, and the dollar. Brookings Papers on Economic Activity 2005(1), 1-49.
-
(2005)
Brookings Papers on Economic Activity
, vol.2005
, Issue.1
, pp. 1-49
-
-
Blanchard, O.1
Giavazzi, F.2
Sa, F.3
-
34
-
-
0000174465
-
The solution of linear difference models under rational expectations
-
Blanchard, O., and C. Kahn (1980). The solution of linear difference models under rational expectations. Econometrica: Journal of the Econometric Society 48(5), 1305-1311.
-
(1980)
Econometrica: Journal of the Econometric Society
, vol.48
, Issue.5
, pp. 1305-1311
-
-
Blanchard, O.1
Kahn, C.2
-
36
-
-
77049087298
-
An empirical study of portfolio-balance and information effects of order flow on exchange rates
-
Breedon, F., and P. Vitale (2010). An empirical study of portfolio-balance and information effects of order flow on exchange rates. Journal of International Money and Finance 29(3), 504-524.
-
(2010)
Journal of International Money and Finance
, vol.29
, Issue.3
, pp. 504-524
-
-
Breedon, F.1
Vitale, P.2
-
37
-
-
77956782282
-
Micro data and general equilibrium models
-
J. B. Taylor and M.Woodford (Eds.), Chapter 8, Elsevier
-
Browning, M., L. P. Hansen, and J. J. Heckman (1999). Micro data and general equilibrium models. In J. B. Taylor and M.Woodford (Eds.), Handbook of Macroeconomics, Volume 1, Chapter 8, pp. 543-633. Elsevier.
-
(1999)
Handbook of Macroeconomics
, vol.1
, pp. 543-633
-
-
Browning, M.1
Hansen, L.P.2
Heckman, J.J.3
-
41
-
-
34547366839
-
-
August, Working Paper 12489, National Bureau of Economic Research
-
Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo (2006, August). The returns to currency speculation. Working Paper 12489, National Bureau of Economic Research.
-
(2006)
The returns to currency speculation
-
-
Burnside, C.1
Eichenbaum, M.2
Kleshchelski, I.3
Rebelo, S.4
-
42
-
-
85017120684
-
Understanding the forward premium puzzle: A microstructure approach
-
July
-
Burnside, C., M. Eichenbaum, and S. Rebelo (2009, July). Understanding the forward premium puzzle: A microstructure approach. American Economic Journal: Macroeconomics 1(2), 127-54.
-
(2009)
American Economic Journal: Macroeconomics
, vol.1
, Issue.2
, pp. 127-154
-
-
Burnside, C.1
Eichenbaum, M.2
Rebelo, S.3
-
43
-
-
33744902370
-
The importance of nontradable goods' prices in cyclical real exchange rate fluctuations
-
Burstein, A., M. Eichenbaum, and S. Rebelo (2006). The importance of nontradable goods' prices in cyclical real exchange rate fluctuations. Japan & the World Economy 18(3), 247-253.
-
(2006)
Japan & the World Economy
, vol.18
, Issue.3
, pp. 247-253
-
-
Burstein, A.1
Eichenbaum, M.2
Rebelo, S.3
-
44
-
-
0043226159
-
Distribution costs and real exchange rate dynamics during exchange-rate-based stabilizations
-
Burstein, A., J. Neves, and S. Rebelo (2003). Distribution costs and real exchange rate dynamics during exchange-rate-based stabilizations. Journal of Monetary Economics 50(6), 1189-1214.
-
(2003)
Journal of Monetary Economics
, vol.50
, Issue.6
, pp. 1189-1214
-
-
Burstein, A.1
Neves, J.2
Rebelo, S.3
-
45
-
-
48749143178
-
Staggered prices in a utility-maximizing framework
-
Calvo, G. (1983). Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 12(3), 383-398.
-
(1983)
Journal of Monetary Economics
, vol.12
, Issue.3
, pp. 383-398
-
-
Calvo, G.1
-
46
-
-
0001077372
-
Intertemporal asset pricing without consumption data
-
Campbell, J., (1993). Intertemporal asset pricing without consumption data. American Economic Review 83(3), 487-512.
-
(1993)
American Economic Review
, vol.83
, Issue.3
, pp. 487-512
-
-
Campbell, J.1
-
47
-
-
0032771542
-
By force of habit: A consumption-based explanation of aggregate stock market behavior
-
Campbell, J., and J. Cochrane (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107(2), 205-251.
-
(1999)
Journal of Political Economy
, vol.107
, Issue.2
, pp. 205-251
-
-
Campbell, J.1
Cochrane, J.2
-
49
-
-
0000007521
-
The dividend-price ratio and expectations of future dividends and discount factors
-
Campbell, J., and R. Shiller (1988). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1(3), 195-228.
-
(1988)
Review of Financial Studies
, vol.1
, Issue.3
, pp. 195-228
-
-
Campbell, J.1
Shiller, R.2
-
51
-
-
33745138559
-
Efficient tests of stock return predictability
-
Campbell, J., and M.Yogo (2006). Efficient tests of stock return predictability. Journal of Financial Economics 81(1), 27-60.
-
(2006)
Journal of Financial Economics
, vol.81
, Issue.1
, pp. 27-60
-
-
Campbell, J.1
Yogo, M.2
-
53
-
-
57349177500
-
The informational content of an open limit order book
-
Cao, C., O. Hansch, and X. Wang (2008). The informational content of an open limit order book. Journal of Futures Markets 29, 16-41.
-
(2008)
Journal of Futures Markets
, vol.29
, pp. 16-41
-
-
Cao, C.1
Hansch, O.2
Wang, X.3
-
54
-
-
33244489374
-
Inventory information
-
Cao, H. H., M. D. D. Evans, and R. K. Lyons (2004). Inventory information. Journal of Business 79(1), 325-364.
-
(2004)
Journal of Business
, vol.79
, Issue.1
, pp. 325-364
-
-
Cao, H.H.1
Evans, M.D.D.2
Lyons, R.K.3
-
55
-
-
33750484122
-
One minute in the life of the DM/US$: Public news in an electronic market
-
November
-
Carlson, J. A., and M. Lo (2006, November). One minute in the life of the DM/US$: Public news in an electronic market. Journal of International Money and Finance 25(7), 1090-1102.
-
(2006)
Journal of International Money and Finance
, vol.25
, Issue.7
, pp. 1090-1102
-
-
Carlson, J.A.1
Lo, M.2
-
56
-
-
84974098166
-
Inference in models with nearly integrated regressors
-
Cavanagh, C., G. Elliott, and J. Stock (2009). Inference in models with nearly integrated regressors. Econometric Theory 11(5), 1131-1147.
-
(2009)
Econometric Theory
, vol.11
, Issue.5
, pp. 1131-1147
-
-
Cavanagh, C.1
Elliott, G.2
Stock, J.3
-
57
-
-
84883919319
-
Trading activity and exchange rates in high-frequency EBS data
-
Chaboud, A. P., S. V. Chernenko, and J. H. Wright (2008). Trading activity and exchange rates in high-frequency EBS data. Journal of the European Economic Association 75(1), 93-109.
