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Martin Evans

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.

    Mentioned in:

    1. Why workers matter
      by chris dillow in Stumbling and Mumbling on 2014-11-21 19:20:30

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.

    Mentioned in:

    1. > Econometrics > Forecasting > Nowcasting

Working papers

  1. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.

    Cited by:

    1. Dan Cao & Wenlan Luo & Guangyu Nie, 2023. "Online Appendix to "Global GDSGE Models"," Online Appendices 22-86, Review of Economic Dynamics.

  2. Yixia Cai & Martin Evans, 2019. "Informal Transfers in Comparisons of Income Distributions: Lessons from Rich and Middle-Income Countries," LIS Working papers 705, LIS Cross-National Data Center in Luxembourg.

    Cited by:

    1. Rachel Karen, 2023. "Private Transfers and Poverty Reduction in the United States and France," LIS Working papers 864, LIS Cross-National Data Center in Luxembourg.
    2. Yixia Cai & Timothy Smeeding, 2019. "Deep and Extreme Child Poverty in Rich and Poor Nations: Lessons from Atkinson for the Fight Against Child Poverty," LIS Working papers 780, LIS Cross-National Data Center in Luxembourg.
    3. Yixia Cai & Timothy Smeeding, 2020. "Deep and Extreme Child Poverty in Rich and Poor Nations: Lessons from Atkinson for the Fight Against Child Poverty," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 6(1), pages 109-128, March.

  3. Martin D.D. Evans & Dagfinn Rime, 2019. "Microstructure of foreign exchange markets," Working Paper 2019/6, Norges Bank.

    Cited by:

    1. Martin D. D. Evans(Georgetown University and NBER), 2005. "What are the Origins of Foreign Exchange Movements?," Working Papers gueconwpa~05-05-06, Georgetown University, Department of Economics.
    2. Ioannis N. Kallianiotis & Iordanis Petsas, 2020. "The Effectiveness of the Single Mandate of the ECB and the Dual of the Fed," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-11.
    3. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    4. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.
    5. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
    6. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    7. Min-Lee Chan & Kannika Duangnate & Cho-Min Lin, 2020. "Performance and Cash Value of Taiwan Multinational Firms’ FDI in ASEAN," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(2), pages 1-2.
    8. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    9. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    10. Ben Steichen & Ryan Lowe, 2021. "How do multilingual users search? An investigation of query and result list language choices," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 72(6), pages 759-776, June.
    11. Andreas Schrimpf & Vladyslav Sushko, 2019. "FX trade execution: complex and highly fragmented," BIS Quarterly Review, Bank for International Settlements, December.
    12. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-.
    13. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    14. Holden, Craig W. & Lu, Dong & Lugovskyy, Volodymyr & Puzzello, Daniela, 2021. "What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market," Journal of Financial Economics, Elsevier, vol. 140(1), pages 270-291.
    15. Ioannis N. Kallianiotis, 2022. "Trade Balance and Exchange Rate: The J-Curve," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(2), pages 1-3.

  4. Martin Evans & Alejandra Hidalgo & Mei Wang, 2018. "Universal Child Allowances in 14 Middle Income Countries: Options for Policy and Poverty Reduction," LIS Working papers 738, LIS Cross-National Data Center in Luxembourg.

    Cited by:

    1. Martin Evans, 2018. "Simulating policy options for universal child allowances in Ghana," WIDER Working Paper Series wp-2018-145, World Institute for Development Economic Research (UNU-WIDER).
    2. Daniele Checchi & Andrej Cupak & Teresa Munzi & Janet Gornick, 2018. "Empirical challenges comparing inequality across countries: The case of middle-income countries from the LIS database," WIDER Working Paper Series wp-2018-149, World Institute for Development Economic Research (UNU-WIDER).
    3. Piotr Paradowski & Joanna Wolszczak-Derlacz & Eva Sierminska, 2020. "Inequality, Poverty and Child Benefits: Evidence from a Natural Experiment," LIS Working papers 799, LIS Cross-National Data Center in Luxembourg.
    4. Daniele Checchi & Andrej Cupak & Teresa Munzi & Janet Gornick, 2018. "Empirical challenges comparing inequality across countries," LIS Working papers 756, LIS Cross-National Data Center in Luxembourg.
    5. Elena-Madalina ZAMFIR (AVRAM) & Georgiana BALABAN & Alina Ionela ARSANI, 2022. "Reducing Child Poverty In Romania: The Role Of Universal Child Benefit," Romanian Journal of Economics, Institute of National Economy, vol. 54(1(63)), pages 34-57, June.

  5. Martin D.D. Evans & Dagfinn Rime, 2017. "Exchange rates, interest rates and the global carry trade," Working Paper 2017/14, Norges Bank.

    Cited by:

    1. Hendricks, Nathan P. & Er, Emrah, 2018. "Changes in cropland area in the United States and the role of CRP," Food Policy, Elsevier, vol. 75(C), pages 15-23.
    2. Zhang, Ziyun & Chen, Su & Li, Bo, 2022. "Does previous carry trade position affect following investors' decision-making and carry returns?," International Review of Financial Analysis, Elsevier, vol. 80(C).

  6. Emily Nell & Martin Evans & Janet Gornick, 2016. "Child Poverty in Middle-Income Countries," LIS Working papers 666, LIS Cross-National Data Center in Luxembourg.

    Cited by:

    1. Martin Evans & Alejandra Hidalgo & Mei Wang, 2018. "Universal Child Allowances in 14 Middle Income Countries: Options for Policy and Poverty Reduction," LIS Working papers 738, LIS Cross-National Data Center in Luxembourg.
    2. Janet Gornick & Emily Nell, 2017. "Children, Poverty, and Public Policy: A Cross-National Perspective," LIS Working papers 701, LIS Cross-National Data Center in Luxembourg.
    3. Sebastian Sirén, 2024. "Making Growth Inclusive? Do Government Transfers Moderate the Effect of Economic Growth on Absolute and Relative Child Poverty?," LIS Working papers 879, LIS Cross-National Data Center in Luxembourg.

  7. Martin D D Evans, 2015. "External Balances, Trade and Financial Conditions," Working Papers gueconwpa~15-15-08, Georgetown University, Department of Economics.

    Cited by:

    1. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    2. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    3. Zorell, Nico, 2017. "Large net foreign liabilities of euro area countries," Occasional Paper Series 198, European Central Bank.

  8. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.

    Cited by:

    1. Moore, Megan & Cristofalo, Margaret & Dotolo, Danae & Torres, Nicole & Lahdya, Alexandra & Ho, Leyna & Vogel, Mia & Forrester, Mollie & Conley, Bonnie & Fouts, Susan, 2017. "When high pressure, system constraints, and a social justice mission collide: A socio-structural analysis of emergency department social work services," Social Science & Medicine, Elsevier, vol. 178(C), pages 104-114.
    2. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    3. Yayun Shen & Michael Faure, 0. "Green building in China," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 0, pages 1-17.
    4. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    5. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    6. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
    7. Bianco, Vincenzo & Scarpa, Federico, 2018. "Impact of the phase out of French nuclear reactors on the Italian power sector," Energy, Elsevier, vol. 150(C), pages 722-734.
    8. Unger, Elizabeth A. & Ulfarsson, Gudmundur F. & Gardarsson, Sigurdur M. & Matthiasson, Thorolfur, 2018. "The effect of wind energy production on cross-border electricity pricing: The case of western Denmark in the Nord Pool market," Economic Analysis and Policy, Elsevier, vol. 58(C), pages 121-130.
    9. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).

  9. Martin Evans, 2014. "Forex Trading and the WMR Fix," Working Papers gueconwpa~14-14-03, Georgetown University, Department of Economics.

    Cited by:

    1. Ito, Takatoshi & Yamada, Masahiro, 2018. "Did the reform fix the London fix problem?," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 75-95.
    2. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    3. Ito, Takatoshi & Yamada, Masahiro, 2017. "Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing," Journal of International Economics, Elsevier, vol. 109(C), pages 214-234.
    4. Yamada, Masahiro & Ito, Takatoshi, 2017. "The forex fixing reform and its impact on cost and risk of forex trading banks," Finance Research Letters, Elsevier, vol. 21(C), pages 157-162.
    5. Liu, Tao, 2014. "The onshore-offshore interaction of RMB market: a high-frequency analysis," MPRA Paper 63905, University Library of Munich, Germany.
    6. Stenfors, Alexis, 2018. "Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 78-97.
    7. Takatoshi Ito & Masahiro Yamada, 2016. "Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks," NBER Working Papers 22820, National Bureau of Economic Research, Inc.
    8. Takatoshi Ito & Masahiro Yamada, 2015. "Was the Forex Fixing Fixed?," NBER Working Papers 21518, National Bureau of Economic Research, Inc.

  10. Evans, Martin, 2014. "External Balances, Trade Flows and Financial Conditions," MPRA Paper 55644, University Library of Munich, Germany.

    Cited by:

    1. Kollmann, Robert, 2016. "International business cycles and risk sharing with uncertainty shocks and recursive preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 115-124.
    2. Christian Grisse & Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.

  11. Martin Evans, 2012. "International Capital Flows and Debt Dynamics," Working Papers gueconwpa~12-12-04, Georgetown University, Department of Economics.

    Cited by:

    1. Alberto Fuertes, 2022. "External adjustment with a common currency: the case of the euro area," Empirical Economics, Springer, vol. 62(5), pages 2205-2238, May.
    2. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "External Adjustment, Global Imbalances, Valuation Effects," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 585-645, Elsevier.
    3. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "Chapter 10 External Adjustment, Global Imbalances, Valuation Effects," Department of Economics, Working Paper Series qt42k8h7mp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    4. Alberto Fuertes, 2019. "Exchange rate regime and external adjustment: An empirical investigation for the US," The World Economy, Wiley Blackwell, vol. 42(5), pages 1373-1399, May.
    5. Mr. Steven T Phillips & Mr. Luis Catão & Mr. Luca A Ricci & Mr. Rudolfs Bems & Ms. Mitali Das & Mr. Julian Di Giovanni & Ms. Filiz D Unsal & Marola Castillo & Jungjin Lee & Jair Rodriguez & Mr. Mauric, 2013. "The External Balance Assessment (EBA) Methodology," IMF Working Papers 2013/272, International Monetary Fund.
    6. Pierre-Olivier Gourinchas & Hélène Rey, 2013. "External Adjustment, Global Imbalances and Valuation Effects," NBER Working Papers 19240, National Bureau of Economic Research, Inc.
    7. Alberto Fuertes, 2019. "External adjustment with a common currency: the case of the euro area," Working Papers 1936, Banco de España.
    8. Christian Grisse & Thomas Nitschka, 2014. "Exchange rate returns and external adjustment: evidence from Switzerland," Working Papers 2014-12, Swiss National Bank.

  12. Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," Working Papers gueconwpa~12-12-01, Georgetown University, Department of Economics.

    Cited by:

    1. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    2. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
    3. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    4. Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2010. "Supply, demand and monetary policy shocks in a multi-country New Keynesian Model," Working Paper Series 1239, European Central Bank.
    5. Carlo Altavilla, 2001. "Assessing Monetary Rules Performance across EMU Countries," International Economics Working Papers Series ces0108, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
    6. Brodbeck, Karl-Heinz, 2019. "Die Illusion der Identität und die Krise der Wissenschaften," Working Paper Serie des Instituts für Ökonomie Ök-47, Hochschule für Gesellschaftsgestaltung (HfGG), Institut für Ökonomie.
    7. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    8. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    9. William T. Gavin & David M. Kemme, 2007. "Using extraneous information to analyze monetary policy in transition economies," Working Papers 2004-034, Federal Reserve Bank of St. Louis.
    10. Mackowiak, Bartosz, 2006. "What does the Bank of Japan do to East Asia?," Journal of International Economics, Elsevier, vol. 70(1), pages 253-270, September.
    11. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(3), pages 267-283, September.
    12. Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
    13. Berg, Kimberly A. & Mark, Nelson C., 2015. "Third-country effects on the exchange rate," Journal of International Economics, Elsevier, vol. 96(2), pages 227-243.
    14. Shiu-Sheng Chen, 2004. "Real exchange rate fluctuations and monetary shocks: a revisit," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 25-32.
    15. Jesper Lindé & Marianne Nessén & Ulf Söderström, 2004. "Monetary Policy in an Estimated Open-Economy Model with Imperfect Pass-Through," Working Papers 263, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    17. Hossein Bastanzad & Pedram Davoudi & Hossein Tavakolian, 2018. "Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(1), pages 253-293, Winter.
    18. Martin Evans, 2012. "International Capital Flows and Debt Dynamics," Working Papers gueconwpa~12-12-04, Georgetown University, Department of Economics.
    19. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
    20. Jae Kim, 2005. "Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 347-354.

  13. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.

    Cited by:

    1. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    2. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    3. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. Vahid Gholampour & Eric van Wincoop, 2017. "What can we Learn from Euro-Dollar Tweets?," NBER Working Papers 23293, National Bureau of Economic Research, Inc.
    5. Gamboa-Estrada, Fredy & Romero, José Vicente, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, Elsevier, vol. 171(C), pages 174-190.
    6. Tasadduq Imam & Kevin Tickle & Abdullahi Ahmed & William Guo, 2012. "Linear Relationship Between The Aud/Usd Exchange Rate And The Respective Stock Market Indices: A Computational Finance Perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 19-42, January.
    7. Afanasyev, Dmitriy O. & Fedorova, Elena & Ledyaeva, Svetlana, 2021. "Strength of words: Donald Trump's tweets, sanctions and Russia's ruble," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 253-277.
    8. Onur, Esen, 2011. "How much you know matters: A note on the exchange rate disconnect puzzle," MPRA Paper 32772, University Library of Munich, Germany.

  14. Martin Evans and Alberto Fuertes, 2010. "Understanding the Dynamics of the US External Position," Working Papers gueconwpa~10-10-05, Georgetown University, Department of Economics.

    Cited by:

    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock, 2013. "On returns differentials," International Finance Discussion Papers 1077, Board of Governors of the Federal Reserve System (U.S.).
    2. Alberto Fuertes, 2019. "Exchange rate regime and external adjustment: An empirical investigation for the US," The World Economy, Wiley Blackwell, vol. 42(5), pages 1373-1399, May.
    3. Helmut Herwartz & Malte Rengel, 2018. "Size-corrected inference in fiscal policy reaction functions: a three country assessment," Empirical Economics, Springer, vol. 55(2), pages 391-416, September.
    4. Alberto Fuertes, 2019. "External adjustment with a common currency: the case of the euro area," Working Papers 1936, Banco de España.