-
(2008)
Journal of the European Economic Association
, vol.75
, Issue.1
, pp. 93-109
-
-
Chaboud, A.P.1
Chernenko, S.V.2
Wright, J.H.3
-
58
-
-
0036655918
-
Can sticky price models generate volatile and persistent real exchange rates?
-
Chari, V. V., P. Kehoe, and E. R. McGrattan (2002). Can sticky price models generate volatile and persistent real exchange rates?Review of Economic Studies 69(3), 533-563.
-
(2002)
Review of Economic Studies
, vol.69
, Issue.3
, pp. 533-563
-
-
Chari, V.V.1
Kehoe, P.2
McGrattan, E.R.3
-
59
-
-
15844420471
-
Does 'aggregation bias' explain the PPP puzzle?
-
Chen, S., and C. Engel (2005). Does 'aggregation bias' explain the PPP puzzle?Pacific Economic Review 10, 49-72.
-
(2005)
Pacific Economic Review
, vol.10
, pp. 49-72
-
-
Chen, S.1
Engel, C.2
-
60
-
-
28244433528
-
Empirical exchange rate models of the nineties: Are any fit to survive?
-
Cheung, Y., M. Chinn, and A. Pascual (2005). Empirical exchange rate models of the nineties: Are any fit to survive?Journal of International Money and Finance 24(7), 1150-1175.
-
(2005)
Journal of International Money and Finance
, vol.24
, Issue.7
, pp. 1150-1175
-
-
Cheung, Y.1
Chinn, M.2
Pascual, A.3
-
61
-
-
12844280551
-
Monetary policy and long-horizon uncovered interest parity
-
Chinn, M., and G. Meredith (2004). Monetary policy and long-horizon uncovered interest parity. IMF Staff Papers 51(3), 409-431.
-
(2004)
IMF Staff Papers
, vol.51
, Issue.3
, pp. 409-431
-
-
Chinn, M.1
Meredith, G.2
-
63
-
-
33745954934
-
Unbiased estimation of the half-life to PPP convergence in panel data
-
Choi, C., N. Mark, and D. Sul (2006). Unbiased estimation of the half-life to PPP convergence in panel data. Journal of Money, Credit and Banking 38(4), 921-938.
-
(2006)
Journal of Money, Credit and Banking
, vol.38
, Issue.4
, pp. 921-938
-
-
Choi, C.1
Mark, N.2
Sul, D.3
-
64
-
-
0031670190
-
Monetary policy rules in practice: Some international evidence
-
Clarida, R., J. Gali, and M. Gertler (1998). Monetary policy rules in practice: Some international evidence. European Economic Review 42(6), 1033-1067.
-
(1998)
European Economic Review
, vol.42
, Issue.6
, pp. 1033-1067
-
-
Clarida, R.1
Gali, J.2
Gertler, M.3
-
66
-
-
29244443447
-
Evaluating direct multistep forecasts
-
Clark, T., and M. McCracken (2005). Evaluating direct multistep forecasts. Econometric Reviews 24(4), 369-404.
-
(2005)
Econometric Reviews
, vol.24
, Issue.4
, pp. 369-404
-
-
Clark, T.1
McCracken, M.2
-
67
-
-
33748618701
-
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
-
Clark, T., and K. West (2006). Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Journal of Econometrics 135(1-2), 155-186.
-
(2006)
Journal of Econometrics
, vol.135
, Issue.1-2
, pp. 155-186
-
-
Clark, T.1
West, K.2
-
68
-
-
0004291281
-
-
Princeton University Press
-
Cochrane, J. (2001). Asset Pricing. Princeton University Press.
-
(2001)
Asset Pricing
-
-
Cochrane, J.1
-
69
-
-
0008738955
-
Money supply announcements, interest rates, and foreign exchange
-
Cornell, B. (1982). Money supply announcements, interest rates, and foreign exchange. Journal of International Money and Finance 1(2), 201-208.
-
(1982)
Journal of International Money and Finance
, vol.1
, Issue.2
, pp. 201-208
-
-
Cornell, B.1
-
70
-
-
40449136103
-
International risk sharing and the transmission of productivity shocks
-
April
-
Corsetti, G., L. Dedola, and S. Leduc (2008a, April). International risk sharing and the transmission of productivity shocks. Review of Economic Studies 75(2), 443-473.
-
(2008)
Review of Economic Studies
, vol.75
, Issue.2
, pp. 443-473
-
-
Corsetti, G.1
Dedola, L.2
Leduc, S.3
-
71
-
-
53049084289
-
High exchange-rate volatility and low pass-through
-
September
-
Corsetti, G., L. Dedola, and S. Leduc (2008b, September). High exchange-rate volatility and low pass-through. Journal of Monetary Economics 55(6), 1113-1128.
-
(2008)
Journal of Monetary Economics
, vol.55
, Issue.6
, pp. 1113-1128
-
-
Corsetti, G.1
Dedola, L.2
Leduc, S.3
-
72
-
-
0000824401
-
A real-time data set for macroeconomists
-
Croushore, D., and T. Stark (2001). A real-time data set for macroeconomists. Journal of Econometrics 105(1), 111-130.
-
(2001)
Journal of Econometrics
, vol.105
, Issue.1
, pp. 111-130
-
-
Croushore, D.1
Stark, T.2
-
73
-
-
84884038333
-
International real business cycles
-
S. Durlauf and L. Blume (Eds.), Number 0617, Palgrave Macmillan
-
Crucini, M. (2006). International real business cycles. In S. Durlauf and L. Blume (Eds.), The New Palgrave Dictionary of Economics, Number 0617, pp. 494-504. Palgrave Macmillan.
-
(2006)
The New Palgrave Dictionary of Economics
, pp. 494-504
-
-
Crucini, M.1
-
74
-
-
43049154975
-
Persistence in law of one price deviations: Evidence from micro-data
-
Crucini, M., and M. Shintani (2008). Persistence in law of one price deviations: Evidence from micro-data. Journal of Monetary Economics 55(3), 629-644.
-
(2008)
Journal of Monetary Economics
, vol.55
, Issue.3
, pp. 629-644
-
-
Crucini, M.1
Shintani, M.2
-
76
-
-
0031498114
-
Public information releases, private information arrival and volatility in the foreign exchange market
-
December
-
DeGennaro, R. P., and R. E. Shrieves (1997, December). Public information releases, private information arrival and volatility in the foreign exchange market. Journal of Empirical Finance 4(4), 295-315.
-
(1997)
Journal of Empirical Finance
, vol.4
, Issue.4
, pp. 295-315
-
-
DeGennaro, R.P.1
Shrieves, R.E.2
-
77
-
-
0036340669
-
Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect
-
July
-
Devereux, M., and C. Engel (2002, July). Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect. Journal of Monetary Economics 49(5), 913-940.
-
(2002)
Journal of Monetary Economics
, vol.49
, Issue.5
, pp. 913-940
-
-
Devereux, M.1
Engel, C.2
-
81
-
-
0000852872
-
Expectations and exchange rate dynamics
-
Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy 84(6), 1161-1176.
-
(1976)
Journal of Political Economy
, vol.84
, Issue.6
, pp. 1161-1176
-
-
Dornbusch, R.1
-
82
-
-
52749092795
-
Nontraded goods, market segmentation, and exchange rates
-
September
-
Dotsey, M., and M. Duarte (2008, September). Nontraded goods, market segmentation, and exchange rates. Journal of Monetary Economics 55(6), 1129-1142.