  15. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.

    Cited by:

    1. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
    2. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    3. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
    4. Andrés Murcia & Diego Rojas, 2014. "Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(74), pages 52-67, June.
    5. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    6. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    7. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    8. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
    9. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    10. Menzie D. Chinn & Michael J. Moore, 2011. "Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1599-1624, December.
    11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    12. Nedeljković, Milan & Urošević, Branko, 2012. "Determinants of the Dinar-Euro Nominal Exchange Rate," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 121-141, September.
    13. Andres Felipe Garcia-Suaza & Jose Eduardo Gómez, 2011. "A Simple Test of Momentum in Foreign Exchange Markets," Borradores de Economia 8230, Banco de la Republica.
    14. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    15. Rita Biswas & Louis R. Piccotti & Ben Z. Schreiber, 2021. "Differential risk premiums and the UIP puzzle," Financial Management, Financial Management Association International, vol. 50(1), pages 139-167, March.
    16. K. H. McIntyre & Kristine Harjes, 2016. "Order Flow and the Bitcoin Spot Rate," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 136-147, August.
    17. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
    18. Young Min Kim & Seojin Lee, 2017. "The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 23(3), pages 1-22, September.
    19. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    20. Jun Nagayasu, 2021. "Causal and Frequency Analyses of Purchasing Power Parity," DSSR Discussion Papers 119, Graduate School of Economics and Management, Tohoku University.
    21. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    22. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    23. Seddha-udom, Thanaporn, 2014. "Daily Exchange Rate Determination: Short-Term Speculation And Longerterm Expectation," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(01-2), January.
    24. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    25. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    26. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    27. Nora Milanova & Vaggelis Saprikis, 2018. "An Empirical Investigation of Adopters’ Perceptions Toward M-Commerce: The Case of Bulgarian University Students," Journal of Marketing and Consumer Behaviour in Emerging Markets, University of Warsaw, Faculty of Management, vol. 1(7), pages 66-83.
    28. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    29. Czech, Robert & Della Corte, Pasquale & Huang, Shiyang & Wang, Tianyu, 2022. "FX option volume," Bank of England working papers 964, Bank of England.
    30. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    31. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    32. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    33. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    34. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    35. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    36. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    37. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    38. Mauro Bambi & Sara Eugeni, 2018. "Exchange rates, sunspots and cycles," Department of Economics Working Papers 2018_05, Durham University, Department of Economics.
    39. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    40. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.
    41. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Leibniz Centre for European Economic Research.

  16. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Cedric Tille & Eric van Wincoop, 2009. "Disconnect and Information Content of International Capital Flows: Evidence and Theory," Working Papers 102009, Hong Kong Institute for Monetary Research.
    3. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    4. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    5. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
    6. Kodongo, Odongo & Ojah, Kalu, 2012. "The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 71-87.
    7. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    8. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
    9. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    10. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    11. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
    12. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    13. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    14. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    15. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    16. Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 175-196, March.
    17. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    18. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    19. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
    20. Gençay, Ramazan & Gradojevic, Nikola, 2013. "Private information and its origins in an electronic foreign exchange market," Economic Modelling, Elsevier, vol. 33(C), pages 86-93.
    21. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
    22. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    23. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    24. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    25. Katarzyna Bien, 2011. "Informed and Uninformed Trading in the EUR/PLN Spot Market," Working Papers 53, Department of Applied Econometrics, Warsaw School of Economics.
    26. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    27. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    28. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Tayor, 2010. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 211-247, September.
    29. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    30. Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
    31. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    32. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    33. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    34. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    35. Jeremy J. Nalewaik, 2008. "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series 2008-15, Board of Governors of the Federal Reserve System (U.S.).
    36. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    37. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019, January-A.
    38. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    39. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
    40. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    41. Kaul, Aditya & Kayacetin, Nuri Volkan, 2017. "Flight-to-quality, economic fundamentals, and stock returns," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 162-175.
    42. David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
    43. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    44. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    45. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    46. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    47. Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.
    48. K. Bień-Barkowska, 2013. "Informed and uninformed trading in the EUR/PLN spot market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(7), pages 619-628, April.
    49. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    50. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    51. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    52. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
    53. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    54. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
    55. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    56. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    57. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    58. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.

  17. Martin Evans and Viktoria Hnatkovska, 2006. "Financial Integration, Macroeconomic Volatility and Welfare," Working Papers gueconwpa~06-06-13, Georgetown University, Department of Economics.

    Cited by:

    1. Atanas CHRISTEV & Jacques MELITZ, 2010. "EMU, EU, Capital Market Integration and Consumption Smoothing," Working Papers 2010-06, Center for Research in Economics and Statistics.
    2. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    3. Mirdala, Rajmund & Svrčeková, Aneta & Semančíková, Jozefína, 2015. "On the Relationship between Financial Integration, Financial Liberalization and Macroeconomic Volatility," MPRA Paper 66143, University Library of Munich, Germany.
    4. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    5. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    6. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    7. Akhilesh K. Verma & Rajeswari Sengupta, 2021. "Interlinkages between external debt financing, credit cycles and output fluctuations in emerging market economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(4), pages 965-1001, November.
    8. Christev, Atanas & Melitz, Jacques, 2012. "EMU, EU, Market Integration and Consumption Smoothing," SIRE Discussion Papers 2012-76, Scottish Institute for Research in Economics (SIRE).
    9. Marcin Wolski, 2016. "Welfare-theoretic Optimal Policies in a New-Keynesian Economy with Heterogeneous Regions: Any Role for Financial Integration?," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 742-761, May.
    10. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    11. Mirnesa Baraković Nurikić & Senija Musić, 2023. "Index of Economic Stability and Financial Integration of Small Open Countries," International Business Research, Canadian Center of Science and Education, vol. 16(6), pages 1-47, June.
    12. Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration under EMU," European Economy - Economic Papers 2008 - 2015 312, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    13. Michael Donadelli & Ivan Gufler, 2021. "Consumption smoothing, risk sharing and financial integration," The World Economy, Wiley Blackwell, vol. 44(1), pages 143-187, January.
    14. Luigi Bonatti & Andrea Fracasso, 2009. "The evolution of the Sino-American Co-dependency: modelling a regime switch in a growth setting," Department of Economics Working Papers 0905, Department of Economics, University of Trento, Italia.
    15. Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Financial integration in small Islands: The case of Cyprus," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 201-219.
    16. Mirdala, Rajmund & Svrčeková, Aneta, 2014. "Financial Integration, Volatility of Financial Flows and Macroeconomic Volatility," MPRA Paper 61845, University Library of Munich, Germany.
    17. Islamaj Ergys, 2014. "Industrial specialization, financial integration and international consumption risk sharing," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 477-509, January.
    18. Marta Arespa, 2015. "Macroeconomic Volatility And International Integration," Bulletin of Economic Research, Wiley Blackwell, vol. 67(4), pages 393-410, October.
    19. Pariwat Kanithasen & Vacharakoon Jivakanont & Charnon Boonnuch, 2011. "AEC 2015: Ambitions, Expectations and Challenges ASEAN's Path towards Greater Economic and Financial Integration," Working Papers 2011-03, Monetary Policy Group, Bank of Thailand.

  18. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.

    Cited by:

    1. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
    2. Smita Roy Trivedi, 2022. "The Janus view: Do market participants looking into the past impact foreign exchange volatility?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3990-4001, October.

  19. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.

    Cited by:

    1. Pang, Ke, 2013. "Financial integration, nominal rigidity, and monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 75-90.
    2. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    3. Tille, Cédric, 2008. "Financial integration and the wealth effect of exchange rate fluctuations," Journal of International Economics, Elsevier, vol. 75(2), pages 283-294, July.
    4. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank.
    5. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    6. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    7. Enrique Martínez García, 2008. "Globalization and monetary policy: an introduction," Globalization Institute Working Papers 11, Federal Reserve Bank of Dallas.
    8. Ceyhun Bora Durdu, 2007. "Quantitative Implications of Indexed Bonds in Small Open Economies," 2007 Meeting Papers 482, Society for Economic Dynamics.
    9. Castillo, Paul & Montoro, Carlos & Tuesta, Vicente., 2010. "Inflation, Oil Price Volatility and Monetary Policy," Working Papers 2010-002, Banco Central de Reserva del Perú.
    10. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    11. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2005. "Inflation Premium and Oil Price Volatility," Macroeconomics 0512004, University Library of Munich, Germany, revised 05 Jan 2006.
    12. Heathcote, Jonathan & Perri, Fabrizio, 2008. "The International Diversification Puzzle is Not as Bad as You Think," CEPR Discussion Papers 6982, C.E.P.R. Discussion Papers.
    13. Tommaso Trani, 2013. "Country Portfolios with Heterogeneous Pledgeability," Faculty Working Papers 02/13, School of Economics and Business Administration, University of Navarra.
    14. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    15. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    16. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    17. Sven Blank, 2009. "International Consumption Risk Sharing and Monetary Policy," Working Paper / FINESS 4.4, DIW Berlin, German Institute for Economic Research.
    18. Ke Pang, 2011. "Equity home bias, incomplete financial markets, and nominal rigidities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(1), pages 340-363, February.
    19. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    20. Ángel Gavilán & Juan A. Rojas, 2009. "Solving Portfolio Problems with the Smolyak-Parameterized Expectations Algorithm," Working Papers 0838, Banco de España.
    21. Cédric Tille & Eric van Wincoop, 2008. "International Capital Flows under Dispersed Information: Theory and Evidence," NBER Working Papers 14390, National Bureau of Economic Research, Inc.
    22. Nguyen, Ha, 2011. "Valuation effects with transitory and trend productivity shocks," Journal of International Economics, Elsevier, vol. 85(2), pages 245-255.
    23. Eric van Wincoop & Cedric Tille & Philippe Bacchetta, 2010. "On the Dynamics of Leverage, Liquidity, and Risk," 2010 Meeting Papers 393, Society for Economic Dynamics.
    24. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 2009/138, International Monetary Fund.
    25. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    26. Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
    27. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    28. Sven Blank, 2009. "International Consumption Risk Sharing with Incomplete Goods and Asset Markets," Working Paper / FINESS 4.2, DIW Berlin, German Institute for Economic Research.

  20. Martin D. D. Evans(Georgetown University and NBER), 2005. "What are the Origins of Foreign Exchange Movements?," Working Papers gueconwpa~05-05-06, Georgetown University, Department of Economics.

    Cited by:

    1. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    2. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    3. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
    4. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.

  21. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.

    Cited by:

    1. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 12424, Banco de la Republica.
    2. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    3. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
    4. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    5. Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(81), pages 191-205, December.

  22. Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers.

    Cited by:

    1. Lamprou, Dimitra, 2016. "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 93-102.
    2. Winkelried, Diego, 2012. "Predicting quarterly aggregates with monthly indicators," Working Papers 2012-023, Banco Central de Reserva del Perú.
    3. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers 555, Society for Economic Dynamics.
    4. Chien-jung Ting & Yi-Long Hsiao & Rui-jun Su, 2022. "Application of the Real-Time Tourism Data in Nowcasting the Service Consumption in Taiwan," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(4), pages 1-4.
    5. Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
    6. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    7. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
    8. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    9. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," Borradores de Economia 9827, Banco de la Republica.
    10. William A. Barnett & Biyan Tang, 2015. "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201506, University of Kansas, Department of Economics, revised Nov 2015.
    11. Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series 056, School of Economics, University of East Anglia, Norwich, UK..
    12. Bouwman, Kees E. & Jacobs, Jan P.A.M., 2005. "Forecasting with real-time macroeconomic data: the ragged-edge problem and revisions," CCSO Working Papers 200505, University of Groningen, CCSO Centre for Economic Research.
    13. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers gueconwpa~05-05-01, Georgetown University, Department of Economics.
    14. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    15. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
    16. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
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    18. Peter Fuleky & Carl Bonham, 2010. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers 2010-17R1, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Jul 2013.
    19. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
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    22. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
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    67. Bańbura, Marta & Belousova, Irina & Bodnár, Katalin & Tóth, Máté Barnabás, 2023. "Nowcasting employment in the euro area," Working Paper Series 2815, European Central Bank.
    68. Maria Cristina Arcuri & Raoul Pisani, 2021. "Is Trade Credit a Sustainable Resource for Medium-Sized Italian Green Companies?," Sustainability, MDPI, vol. 13(5), pages 1-19, March.
    69. Pradeep Mishra & Khder Alakkari & Mostafa Abotaleb & Pankaj Kumar Singh & Shilpi Singh & Monika Ray & Soumitra Sankar Das & Umme Habibah Rahman & Ali J. Othman & Nazirya Alexandrovna Ibragimova & Gulf, 2021. "Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)," Data, MDPI, vol. 6(11), pages 1-15, November.
    70. Ramazan Yanik & Asfia Binte Osman & Ozcan Ozturk, 2020. "Impact of manufacturing PMI on stock market index: A study on Turkey," Journal of Administrative and Business Studies, Professor Dr. Usman Raja, vol. 6(3), pages 104-108.
    71. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
    72. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Paper 2014/10, Norges Bank.
    73. Romain Aumond & Julien Royer, 2024. "Improving the robustness of Markov-switching dynamic factor models with time-varying volatility," Working Papers 2024-04, Center for Research in Economics and Statistics.
    74. Antonio Musa, 2022. "Nowcasting Bosnia and Herzegovina GDP in Real Time," IHEID Working Papers 08-2022, Economics Section, The Graduate Institute of International Studies.
    75. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank.
    76. Alain Kabundi & Asithandile Mbelu, 2021. "Estimating a time-varying financial conditions index for South Africa," Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
    77. Daniela Bragoli & Jack Fosten, 2016. "Nowcasting Indian GDP," University of East Anglia School of Economics Working Paper Series 2016-06, School of Economics, University of East Anglia, Norwich, UK..
    78. Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Working Papers 0807, Banco de España.
    79. Mr. Troy D Matheson, 2011. "New Indicators for Tracking Growth in Real Time," IMF Working Papers 2011/043, International Monetary Fund.
    80. Cecilia Frale & David Veredas, 2008. "A Monthly Volatility Index for the US Economy," Working Papers ECARES 2008-008, ULB -- Universite Libre de Bruxelles.
    81. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    82. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Economic Cycles and Expected Stock Returns," CEPR Discussion Papers 9528, C.E.P.R. Discussion Papers.
    83. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
    84. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    85. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    86. Kajal Lahiri & George Monokroussos, 2011. "Nowcasting US GDP: The role of ISM Business Surveys," Discussion Papers 11-01, University at Albany, SUNY, Department of Economics.
    87. Knut Are Aastveit & Tuva Marie Fastbø & Eleonora Granziera & Kenneth Sæterhagen Paulsen & Kjersti Næss Torstensen, 2024. "Nowcasting Norwegian household consumption with debit card transaction data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1220-1244, November.
    88. Bragoli, Daniela, 2017. "Now-casting the Japanese economy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 390-402.
    89. Knut Are Aastveit & Tuva Marie Fastbø & Eleonora Granziera & Kenneth Sæterhagen Paulsen & Kjersti Næss Torstensen, 2020. "Nowcasting Norwegian household consumption with debit card transaction data," Working Paper 2020/17, Norges Bank.
    90. Carlos León & Fabio Ortega, 2018. "Nowcasting economic activity with electronic payments data: A predictive modeling approach," Borradores de Economia 1037, Banco de la Republica de Colombia.
    91. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
    92. Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
    93. Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Papers No 4/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    94. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Staff Working Papers 14-39, Bank of Canada.
    95. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.
    96. Juan Tenorio & Wilder Perez, 2024. "Monthly GDP nowcasting with Machine Learning and Unstructured Data," Papers 2402.04165, arXiv.org.
    97. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2016. "Real-time nowcasting of nominal GDP with structural breaks," Journal of Econometrics, Elsevier, vol. 191(2), pages 312-324.
    98. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
    99. Tony Chernis & Rodrigo Sekkel, 2018. "Nowcasting Canadian Economic Activity in an Uncertain Environment," Discussion Papers 18-9, Bank of Canada.
    100. Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, University of Reading.
    101. Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
    102. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
    103. Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.
    104. Rueben Ellul & Germano Ruisi, 2022. "Nowcasting the Maltese economy with a dynamic factor model," CBM Working Papers WP/02/2022, Central Bank of Malta.
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  23. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.