-
(2008)
Journal of Monetary Economics
, vol.55
, Issue.6
, pp. 1129-1142
-
-
Dotsey, M.1
Duarte, M.2
-
83
-
-
49049115445
-
Risk and return in fixed-income arbitrage: Nickels in front of a steamroller?
-
Duarte, J., F. Longstaff, and F. Yu (2005). Risk and return in fixed-income arbitrage: Nickels in front of a steamroller?Review of Financial Studies 20(3), 769.
-
(2005)
Review of Financial Studies
, vol.20
, Issue.3
, pp. 769
-
-
Duarte, J.1
Longstaff, F.2
Yu, F.3
-
85
-
-
75349110583
-
International order flows: Explaining equity and exchange rate returns
-
Dunne, P., H. Hau, and M. Moore (2010). International order flows: Explaining equity and exchange rate returns. Journal of International Money and Finance 29(2), 358-386.
-
(2010)
Journal of International Money and Finance
, vol.29
, Issue.2
, pp. 358-386
-
-
Dunne, P.1
Hau, H.2
Moore, M.3
-
86
-
-
84977716725
-
Time and the process of security price adjustment
-
Easley, D., and M. O'Hara (1992). Time and the process of security price adjustment. Journal of Finance 47(2), 577-605.
-
(1992)
Journal of Finance
, vol.47
, Issue.2
, pp. 577-605
-
-
Easley, D.1
O'Hara, M.2
-
87
-
-
21844486274
-
The short-run dynamics of the price adjustment to new information
-
Ederington, L., and J. Lee (2009). The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis 30(01), 117-134.
-
(2009)
Journal of Financial and Quantitative Analysis
, vol.30
, Issue.1
, pp. 117-134
-
-
Ederington, L.1
Lee, J.2
-
88
-
-
84959805338
-
Some empirical evidence on the effects of shocks to monetary policy on exchange rates
-
Eichenbaum, M., and C. Evans (1995). Some empirical evidence on the effects of shocks to monetary policy on exchange rates. Quarterly Journal of Economics, 975-1009.
-
(1995)
Quarterly Journal of Economics
, pp. 975-1009
-
-
Eichenbaum, M.1
Evans, C.2
-
89
-
-
0034553753
-
The accuracy of trade classification rules: Evidence from NASDAQ
-
December
-
Ellis, K., R. Michaely, and M. O'Hara (2000, December). The accuracy of trade classification rules: Evidence from NASDAQ. Journal of Financial and Quantitative Analysis 35(4), 529-551.
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, Issue.4
, pp. 529-551
-
-
Ellis, K.1
Michaely, R.2
O'Hara, M.3
-
90
-
-
0030163502
-
The forward discount anomaly and the risk premium: A survey of recent evidence
-
Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance 3(2), 123-192.
-
(1996)
Journal of Empirical Finance
, vol.3
, Issue.2
, pp. 123-192
-
-
Engel, C.1
-
91
-
-
0032870113
-
Accounting for US real exchange rate changes
-
Engel, C. (1999). Accounting for US real exchange rate changes. Journal of Political Economy 107(3), 507.
-
(1999)
Journal of Political Economy
, vol.107
, Issue.3
, pp. 507
-
-
Engel, C.1
-
92
-
-
14644389683
-
The responsiveness of consumer prices to exchange rates: A synthesis of some new open economy macro models
-
Engel, C. (2002). The responsiveness of consumer prices to exchange rates: A synthesis of some new open economy macro models. Manchester School 70, 1-15.
-
(2002)
Manchester School
, vol.70
, pp. 1-15
-
-
Engel, C.1
-
93
-
-
0001910895
-
Why interest rates react to money announcements: An answer from the foreign exchange market
-
Engel, C., and J. Frankel (1984). Why interest rates react to money announcements: An answer from the foreign exchange market. Journal of Monetary Economics 13(1), 31-39.
-
(1984)
Journal of Monetary Economics
, vol.13
, Issue.1
, pp. 31-39
-
-
Engel, C.1
Frankel, J.2
-
94
-
-
41149149225
-
-
August, Working Paper 13318, National Bureau of Economic Research
-
Engel, C., N. Mark, and K. West (2007, August). Exchange rate models are not as bad as you think. Working Paper 13318, National Bureau of Economic Research.
-
(2007)
Exchange rate models are not as bad as you think
-
-
Engel, C.1
Mark, N.2
West, K.3
-
95
-
-
21044437667
-
Exchange rates and fundamentals
-
Engel, C., and K. West (2005). Exchange rates and fundamentals. Journal of Political Economy 113(3), 485-517.
-
(2005)
Journal of Political Economy
, vol.113
, Issue.3
, pp. 485-517
-
-
Engel, C.1
West, K.2
-
96
-
-
33747075817
-
Taylor rules and the deutschmark-dollar real exchange rate
-
Engel, C., and K.West (2006). Taylor rules and the deutschmark-dollar real exchange rate. Journal of Money, Credit, and Banking 38(5), 1175-1194.
-
(2006)
Journal of Money, Credit, and Banking
, vol.38
, Issue.5
, pp. 1175-1194
-
-
Engel, C.1
West, K.2
-
97
-
-
0000842941
-
Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
-
Epstein, L., and S. Zin (1989). Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4), 937-969.
-
(1989)
Econometrica
, vol.57
, Issue.4
, pp. 937-969
-
-
Epstein, L.1
Zin, S.2
-
99
-
-
84884099333
-
Peso problems: Their theoretical and emprical implications
-
G. Maddala and C. Rao (Eds.), North Holland
-
Evans, M. D. D. (1996). Peso problems: Their theoretical and emprical implications. In G. Maddala and C. Rao (Eds.),Handbook of Statistics, Volume 14. North Holland.
-
(1996)
Handbook of Statistics
, vol.14
-
-
Evans, M.D.D.1
-
101
-
-
0008605534
-
FX trading and exchange rate dynamics
-
Evans, M. D. D. (2002). FX trading and exchange rate dynamics. Journal of Finance 57(6), 2405-2447.
-
(2002)
Journal of Finance
, vol.57
, Issue.6
, pp. 2405-2447
-
-
Evans, M.D.D.1
-
102
-
-
33747392621
-
Where are we now? Real-time estimates of the macroeconomy
-
Evans, M. D. D. (2005). Where are we now? Real-time estimates of the macroeconomy. International Journal of Central Banking 1(6), 127-175.
-
(2005)
International Journal of Central Banking
, vol.1
, Issue.6
, pp. 127-175
-
-
Evans, M.D.D.1
-
103
-
-
72149111391
-
Order flows and the exchange rate disconnect puzzle
-
Evans, M. D. D. (2010). Order flows and the exchange rate disconnect puzzle. Journal of International Economics 80(1), 58-71.
-
(2010)
Journal of International Economics
, vol.80
, Issue.1
, pp. 58-71
-
-
Evans, M.D.D.1
-
104
-
-
36749039765
-
-
October, Working Paper 11701, National Bureau of Economic Research
-
Evans, M. D. D., and V. Hnatkovska (2005a, October). International capital flows, returns and world financial integration. Working Paper 11701, National Bureau of Economic Research.