    Cited by:

    1. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    2. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    3. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    4. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.

  24. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers gueconwpa~05-05-01, Georgetown University, Department of Economics.

    Cited by:

    1. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    2. Kelly Burns & Imad Moosa, 2017. "Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?," Applied Economics, Taylor & Francis Journals, vol. 49(48), pages 4897-4910, October.
    3. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    4. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    6. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    7. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    8. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    9. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    10. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    11. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    12. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    13. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
    14. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    15. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    16. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    17. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
    18. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    19. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    20. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    21. Imad Moosa & Kelly Burns, 2016. "The random walk as a forecasting benchmark: drift or no drift?," Applied Economics, Taylor & Francis Journals, vol. 48(43), pages 4131-4142, September.
    22. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    23. Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
    24. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    25. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
    26. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    27. Dionísio Dias Carneiro & Thomas Wu, 2010. "Sovereign Risk and Out‐of‐Equilibrium Exchange Rate Dynamics," Review of Development Economics, Wiley Blackwell, vol. 14(4), pages 699-711, November.
    28. Pham, Son Duy & Nguyen, Thao Thac Thanh & Li, Xiao-Ming, 2024. "Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations," Global Finance Journal, Elsevier, vol. 59(C).
    29. Juan Pedro Jensen Perdomo & Fernando Balbino Botelho, 2007. "Messe-Rogoff Revisitados: Uma Análise Empírica Das Projeções Para A Taxa De Câmbio No Brasil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 038, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    30. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    31. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
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    86. Stenfors, Alexis & Susai, Masayuki, 2021. "Spoofing and pinging in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
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    88. Hsin-Min Lu & Chia-Shang J. Chu, 2006. "Random walk hypothesis in exchange rate reconsidered," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 275-290.
    89. Hendricks, Nathan P. & Er, Emrah, 2018. "Changes in cropland area in the United States and the role of CRP," Food Policy, Elsevier, vol. 75(C), pages 15-23.
    90. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    91. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    92. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
    93. Tripe, David & Xia, Bingru & Roberts, Leigh, 2011. "Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience," Working Paper Series 18604, Victoria University of Wellington, School of Economics and Finance.
    94. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
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    96. Daniel MITCHELL RESTREPO, 2006. "Forecasting the Colombian Exchange Rate: Capital Adjustments and Politics vs. Traditional IRP, Trade Adjustments and Random Walk Frameworks," Archivos de Economía 11228, Departamento Nacional de Planeación.
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  25. Martin D. D. Evans (Georgetown University), 2005. "Understanding Order Flow," Working Papers gueconwpa~05-05-19, Georgetown University, Department of Economics.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    3. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    4. Young, Sharon & Bruce, Anna & MacGill, Iain, 2019. "Potential impacts of residential PV and battery storage on Australia's electricity networks under different tariffs," Energy Policy, Elsevier, vol. 128(C), pages 616-627.
    5. Anella Munro, 2014. "Exchange rates, expected returns and risk: UIP unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Patnaik, Ila & Felman, Joshua & Shah, Ajay, 2017. "An exchange market pressure measure for cross country analysis," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 62-77.
    7. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    8. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    9. Sugeng & M. Noor Nugroho & Ibrahim & Yanfitri, 2010. "Pengaruh Dinamika Penawaran dan Permintaan Valas terhadap Nilai Tukar Rupiah dan Kinerja Perekonomian Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 12(3), pages 289-328, January.
    10. Sugeng & M. Noor Nugroho & Ibrahim & Yanfitri, 2010. "Effects of Foreign Exchange Supply and Demand Dynamics to Rupiah Exchange Rate and Economic Performance," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 12(3), pages 289-328, January.
    11. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    12. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    13. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    14. Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013. "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper 57673, University Library of Munich, Germany.
    15. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    16. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    17. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    18. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
    19. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    20. Pinar Yesin, 2016. "Exchange Rate Predictability and State-of-the-Art Models," Working Papers 2016-02, Swiss National Bank.
    21. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    22. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    23. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
    24. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    25. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
    26. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    27. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    28. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.
    29. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    30. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2023. "Foreign exchange order flow as a risk factor," Working Papers 2023_03, Business School - Economics, University of Glasgow.
    31. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.
    32. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    33. Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
    34. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    35. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    36. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    37. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    38. Esen Onur, 2008. "The role of asymmetric information among investors in the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 368-385.
    39. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    40. Speirs, Jamie & Balcombe, Paul & Johnson, Erin & Martin, Jeanne & Brandon, Nigel & Hawkes, Adam, 2018. "A greener gas grid: What are the options," Energy Policy, Elsevier, vol. 118(C), pages 291-297.
    41. Wang, Jingfan & Tchapmi, Lyne P. & Ravikumar, Arvind P. & McGuire, Mike & Bell, Clay S. & Zimmerle, Daniel & Savarese, Silvio & Brandt, Adam R., 2020. "Machine vision for natural gas methane emissions detection using an infrared camera," Applied Energy, Elsevier, vol. 257(C).
    42. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    43. Toroghi, Shahaboddin H. & Oliver, Matthew E., 2019. "Framework for estimation of the direct rebound effect for residential photovoltaic systems," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
    44. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
    45. Slade Shantz, Angelique & Zietsma, Charlene & Kistruck, Geoffrey M. & Cruz, Luciano Barin, 2024. "Exploring the relative efficacy of ‘within-logic contrasting’ and ‘cross-logic analogizing’ framing tactics for adopting new entrepreneurial practices in contexts of poverty," Journal of Business Venturing, Elsevier, vol. 39(1).
    46. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    47. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    48. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    49. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    50. Marsh, Ian W., 2011. "Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 377-392, March.
    51. de Roure, Calebe & Furniagiev, Steven & Reitz, Stefan, 2013. "The microstructure of exchange rate management: FX intervention and capital controls in Brazil," Kiel Working Papers 1865, Kiel Institute for the World Economy (IfW Kiel).
    52. Edwards, Karen & Rosenbaum, Mark S. & Brosdahl, Deborah & Hughes, Patrick, 2018. "Designing retail spaces for inclusion," Journal of Retailing and Consumer Services, Elsevier, vol. 44(C), pages 182-190.
    53. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    54. Pippenger, John, 2007. "How should we think about markets for foreign exchange?," University of California at Santa Barbara, Economics Working Paper Series qt3w40w1b5, Department of Economics, UC Santa Barbara.

  26. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics.

    Cited by:

    1. Juillard Michel, 2011. "Local approximation of DSGE models around the risky steady state," wp.comunite 0087, Department of Communication, University of Teramo.
    2. Hervé Boulhol, 2008. "The Convergence of Price–cost Margins," Open Economies Review, Springer, vol. 19(2), pages 221-240, April.
    3. Philippe Bacchetta & Simon Tièche & Eric van Wincoop, 2020. "International Portfolio Choice with Frictions: Evidence from Mutual Funds," Swiss Finance Institute Research Paper Series 20-46, Swiss Finance Institute.
    4. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank.
    5. Li, Zhongda & Liu, Lu, 2018. "Financial globalization, domestic financial freedom and risk sharing across countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 151-169.
    6. Mr. Alan Sutherland & Michael B. Devereux, 2007. "Country Portfolio Dynamics," IMF Working Papers 2007/283, International Monetary Fund.
    7. Feng, Chaonan & Han, Liyan & Vigne, Samuel & Xu, Yang, 2023. "Geopolitical risk and the dynamics of international capital flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    8. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    9. Enrique Martínez García, 2008. "Globalization and monetary policy: an introduction," Globalization Institute Working Papers 11, Federal Reserve Bank of Dallas.
    10. Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
    11. David Amdur, 2009. "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics.
    12. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    13. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    14. Ding, Ding & Jinjarak, Yothin, 2012. "Development threshold, capital flows, and financial turbulence," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 365-385.
    15. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    16. Hardik A. Marfatia, 2016. "The Role of Push and Pull Factors in Driving Global Capital Flows," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 62(2), pages 117-146.
    17. Robert Kollmann & Nicolas Coeurdacier & Philippe Martin, 2008. "International portfolios, current account dynamics and capital accumulation," ULB Institutional Repository 2013/13410, ULB -- Universite Libre de Bruxelles.
    18. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    19. Pierre-Olivier Gourinchas, 2006. "The Research Agenda: Pierre-Olivier Gourinchas on Global Imbalances and Financial Factors," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 7(2), April.
    20. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.
    21. Silvio Contessi & Pierangelo DePace & Johanna L. Francis, 2008. "The cyclical properties of disaggregated capital flows," Working Papers 2008-041, Federal Reserve Bank of St. Louis.
    22. Michael B. Devereux & Alan Sutherland, 2008. "Country portfolios in open economy macro models," Globalization Institute Working Papers 09, Federal Reserve Bank of Dallas.
    23. Martin Berka, 2015. "Comment on: Cross-border portfolios: assets, liabilities and wealth transfers," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 25-28, Bank for International Settlements.
    24. Leilane de Freitas Rocha Cambara & Roberto Meurer, 2023. "News sentiment and foreign portfolio investment in Brazil," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3332-3348, July.
    25. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    26. Jonathan J. Adams & Mr. Philip Barrett, 2017. "Why are Countries’ Asset Portfolios Exposed to Nominal Exchange Rates?," IMF Working Papers 2017/291, International Monetary Fund.
    27. Martin Evans and Viktoria Hnatkovska, 2006. "Financial Integration, Macroeconomic Volatility and Welfare," Working Papers gueconwpa~06-06-13, Georgetown University, Department of Economics.
    28. Nkiwane, Prince & Chipeta, Chimwemwe, 2019. "The performance of cross-border acquisitions targeting African firms," Emerging Markets Review, Elsevier, vol. 39(C), pages 68-82.
    29. Mr. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 2007/163, International Monetary Fund.
    30. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2007. "Asset prices, exchange rates and the current account," Working Paper Series 790, European Central Bank.
    31. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    32. De Paoli, Bianca, 2009. "Monetary policy under alternative asset market structures: the case of a small open economy," LSE Research Online Documents on Economics 28595, London School of Economics and Political Science, LSE Library.
    33. Tao Cai & Vinh Q. T. Dang & Jennifer T. Lai, 2015. "China's Capital and "Hot" Money Flows: An Empirical Investigation," Working Papers 162015, Hong Kong Institute for Monetary Research.
    34. Du, Ding & Hu, Ou, 2015. "The world market risk premium and U.S. macroeconomic announcements," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 75-97.
    35. Liu, Qiongzhi & Li, Renke & Wang, Yuqin, 2024. "Digital finance and capital mobility: Evidence from cross-regional investment of listed companies in China," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    36. Broner, Fernando & Didier, Tatiana & Erce, Aitor & Schmukler, Sergio L., 2013. "Gross capital flows: Dynamics and crises," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 113-133.
    37. Spiros Bougheas & Rod Falvey, 2009. "The impact of financial market imperfections on trade and capital flows," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 6(1), pages 91-110, Julio - D.
    38. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
    39. Bacchetta, Philippe & van Wincoop, Eric, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers 11983, C.E.P.R. Discussion Papers.
    40. Eylem Ersal Kiziler, 2011. "Growth Shocks and Portfolio Flows," Working Papers 11-02, UW-Whitewater, Department of Economics.
    41. Sutherland, Alan & Devereux, Michael B, 2007. "Financial Globalization and Monetary Policy," CEPR Discussion Papers 6147, C.E.P.R. Discussion Papers.
    42. Danilo Leiva-Leon & Lorenzo Ductor, 2019. "Fluctuations in Global Macro Volatility," ThE Papers 19/09, Department of Economic Theory and Economic History of the University of Granada..
    43. Michael B. Devereux, 2007. "Financial Globalization and Emerging Market Portfolios," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(S1), pages 101-130, December.
    44. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    45. Mr. Sakai Ando, 2019. "International Financial Connection and Stock Return Comovement," IMF Working Papers 2019/181, International Monetary Fund.
    46. Bianca De Paoli & Anna Lipinska, 2013. "Capital controls: a normative analysis," Staff Reports 600, Federal Reserve Bank of New York.
    47. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
    48. Devereux, Michael B. & Sutherland, Alan, 2009. "A portfolio model of capital flows to emerging markets," Journal of Development Economics, Elsevier, vol. 89(2), pages 181-193, July.
    49. Wan, Xiaoli & Yan, Yuruo & Zeng, Zhixiong, 2020. "Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    50. Didier, Tatiana & Lowenkron, Alexandre, 2012. "The current account as a dynamic portfolio choice problem," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 518-541.
    51. Wang, Jian & Wu, Jason, 2021. "Is capital flow management effective? Evidence based on U.S. monetary policy shocks," Journal of International Money and Finance, Elsevier, vol. 118(C).
    52. Cinzia Alcidi, 2009. "The Effect of Equity Market Integration on the Transmission Monetary Policy. Evidence from Australia," IHEID Working Papers 03-2009, Economics Section, The Graduate Institute of International Studies.
    53. Chaipat Poonpatpibul & Surach Tanboon & Pornnapa Leelapornchai, 2006. "The Role of Financial Integration in East Asia in Promoting Regional Growth and Stability," Working Papers 2006-05, Monetary Policy Group, Bank of Thailand.
    54. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    55. Hilary Tinotenda Muguto & Lorraine Rupande & Paul-Francois Muzindutsi, 2019. "Investor sentiment and foreign financial flows: Evidence from South Africa," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 473-498.
    56. Michael B. Devereux & Mr. Alan Sutherland, 2007. "Solving for Country Portfolios in Open Economy Macro Models," IMF Working Papers 2007/284, International Monetary Fund.
    57. Wang, Xun, 2022. "Financial liberalization and the investment-cash flow sensitivity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    58. Bianca De Paoli, 2009. "Monetary Policy under Alternative Asset Market Structures: The Case of a Small Open Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1301-1330, October.
    59. Mr. Martin D Evans, 2012. "International Capital Flows and Debt Dynamics," IMF Working Papers 2012/175, International Monetary Fund.
    60. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
    61. Kikuchi, Tomoo & Stachurski, John & Vachadze, George, 2018. "Volatile capital flows and financial integration: The role of moral hazard," Journal of Economic Theory, Elsevier, vol. 176(C), pages 170-192.
    62. Mirakhor, Abbas, 2007. "Islamic Finance and Globalization: A Convergence?," MPRA Paper 56026, University Library of Munich, Germany.
    63. Rabitsch, Katrin & Stepanchuk, Serhiy, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Paper Series 162, WU Vienna University of Economics and Business.
    64. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    65. Devereux, Michael B., 2009. "A simple model of emerging market portfolio structure," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 457-468, June.
    66. Erdal Tekin & Volkan Topalli & Chandler McClellan & Richard Wright, 2014. "Liquidating Crime with Illiquidity: How Switching from Cash to Credit Can Stop Street Crime," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 12(03), pages 45-50, October.
    67. Kollmann, Robert, 2006. "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers 5512, C.E.P.R. Discussion Papers.
    68. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
    69. Jacek Rothert & Alexander McQuoid & Katherine Smith, 2022. "Foreign direct investment over the international business cycle," GRAPE Working Papers 76, GRAPE Group for Research in Applied Economics.
    70. Sven Blank & Claudia M Buch, 2007. "International bank portfolios: short- and long-run responses to the business cycle," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 128-155, Bank for International Settlements.
    71. Roland Straub & Luca Dedola & Giovanni Lombardo, 2011. "Home bias and portfolio dynamics in a multi-country model," 2011 Meeting Papers 1037, Society for Economic Dynamics.
    72. Lu, Dong & Liu, Jialin & Zhou, Hang, 2022. "Global financial conditions, capital flows and the exchange rate regime in emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    73. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    74. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    75. Niu, Zibo & Wang, Chenlu & Zhang, Hongwei, 2023. "Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models," International Review of Financial Analysis, Elsevier, vol. 89(C).
    76. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    77. Tille, Cédric & van Wincoop, Eric, 2014. "International capital flows under dispersed private information," Journal of International Economics, Elsevier, vol. 93(1), pages 31-49.
    78. Gao Meng & Eric Wincoop, 2020. "A Decomposition of International Capital Flows," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(2), pages 362-389, June.
    79. Khaldoun Khashanah & Linyan Miao, 2011. "Dynamic structure of the US financial systems," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(4), pages 321-339, October.
    80. Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2023. "Stock market correlation and geographical distance: does the degree of economic integration matter?," MPRA Paper 116476, University Library of Munich, Germany.