-
(2005)
International capital flows, returns and world financial integration
-
-
Evans, M.D.D.1
Hnatkovska, V.2
-
106
-
-
21844497579
-
Do long-term swings in the dollar affect estimates of the risk premia?
-
Evans, M. D. D., and K. K. Lewis (1995). Do long-term swings in the dollar affect estimates of the risk premia?Review of Financial Studies 8(3), 709-742.
-
(1995)
Review of Financial Studies
, vol.8
, Issue.3
, pp. 709-742
-
-
Evans, M.D.D.1
Lewis, K.K.2
-
108
-
-
0036187547
-
Order flow and exchange rate dynamics
-
Evans, M. D. D., and R. K. Lyons (2002a). Order flow and exchange rate dynamics. Journal of Political Economy 110(1), 170-180.
-
(2002)
Journal of Political Economy
, vol.110
, Issue.1
, pp. 170-180
-
-
Evans, M.D.D.1
Lyons, R.K.2
-
115
-
-
42049113637
-
How is macro news transmitted to exchange rates?
-
April
-
Evans, M. D. D., and R. K. Lyons (2008a, April). How is macro news transmitted to exchange rates?Journal of Financial Economics 88(1), 26-50.
-
(2008)
Journal of Financial Economics
, vol.88
, Issue.1
, pp. 26-50
-
-
Evans, M.D.D.1
Lyons, R.K.2
-
118
-
-
48549113655
-
Spot and forward exchange rates
-
Fama, E. (1984). Spot and forward exchange rates. Journal of Monetary Economics 14(3), 319-338.
-
(1984)
Journal of Monetary Economics
, vol.14
, Issue.3
, pp. 319-338
-
-
Fama, E.1
-
119
-
-
0000928969
-
Risk, return, and equilibrium: Empirical tests
-
Fama, E., and J. MacBeth (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81(3), 607.
-
(1973)
Journal of Political Economy
, vol.81
, Issue.3
, pp. 607
-
-
Fama, E.1
MacBeth, J.2
-
120
-
-
77149134045
-
-
June, Working Paper 15062, National Bureau of Economic Research
-
Farhi, E., S. P. Fraiberger, X. Gabaix, R. Ranciere, and A. Verdelhan (2009, June). Crash risk in currency markets. Working Paper 15062, National Bureau of Economic Research.
-
(2009)
Crash risk in currency markets
-
-
Farhi, E.1
Fraiberger, S.P.2
Gabaix, X.3
Ranciere, R.4
Verdelhan, A.5
-
121
-
-
44949086668
-
-
February, Working Paper 13805, National Bureau of Economic Research
-
Farhi, E., and X. Gabaix (2008, February). Rare disasters and exchange rates. Working Paper 13805, National Bureau of Economic Research.
-
(2008)
Rare disasters and exchange rates
-
-
Farhi, E.1
Gabaix, X.2
-
122
-
-
34247379925
-
The high-frequency response of exchange rates and interest rates to macroeconomic announcements
-
Faust, J., J. Rogers, S.Wang, and J. Wright (2007). The high-frequency response of exchange rates and interest rates to macroeconomic announcements. Journal of Monetary Economics 54(4), 1051-1068.
-
(2007)
Journal of Monetary Economics
, vol.54
, Issue.4
, pp. 1051-1068
-
-
Faust, J.1
Rogers, J.2
Wang, S.3
Wright, J.4
-
123
-
-
0037403294
-
Exchange rate forecasting: The errors we have really made
-
Faust, J., J. Rogers, and J. H. Wright (2003). Exchange rate forecasting: The errors we have really made. Journal of International Economics 60(1), 35-59.
-
(2003)
Journal of International Economics
, vol.60
, Issue.1
, pp. 35-59
-
-
Faust, J.1
Rogers, J.2
Wright, J.H.3
-
124
-
-
0008995407
-
Strategic trading when agents forecast the forecasts of others
-
Foster, F., and S. Viswanathan (1996). Strategic trading when agents forecast the forecasts of others. Journal of Finance 51(4), 1437-1478.
-
(1996)
Journal of Finance
, vol.51
, Issue.4
, pp. 1437-1478
-
-
Foster, F.1
Viswanathan, S.2
-
125
-
-
84995733144
-
On the mark: A theory of floating exchange rates based on real interest differentials
-
Frankel, J. (1979). On the mark: A theory of floating exchange rates based on real interest differentials. American Economic Review 69(4), 610-622.
-
(1979)
American Economic Review
, vol.69
, Issue.4
, pp. 610-622
-
-
Frankel, J.1
-
126
-
-
77956842194
-
Empirical research on nominal exchange rates
-
G. M. Grossman and K. Rogoff (Eds.), Chapter 33, Elsevier
-
Frankel, J., and A. K. Rose (1995). Empirical research on nominal exchange rates. In G. M. Grossman and K. Rogoff (Eds.), Handbook of International Economics, Volume 3, Chapter 33, pp. 1689-1729. Elsevier.
-
(1995)
Handbook of International Economics
, vol.3
, pp. 1689-1729
-
-
Frankel, J.1
Rose, A.K.2
-
127
-
-
0000634137
-
A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence
-
Frenkel, J. (1976). A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics 78(2), 200-224.
-
(1976)
Scandinavian Journal of Economics
, vol.78
, Issue.2
, pp. 200-224
-
-
Frenkel, J.1
-
128
-
-
0001444994
-
Flexible exchange rates, prices, and the role of news: Lessons from the 1970s
-
Frenkel, J. (1981). Flexible exchange rates, prices, and the role of news: Lessons from the 1970s. Journal of Political Economy 89(4), 665-705.
-
(1981)
Journal of Political Economy
, vol.89
, Issue.4
, pp. 665-705
-
-
Frenkel, J.1
-
129
-
-
0000091158
-
Money, income, prices, and interest rates
-
Friedman, B., and K. Kuttner (1992). Money, income, prices, and interest rates. American Economic Review 82(3), 472-492.
-
(1992)
American Economic Review
, vol.82
, Issue.3
, pp. 472-492
-
-
Friedman, B.1
Kuttner, K.2
-
130
-
-
84959841139
-
Forward discount bias: Is it an exchange risk premium?
-
Froot, K., and J. Frankel (1989). Forward discount bias: Is it an exchange risk premium?Quarterly Journal of Economics 104(1), 139-161.
-
(1989)
Quarterly Journal of Economics
, vol.104
, Issue.1
, pp. 139-161
-
-
Froot, K.1
Frankel, J.2
-
131
-
-
19944363145
-
Currency returns, intrinsic value, and institutional-investor flows
-
Froot, K., and T. Ramadorai (2005). Currency returns, intrinsic value, and institutional-investor flows. Journal of Finance 60(3), 1535-1566.
-
(2005)
Journal of Finance
, vol.60
, Issue.3
, pp. 1535-1566
-
-
Froot, K.1
Ramadorai, T.2
-
133
-
-
22144493780
-
Monetary policy and exchange rate volatility in a small open economy
-
Gali, J., and T. Monacelli (2005). Monetary policy and exchange rate volatility in a small open economy. Review of Economic Studies 72(3), 707-734.