  27. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc.

    Cited by:

    1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    2. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    3. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    4. Wang, Wenhao & Lin, Zhitao & Hu, Bing, 2023. "Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies," Finance Research Letters, Elsevier, vol. 53(C).
    5. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    6. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
    7. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers 07-27, Bank of Canada.
    8. Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," Working Papers hal-04141414, HAL.
    9. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
    10. Bhaghoe, Sailesh & Ooft, Gavin, 2020. "Modelling Exchange-Rate Volatility With Commodity Prices," Studies in Applied Economics 165, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    11. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    12. Ehrmann, Michael & Fratzscher, Marcel, 2007. "Explaining monetary policy in press conferences," Working Paper Series 767, European Central Bank.
    13. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
    14. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
    15. Rasmus Fatum & Barry Scholnick, "undated". "Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?," EPRU Working Paper Series 05-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2005.
    16. George Jiang & Ingrid Lo, 2011. "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers 11-5, Bank of Canada.
    17. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
    18. Hamza Bennani & Cécile Couharde & Yoan Wallois, 2024. "The effect of IMF communication on government bond markets: insights from sentiment analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(2), pages 615-656, May.
    19. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
    20. Elaut, Gert & Frömmel, Michael & Lampaert, Kevin, 2018. "Intraday momentum in FX markets: Disentangling informed trading from liquidity provision," Journal of Financial Markets, Elsevier, vol. 37(C), pages 35-51.
    21. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    22. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    23. Mollick Andre Varella & Soydemir Gokce, 2008. "The Impact of the Japanese Purchases of U.S. Treasuries on the Dollar/Yen Exchange Rate," Global Economy Journal, De Gruyter, vol. 8(1), pages 1-20, February.
    24. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    25. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 177-217, National Bureau of Economic Research, Inc.
    26. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    27. Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series 1532, European Central Bank.
    28. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    29. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    30. Marcel Fratzscher, 2008. "Oral Interventions Versus Actual Interventions in Fx Markets – An Event‐Study Approach," Economic Journal, Royal Economic Society, vol. 118(530), pages 1079-1106, July.
    31. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    32. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    33. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    34. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
    35. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    36. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    37. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
    38. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    39. K. H. McIntyre & Kristine Harjes, 2016. "Order Flow and the Bitcoin Spot Rate," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 136-147, August.
    40. Radovan Fiser & Roman Horvath, 2010. "Central bank communication and exchange rate volatility: a GARCH analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 25-31.
    41. Brett W. Fawley & Christopher J. Neely, 2011. "Capital flows and Japanese asset volatility," Working Papers 2011-034, Federal Reserve Bank of St. Louis.
    42. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    43. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    44. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    45. Levon Goukasian & Mehdi Majbouri, 2010. "The Reaction of Real Estate–Related Industries to the Monetary Policy Actions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 355-398, June.
    46. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    47. Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
    48. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    49. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    50. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
    51. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    52. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    53. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    54. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
    55. Lazarczyk, Ewa, 2016. "Market-specific news and its impact on forward premia on electricity markets," Energy Economics, Elsevier, vol. 54(C), pages 326-336.
    56. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    57. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
    58. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
    59. Takagi, Shinji & Pham, Thi Hoang Anh, 2011. "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, vol. 22(6), pages 507-517.
    60. Shumi Akhtar & Robert Faff & Barry Oliver, 2011. "The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates," Australian Journal of Management, Australian School of Business, vol. 36(3), pages 387-403, December.
    61. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    62. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    63. Lee A. Smales, 2013. "Impact Of Macroeconomic Announcements On Interest Rate Futures: High-Frequency Evidence From Australia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 371-388, September.
    64. Roy Trivedi, Smita, 2018. "Exchange rate volatility: Trader's beliefs and the role of news," MPRA Paper 89330, University Library of Munich, Germany.
    65. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    66. Pippenger, John, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series qt97m8z6hw, Department of Economics, UC Santa Barbara.
    67. Smita Roy Trivedi, 2022. "The Janus view: Do market participants looking into the past impact foreign exchange volatility?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3990-4001, October.
    68. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    69. Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    70. Cécile Couharde & Hamza Bennani & Yoan Wallois, 2021. "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach," Working Papers hal-04159751, HAL.
    71. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    72. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    73. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    74. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations [‘Micro effects of macro announcements: Real-time price discovery in foreign exchange’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 23(54), pages 364-409.
    75. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    76. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
    77. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    78. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
    79. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
    80. Telegin, O., 2022. "Bank of Russia regular communications and volatility short-term effects in financial markets," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 130-155.
    81. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    82. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, August.
    83. Seung Chan Ahn & Michael Melvin, 2007. "Exchange Rates and FOMC Days," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1245-1266, August.
    84. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    85. Kevin Evans & Alan Speight, 2011. "Intraday euro exchange rates and international macroeconomic announcements," The European Journal of Finance, Taylor & Francis Journals, vol. 17(2), pages 83-110.
    86. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, vol. 20(4), pages 585-600, December.