-
(2005)
Review of Economic Studies
, vol.72
, Issue.3
, pp. 707-734
-
-
Gali, J.1
Monacelli, T.2
-
134
-
-
0001578670
-
Market liquidity, hedging, and crashes
-
Gennotte, G., and H. Leland (1990). Market liquidity, hedging, and crashes. American Economic Review 80(5), 999-1021.
-
(1990)
American Economic Review
, vol.80
, Issue.5
, pp. 999-1021
-
-
Gennotte, G.1
Leland, H.2
-
135
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L., and P. Milgrom (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14(1), 71-100.
-
(1985)
Journal of Financial Economics
, vol.14
, Issue.1
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
136
-
-
63449142006
-
-
Working paper, University of California, Berkeley
-
Goettler, R. C., C. Parlour, and U. Rajan (2007). Microstructure effects and asset pricing.Working paper, University of California, Berkeley.
-
(2007)
Microstructure effects and asset pricing
-
-
Goettler, R.C.1
Parlour, C.2
Rajan, U.3
-
137
-
-
84986366224
-
News effects in a high-frequency model of the sterling-dollar exchange rate
-
Goodhart, C., S. Hall, S. Henry, and B. Pesaran (1993). News effects in a high-frequency model of the sterling-dollar exchange rate. Journal of Applied Econometrics 8(1).
-
(1993)
Journal of Applied Econometrics
, vol.8
, Issue.1
-
-
Goodhart, C.1
Hall, S.2
Henry, S.3
Pesaran, B.4
-
138
-
-
35348926208
-
International financial adjustment
-
Gourinchas, P., and H. Rey (2007). International financial adjustment. Journal of Political Economy 115(4), 665-703.
-
(2007)
Journal of Political Economy
, vol.115
, Issue.4
, pp. 665-703
-
-
Gourinchas, P.1
Rey, H.2
-
141
-
-
2942722521
-
Economic news and the impact of trading on bond prices
-
Green, T. (2004). Economic news and the impact of trading on bond prices. Journal of Finance 59(3), 1201-1233.
-
(2004)
Journal of Finance
, vol.59
, Issue.3
, pp. 1201-1233
-
-
Green, T.1
-
142
-
-
22544458181
-
Exchange rate predictability and monetary fundamentals in a small multi-country panel
-
Groen, J. (2005). Exchange rate predictability and monetary fundamentals in a small multi-country panel. Journal of Money, Credit & Banking 37(3), 495-517.
-
(2005)
Journal of Money, Credit & Banking
, vol.37
, Issue.3
, pp. 495-517
-
-
Groen, J.1
-
143
-
-
84944832265
-
On the efficiency of competitive stock markets where traders have diverse information
-
Grossman, S. (1976). On the efficiency of competitive stock markets where traders have diverse information. Journal of Finance 31(2), 573-585.
-
(1976)
Journal of Finance
, vol.31
, Issue.2
, pp. 573-585
-
-
Grossman, S.1
-
144
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S., and J. Stiglitz (1980). On the impossibility of informationally efficient markets. American Economic Review 70(3), 393-408.
-
(1980)
American Economic Review
, vol.70
, Issue.3
, pp. 393-408
-
-
Grossman, S.1
Stiglitz, J.2
-
145
-
-
85005380001
-
The reaction of exchange rates to economic news
-
Hakkio, C., and D. Pearce (1985). The reaction of exchange rates to economic news. Economic Inquiry 23(4), 621-636.
-
(1985)
Economic Inquiry
, vol.23
, Issue.4
, pp. 621-636
-
-
Hakkio, C.1
Pearce, D.2
-
146
-
-
0000414660
-
Large sample properties of generalized method of moments estimators
-
Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society 50(4), 1029-1054.
-
(1982)
Econometrica: Journal of the Econometric Society
, vol.50
, Issue.4
, pp. 1029-1054
-
-
Hansen, L.1
-
147
-
-
0010942106
-
Formulating and estimating dynamic linear rational expectations models
-
Hansen, L., and T. Sargent (1980). Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control 2(1), 7-46.
-
(1980)
Journal of Economic Dynamics and Control
, vol.2
, Issue.1
, pp. 7-46
-
-
Hansen, L.1
Sargent, T.2
-
148
-
-
38249029693
-
Economic news, exchange rates and interest rates
-
March
-
Hardouvelis, G. A. (1988, March). Economic news, exchange rates and interest rates. Journal of International Money and Finance 7(1), 23-35.
-
(1988)
Journal of International Money and Finance
, vol.7
, Issue.1
, pp. 23-35
-
-
Hardouvelis, G.A.1
-
149
-
-
0009079619
-
Optimal dynamic order submission strategies in some stylized trading problems
-
Harris, L. (1998). Optimal dynamic order submission strategies in some stylized trading problems. Financial Markets, Institutions & Instruments 7(2), 1-76.
-
(1998)
Financial Markets, Institutions & Instruments
, vol.7
, Issue.2
, pp. 1-76
-
-
Harris, L.1
-
150
-
-
21344493808
-
Differences of opinion make a horse race
-
Harris, M., and A. Raviv (1993). Differences of opinion make a horse race. Review of Financial Studies 6(3), 473-506.
-
(1993)
Review of Financial Studies
, vol.6
, Issue.3
, pp. 473-506
-
-
Harris, M.1
Raviv, A.2
-
152
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck, J. (1991). Measuring the information content of stock trades. Journal of Finance 46(1), 179-207.
-
(1991)
Journal of Finance
, vol.46
, Issue.1
, pp. 179-207
-
-
Hasbrouck, J.1
-
153
-
-
29344446166
-
Exchange rate, equity prices and capital flows
-
April
-
Hau, H., and H. Rey (2006, April). Exchange rate, equity prices and capital flows. Review of Financial Studies 19(1), 273-317.
-
(2006)
Review of Financial Studies
, vol.19
, Issue.1
, pp. 273-317
-
-
Hau, H.1
Rey, H.2
-
154
-
-
0001073135
-
The use of knowledge in society
-
Hayek, F. (1945). The use of knowledge in society. American Economic Review 35(4), 519-530.
-
(1945)
American Economic Review
, vol.35
, Issue.4
, pp. 519-530
-
-
Hayek, F.1
-
155
-
-
21844507502
-
Differential information and dynamic behavior of stock trading volume
-
He, H., and J. Wang (1995). Differential information and dynamic behavior of stock trading volume. Review of Financial Studies 8(4), 919-972.
-
(1995)
Review of Financial Studies
, vol.8
, Issue.4
, pp. 919-972
-
-
He, H.1
Wang, J.2
-
156
-
-
0011672879
-
Negative net foreign asset positions and stability in a world portfolio balance model
-
Henderson, D., and K. Rogoff (1982). Negative net foreign asset positions and stability in a world portfolio balance model. Journal of International Economics 13(1-2), 85-104.
-
(1982)
Journal of International Economics
, vol.13
, Issue.1-2
, pp. 85-104
-
-
Henderson, D.1
Rogoff, K.2
-
157
-
-
72149084640
-
Home bias and high turnover: Dynamic portfolio choice with incomplete markets
-
Hnatkovska, V. (2010). Home bias and high turnover: Dynamic portfolio choice with incomplete markets. Journal of International Economics 80(1), 113-128.
-
(2010)
Journal of International Economics
, vol.80
, Issue.1
, pp. 113-128
-
-
Hnatkovska, V.1
-
158
-
-
15544383648
-
PPP strikes back: Aggregation and the real exchange rate
-
Imbs, J., H. Mumtaz, M. O. Ravn, and H. Rey (2005). PPP strikes back: Aggregation and the real exchange rate. Quarterly Journal of Economics 120(1), 1-43.
-
(2005)
Quarterly Journal of Economics
, vol.120
, Issue.1
, pp. 1-43
-
-
Imbs, J.1
Mumtaz, H.2
Ravn, M.O.3
Rey, H.4
-
159
-
-
11344278864
-
In-sample or out-of-sample tests of predictability: Which one should we use?
-
Inoue, A., and L. Kilian (2005). In-sample or out-of-sample tests of predictability: Which one should we use?Econometric Reviews 23(4), 371-402.
-
(2005)
Econometric Reviews
, vol.23
, Issue.4
, pp. 371-402
-
-
Inoue, A.1
Kilian, L.2
-
160
-
-
45949123289
-
News from the US and Japan:: Which moves the yen/dollar exchange rate?
-
Ito, T., and V. Roley (1987). News from the US and Japan:: Which moves the yen/dollar exchange rate?Journal of Monetary Economics 19(2), 255-277.
-
(1987)
Journal of Monetary Economics
, vol.19
, Issue.2
, pp. 255-277
-
-
Ito, T.1
Roley, V.2
-
161
-
-
38849161457
-
Foreign exchange rate expectations: Survey and synthesis
-
Jongen, R., W. Verschoor, and C. Wolff (2008). Foreign exchange rate expectations: Survey and synthesis. Journal of Economic Surveys 22(1), 140-165.
-
(2008)
Journal of Economic Surveys
, vol.22
, Issue.1
, pp. 140-165
-
-
Jongen, R.1
Verschoor, W.2
Wolff, C.3
-
162
-
-
34249065626
-
Can the new open economy macroeconomic model explain exchange rate fluctuations?
-
Jung, Y. (2007). Can the new open economy macroeconomic model explain exchange rate fluctuations?Journal of International Economics 72(2), 381-408.
-
(2007)
Journal of International Economics
, vol.72
, Issue.2
, pp. 381-408
-
-
Jung, Y.1
-
163
-
-
85141101504
-
Differential interpretation of public signals and trade in speculative markets
-
Kandel, E., and N. Pearson (1995). Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy 103(4), 831-872.
-
(1995)
Journal of Political Economy
, vol.103
, Issue.4
, pp. 831-872
-
-
Kandel, E.1
and N.Pearson2
-
164
-
-
33748560495
-
So what orders do informed traders use?
-
Kaniel, R., and H. Liu (2006). So what orders do informed traders use?Journal of Business 79, 1867-1913.
-
(2006)
Journal of Business
, vol.79
, pp. 1867-1913
-
-
Kaniel, R.1
Liu, H.2
-
165
-
-
0040942670
-
Finite-sample properties of percentile and percentile-t bootstrap confidence intervals for impulse responses
-
Kilian, L. (1999). Finite-sample properties of percentile and percentile-t bootstrap confidence intervals for impulse responses. Review of Economics and Statistics 81(4), 652-660.
-
(1999)
Review of Economics and Statistics
, vol.81
, Issue.4
, pp. 652-660
-
-
Kilian, L.1
-
166
-
-
0001743293
-
Managing the dollar: Has the Plaza agreement mattered?
-
November
-
Klein, M., B. Mizrach, and R. G. Murphy (1991, November). Managing the dollar: Has the Plaza agreement mattered?Journal of Money, Credit and Banking 23(4), 742-751.
-
(1991)
Journal of Money, Credit and Banking
, vol.23
, Issue.4
, pp. 742-751
-
-
Klein, M.1
Mizrach, B.2
Murphy, R.G.3
-
167
-
-
0035177511
-
The exchange rate in a dynamic-optimizing business cycle model with nominal rigidities: A quantitative investigation
-
Kollmann, R. (2001). The exchange rate in a dynamic-optimizing business cycle model with nominal rigidities: A quantitative investigation. Journal of International Economics 55(2), 243-262.
-
(2001)
Journal of International Economics
, vol.55
, Issue.2
, pp. 243-262
-
-
Kollmann, R.1
-
168
-
-
0000634136
-
The exchange rate and the balance of payments in the short run and in the long run: A monetary approach
-
Kouri, P. J. K. (1976). The exchange rate and the balance of payments in the short run and in the long run: A monetary approach. Scandinavian Journal of Economics 78(2), 280-304.
-
(1976)
Scandinavian Journal of Economics
, vol.78
, Issue.2
, pp. 280-304
-
-
Kouri, P.J.K.1
-
170
-
-
0034952731
-
The new open economy macroeconomics: A survey
-
August
-
Lane, P. R. (2001, August). The new open economy macroeconomics: A survey. Journal of International Economics 54(2), 235-266.
-
(2001)
Journal of International Economics
, vol.54
, Issue.2
, pp. 235-266
-
-
Lane, P.R.1
-
171
-
-
84977730741
-
Inferring trade direction from intraday data
-
June
-
Lee, C. M. C., and M. J. Ready (1991, June). Inferring trade direction from intraday data. Journal of Finance 46(2), 733-746.
-
(1991)
Journal of Finance
, vol.46
, Issue.2
, pp. 733-746
-
-
Lee, C.M.C.1
Ready, M.J.2
-
172
-
-
0001843717
-
The present-value relation: Tests based on implied variance bounds
-
LeRoy, S., and R. Porter (1981). The present-value relation: Tests based on implied variance bounds. Econometrica: Journal of the Econometric Society 49(3), 555-574.
-
(1981)
Econometrica: Journal of the Econometric Society
, vol.49
, Issue.3
, pp. 555-574
-
-
LeRoy, S.1
Porter, R.2
-
173
-
-
77956852950
-
Puzzles in international financial markets
-
G. M. Grossman and K. Rogoff (Eds.), Chapter 37, Elsevier
-
Lewis, K. K. (1995). Puzzles in international financial markets. In G. M. Grossman and K. Rogoff (Eds.), Handbook of International Economics, Volume 3, Chapter 37, pp. 1913-1971. Elsevier.
-
(1995)
Handbook of International Economics
, vol.3
, pp. 1913-1971
-
-
Lewis, K.K.1
-
175
-
-
0030480824
-
Real exchange rate behavior: The recent float from the perspective of the past two centuries
-
Lothian, J., and M. Taylor (1996). Real exchange rate behavior: The recent float from the perspective of the past two centuries. Journal of Political Economy 104(3), 488-509.
-
(1996)
Journal of Political Economy
, vol.104
, Issue.3
, pp. 488-509
-
-
Lothian, J.1
Taylor, M.2
-
176
-
-
46849090115
-
Macroeconomic news, order flows and exchange rates
-
Love, R., and R. Payne (2008). Macroeconomic news, order flows and exchange rates. Journal of Financial and Quantitative Analysis 43(02), 467-488.
-
(2008)
Journal of Financial and Quantitative Analysis
, vol.43
, Issue.2
, pp. 467-488
-
-
Love, R.1
Payne, R.2
-
177
-
-
33646830333
-
A Bayesian look at new open economy macroeconomics
-
Lubik, T., and F. Schorfheide (2005). A Bayesian look at new open economy macroeconomics. NBER Macroeconomics Annual 20(1), 313-366.
-
(2005)
NBER Macroeconomics Annual
, vol.20
, Issue.1
, pp. 313-366
-
-
Lubik, T.1
Schorfheide, F.2
-
178
-
-
0013148655
-
Interest rates and currency prices in a two-country World
-
Lucas, R. (1982). Interest rates and currency prices in a two-country World. Journal of Monetary Economics 10(3), 335-359.
-
(1982)
Journal of Monetary Economics
, vol.10
, Issue.3
, pp. 335-359
-
-
Lucas, R.1
-
179
-
-
35448972935
-
The cross section of foreign currency risk premia and consumption growth risk
-
Lustig, H., and A. Verdelhan (2007). The cross section of foreign currency risk premia and consumption growth risk. American Economic Review 97(1), 89-117.
-
(2007)
American Economic Review
, vol.97
, Issue.1
, pp. 89-117
-
-
Lustig, H.1
Verdelhan, A.2
-
180
-
-
58149365337
-
Tests of microstructural hypothesis in the foreign exchange market
-
Lyons, R. K. (1995). Tests of microstructural hypothesis in the foreign exchange market. Journal of Financial Economics 39(2-3), 321-351.
-
(1995)
Journal of Financial Economics
, vol.39
, Issue.2-3
, pp. 321-351
-
-
Lyons, R.K.1
-
181
-
-
0001312822
-
A simultaneous trade model of the foreign exchange hot potato
-
Lyons, R. K. (1997). A simultaneous trade model of the foreign exchange hot potato. Journal of International Economics 42(3-4), 275-298.
-
(1997)
Journal of International Economics
, vol.42
, Issue.3-4
, pp. 275-298
-
-
Lyons, R.K.1
-
183
-
-
38149146963
-
The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk
-
MacDonald R., and M. P. Taylor (1994). The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk. Journal of International Money and Finance 13(3), 276-290.
-
(1994)
Journal of International Money and Finance
, vol.13
, Issue.3
, pp. 276-290
-
-
MacDonald, R.1
Taylor, M.P.2
-
184
-
-
0002413498
-
On time varying risk premia in the foreign exchange market: An econometric analysis
-
Mark, N. (1985). On time varying risk premia in the foreign exchange market: An econometric analysis. Journal of Monetary Economics 16(1), 3-19.
-
(1985)
Journal of Monetary Economics
, vol.16
, Issue.1
, pp. 3-19
-
-
Mark, N.1
-
185
-
-
0001413344
-
Exchange rates and fundamentals: Evidence on long-horizon predictability
-
Mark, N. (1995). Exchange rates and fundamentals: Evidence on long-horizon predictability. American Economic Review 85(1), 201-218.
-
(1995)
American Economic Review
, vol.85
, Issue.1
, pp. 201-218
-
-
Mark, N.1
-
187
-
-
68949128999
-
Changing monetary policy rules, learning, and real exchange rate dynamics
-
Mark, N. (2009). Changing monetary policy rules, learning, and real exchange rate dynamics. Journal of Money, Credit and Banking 41(6), 1047-1070.
-
(2009)
Journal of Money, Credit and Banking
, vol.41
, Issue.6
, pp. 1047-1070
-
-
Mark, N.1
-
188
-
-
0035154184
-
Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton Woods panel
-
Mark, N., and D. Sul (2001). Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton Woods panel. Journal of International Economics 53(1), 29-52.
-
(2001)
Journal of International Economics
, vol.53
, Issue.1
, pp. 29-52
-
-
Mark, N.1
Sul, D.2
-
190
-
-
33846907054
-
Empirical exchange rate models of the seventies: do they fit out of sample?
-
Meese, R., and K. Rogoff (1983). Empirical exchange rate models of the seventies: do they fit out of sample?Journal of International Economics 14(1-2), 3-24.
-
(1983)
Journal of International Economics
, vol.14
, Issue.1-2
, pp. 3-24
-
-
Meese, R.1
Rogoff, K.2
-
192
-
-
49049133343
-
Information, trade and common knowledge
-
Milgrom, P., and N. Stokey (1982). Information, trade and common knowledge. Journal of Economic Theory 26(1), 17-27.
-
(1982)
Journal of Economic Theory
, vol.26
, Issue.1
, pp. 17-27
-
-
Milgrom, P.1
Stokey, N.2
-
193
-
-
61349143051
-
Out-of-sample exchange rate predictability with Taylor rule fundamentals
-
Molodtsova, T., and D. H. Papell (2009). Out-of-sample exchange rate predictability with Taylor rule fundamentals. Journal of International Economics 77(2), 167-180.
-
(2009)
Journal of International Economics
, vol.77
, Issue.2
, pp. 167-180
-
-
Molodtsova, T.1
Papell, D.H.2
-
195
-
-
0000634139
-
The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating
-
Mussa, M. (1976). The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating. Scandinavian Journal of Economics 78(2), 229-248.
-
(1976)
Scandinavian Journal of Economics
, vol.78
, Issue.2
, pp. 229-248
-
-
Mussa, M.1
-
196
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W., and K. West (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica: Journal of the Econometric Society 55(3), 703-708.
-
(1987)
Econometrica: Journal of the Econometric Society
, vol.55
, Issue.3
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
199
-
-
0033953153
-
New directions for stochastic open economy models
-
Obstfeld, M., and K. Rogoff (2000). New directions for stochastic open economy models. Journal of International Economics 50(1), 117-153.
-
(2000)
Journal of International Economics
, vol.50
, Issue.1
, pp. 117-153
-
-
Obstfeld, M.1
Rogoff, K.2
-
203
-
-
0141701434
-
Currency orders and exchange-rate dynamics: Explaining the success of technical analysis
-
Osler, C. L. (2003). Currency orders and exchange-rate dynamics: Explaining the success of technical analysis. Journal of Finance 58(5), 1791-1821.
-
(2003)
Journal of Finance
, vol.58
, Issue.5
, pp. 1791-1821
-
-
Osler, C.L.1
-
206
-
-
0141942207
-
Informed trade in spot foreign exchange markets: An empirical investigation
-
December
-
Payne, R. (2003, December). Informed trade in spot foreign exchange markets: An empirical investigation. Journal of International Economics 61(2), 307-329.
-
(2003)
Journal of International Economics
, vol.61
, Issue.2
, pp. 307-329
-
-
Payne, R.1
-
208
-
-
0036888014
-
Testing the monetary model of exchange rate determination: new evidence from a century of data
-
Rapach, D., and M. Wohar (2002). Testing the monetary model of exchange rate determination: new evidence from a century of data. Journal of International Economics 58(2), 359-385.
-
(2002)
Journal of International Economics
, vol.58
, Issue.2
, pp. 359-385
-
-
Rapach, D.1
Wohar, M.2
-
209
-
-
4043116492
-
-
Ph.D. dissertation, Norwegian School of Management, Norway
-
Rime, D. (2001). Trading in Foreign Exchange Markets. Ph.D. dissertation, Norwegian School of Management, Norway.
-
(2001)
Trading in Foreign Exchange Markets
-
-
Rime, D.1
-
210
-
-
34249031086
-
New electronic trading systems in the foreign exchange markets
-
D. C. Jones (Ed.), Chapter 21, Academic Press
-
Rime, D. (2003). New electronic trading systems in the foreign exchange markets. In D. C. Jones (Ed.), New Economy Handbook, Chapter 21, pp. 471-504. Academic Press.
-
(2003)
New Economy Handbook
, pp. 471-504
-
-
Rime, D.1
-
211
-
-
72449123243
-
Exchange rate forecasting, order flow and macroeconomic information
-
Rime, D., L. Sarno, and E. Sojli (2010). Exchange rate forecasting, order flow and macroeconomic information. Journal of International Economics 80(1), 72-88.
-
(2010)
Journal of International Economics
, vol.80
, Issue.1
, pp. 72-88
-
-
Rime, D.1
Sarno, L.2
Sojli, E.3
-
212
-
-
0000786475
-
The Purchasing Power Parity Puzzle
-
Rogoff, K. (1996). The Purchasing Power Parity Puzzle. Journal of Economic Literature 34(2), 647-668.
-
(1996)
Journal of Economic Literature
, vol.34
, Issue.2
, pp. 647-668
-
-
Rogoff, K.1
-
215
-
-
0010811640
-
Rational asset-price movements without news
-
Romer, D. (1993). Rational asset-price movements without news. American Economic Review 83(5), 1112-1130.
-
(1993)
American Economic Review
, vol.83
, Issue.5
, pp. 1112-1130
-
-
Romer, D.1
-
216
-
-
77952612353
-
Price discovery in the foreign currency futures and spot market
-
Rosenberg, J., and L. Traub (2009). Price discovery in the foreign currency futures and spot market. Journal of Derivatives 17(2), 7-25.
-
(2009)
Journal of Derivatives
, vol.17
, Issue.2
, pp. 7-25
-
-
Rosenberg, J.1
Traub, L.2
-
217
-
-
33644807370
-
Under the microscope: The structure of the foreign exchange market
-
Sager, M., and M. Taylor (2006). Under the microscope: The structure of the foreign exchange market. International Journal of Finance and Economics 11(1), 81-95.
-
(2006)
International Journal of Finance and Economics
, vol.11
, Issue.1
, pp. 81-95
-
-
Sager, M.1
Taylor, M.2
-
218
-
-
43749115353
-
Commercially available order flow data and exchange rate movements: Caveat emptor
-
Sager, M., and M. Taylor (2008). Commercially available order flow data and exchange rate movements: Caveat emptor. Journal of Money, Credit and Banking 40(4), 583-625.
-
(2008)
Journal of Money, Credit and Banking
, vol.40
, Issue.4
, pp. 583-625
-
-
Sager, M.1
Taylor, M.2
-
219
-
-
0001465629
-
Theoretical notes on trade problems
-
Samuelson, P. (1964). Theoretical notes on trade problems. Review of Economics and Statistics 46(2), 145-154.
-
(1964)
Review of Economics and Statistics
, vol.46
, Issue.2
, pp. 145-154
-
-
Samuelson, P.1
-
222
-
-
0000120766
-
Estimating the dimension of a model
-
Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics 6(2), 461-464.
-
(1978)
Annals of Statistics
, vol.6
, Issue.2
, pp. 461-464
-
-
Schwarz, G.1
-
223
-
-
0000893807
-
Do stock prices move too much to be justified by subsequent changes in dividends?
-
Shiller, R. (1981). Do stock prices move too much to be justified by subsequent changes in dividends?American Economic Review 71(3), 421-436.
-
(1981)
American Economic Review
, vol.71
, Issue.3
, pp. 421-436
-
-
Shiller, R.1
-
225
-
-
0000922266
-
Excess capacity, monopolistic competition, and international transmission of monetary disturbances
-
Svensson, L., and S. van Wijnbergen (1989). Excess capacity, monopolistic competition, and international transmission of monetary disturbances. Economic Journal 99(397), 785-805.
-
(1989)
Economic Journal
, vol.99
, Issue.397
, pp. 785-805
-
-
Svensson, L.1
van Wijnbergen, S.2
-
227
-
-
0001436003
-
Covered interest arbitrage and market turbulence
-
Taylor, M. (1989). Covered interest arbitrage and market turbulence. Economic Journal 99(396), 376-391.
-
(1989)
Economic Journal
, vol.99
, Issue.396
, pp. 376-391
-
-
Taylor, M.1
-
228
-
-
84926271031
-
Forecasting the forecasts of others
-
Townsend, R. (1983). Forecasting the forecasts of others. Journal of Political Economy 91(4), 546-588.
-
(1983)
Journal of Political Economy
, vol.91
, Issue.4
, pp. 546-588
-
-
Townsend, R.1
-
229
-
-
74249122981
-
A habit-based explanation of the exchange rate risk premium
-
Verdelhan, A. (2010). A habit-based explanation of the exchange rate risk premium. Journal of Finance 65(1), 123-146.
-
(2010)
Journal of Finance
, vol.65
, Issue.1
, pp. 123-146
-
-
Verdelhan, A.1
-
230
-
-
35349008578
-
A guided tour of the market microstructure approach to exchange rate determination
-
Vitale, P. (2008). A guided tour of the market microstructure approach to exchange rate determination. Journal of Economic Surveys 21(5), 903-934.
-
(2008)
Journal of Economic Surveys
, vol.21
, Issue.5
, pp. 903-934
-
-
Vitale, P.1
-
231
-
-
21844527325
-
Short-term investment and the information efficiency of the market
-
Vives, X. (1995). Short-term investment and the information efficiency of the market. Review of Financial Studies 8(1), 125-160.
-
(1995)
Review of Financial Studies
, vol.8
, Issue.1
, pp. 125-160
-
-
Vives, X.1
-
232
-
-
38249004563
-
The equity premium puzzle and the risk-free rate puzzle
-
Weil, P. (1989). The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24(3), 401-421.
-
(1989)
Journal of Monetary Economics
, vol.24
, Issue.3
, pp. 401-421
-
-
Weil, P.1
-
233
-
-
0030353235
-
Asymptotic inference about predictive ability
-
West, K. (1996). Asymptotic inference about predictive ability. Econometrica: Journal of the Econometric Society 64(5), 1067-1084.
-
(1996)
Econometrica: Journal of the Econometric Society
, vol.64
, Issue.5
, pp. 1067-1084
-
-
West, K.1
-
235
-
-
34447334996
-
-
January, Working Paper 12856, National Bureau of Economic Research
-
Wincoop, E. van, and C. Tille (2007, January). International capital flows. Working Paper 12856, National Bureau of Economic Research.
-
(2007)
International capital flows
-
-
van Wincoop, E.1
Tille, C.2
-
237
-
-
33644913684
-
A consumption-based explanation of expected stock returns
-
Yogo, M. (2006). A consumption-based explanation of expected stock returns. Journal of Finance 61(2), 539-580.
-
(2006)
Journal of Finance
, vol.61
, Issue.2
, pp. 539-580
-
-
Yogo, M.1
|