  28. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.

    Cited by:

    1. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    2. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
    3. Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan & Xu, Qi, 2021. "Currency Volatility and Global Technological Innovation," CEPR Discussion Papers 16611, C.E.P.R. Discussion Papers.
    4. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    5. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    6. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    7. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  29. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.

    Cited by:

    1. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    2. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    3. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
    4. John Williamson, 2008. "Exchange Rate Economics," Working Paper Series WP08-3, Peterson Institute for International Economics.
    5. Vitale, Paolo, 2006. "A market microstructure analysis of foreign exchange intervention," Working Paper Series 629, European Central Bank.
    6. Mr. Torbjorn I. Becker & Mr. Amadou N Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 2005/034, International Monetary Fund.
    7. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    8. Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers 78, Society for Economic Dynamics.
    9. Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers.
    10. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    11. Akbar, Ume Salma & Mubashir Ali, Mubashir Ali & Shah, Zulifqar Ali, 2014. "Home Equity Bias," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 1(1), pages 40-56, October.
    12. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    13. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
    14. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    15. Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.
    16. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    17. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
    18. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    19. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
    20. Nelson C. Mark, 2009. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1047-1070, September.
    21. Becker, Torbjorn & Sy, Amadou, 2006. "Were bid-ask spreads in the FX market excessive during the Asian crisis?," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 434-449.
    22. Bilesha B. Weeraratne, 2011. "Solving the Forward Discount Bias Puzzle in a Small Open Developing Economy," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 12(1), pages 61-89, March.
    23. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    24. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    25. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    26. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    27. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    28. Steven Pennings & Rod Tyers, 2008. "Increasing Returns, Financial Capital Mobility and Real Exchange Rate Dynamics," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages 141-158, September.
    29. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
    30. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    31. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    32. Sviatoslav Rosov & F. Douglas Foster, 2014. "Measuring the information content of customer foreign exchange orders," Australian Journal of Management, Australian School of Business, vol. 39(2), pages 247-264, May.
    33. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series 363, European Central Bank.
    34. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
    35. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    36. Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
    37. Christian Dreger & Georg Stadtmann, 2006. "What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey," Discussion Papers of DIW Berlin 624, DIW Berlin, German Institute for Economic Research.
    38. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
    39. Min-Yong Shin & Taehwan Yoo, 2006. "Monetary Policy Rules and the Forward Discount Bias," Korean Economic Review, Korean Economic Association, vol. 22, pages 299-317.

  30. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.

    Cited by:

    1. Fredriksson, Per G. & List, John A. & Millimet, Daniel L., 2004. "Chasing the smokestack: strategic policymaking with multiple instruments," Regional Science and Urban Economics, Elsevier, vol. 34(4), pages 387-410, July.
    2. Pierre Salmon, 2003. "The Assignment of Powers in an Open-ended European Union," CESifo Working Paper Series 993, CESifo.
    3. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
    4. Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo.
    5. Wang, Junfeng & Xu, Xiaoya & Wang, Shimeng & He, Shutong & He, Pan, 2021. "Heterogeneous effects of COVID-19 lockdown measures on air quality in Northern China," Applied Energy, Elsevier, vol. 282(PA).
    6. Menkhoff, Lukas, 2012. "Foreign Exchange Intervention in Emerging Markets: A Survey of Empirical Studies," Hannover Economic Papers (HEP) dp-498, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Wu, Wenqing & Zhu, Dongyang & Liu, Wenyi & Wu, Chia-Huei, 2022. "Empirical research on smart city construction and public health under information and communications technology," Socio-Economic Planning Sciences, Elsevier, vol. 80(C).
    8. Richard W. Evans, 2012. "Is Openness Inflationary? Policy Commitment and Imperfect Competition," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    9. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    10. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "The Federal Reserve as an informed foreign-exchange trader: 1973-1995," Working Papers (Old Series) 1118, Federal Reserve Bank of Cleveland.
    11. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Papers (Old Series) 1113, Federal Reserve Bank of Cleveland.
    12. Timo Wollmershäuser, 2003. "Sterilisierte Devisenmarktinterventionen - ein umstrittenes währungspolitisches Instrument," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(19), pages 34-44, October.
    13. Josh Ederington, Arik Levinson & Jenny Minier, 2003. "Footlose and Pollution Free," Working Papers gueconwpa~03-03-04, Georgetown University, Department of Economics.
    14. Peter Bofinger & Timo Wollmershäuser, 2003. "Managed Floating as a Monetary Policy Strategy," Economic Change and Restructuring, Springer, vol. 36(2), pages 81-109, June.
    15. M. Kayalica & Sajal Lahiri, 2005. "Strategic Environmental Policies in the Presence of Foreign Direct Investment," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 30(1), pages 1-21, January.
    16. Rasmus Fatum, 2010. "Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?," EPRU Working Paper Series 2010-07, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    17. Charumathi B & Mangaiyarkarasi T, 2023. "Effect of the COVID-19 Pandemic on CO2 Emissions in India," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(4), pages 1-5.
    18. Richard W. Evans, 2007. "Is openness inflationary? Imperfect competition and monetary market power," Globalization Institute Working Papers 01, Federal Reserve Bank of Dallas.
    19. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.

  31. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.

    Cited by:

    1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
    2. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    3. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    4. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    5. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
    6. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    7. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    8. Blundell, R & Francesconi, M & van der Klaauw, W, 2011. "Anatomy of Welfare Reform Evaluation:Announcement and Implementation Effects," Economics Discussion Papers 2572, University of Essex, Department of Economics.
    9. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    10. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
    11. Yi-Chen Chung & Hsien-Ming Chou & Chih-Neng Hung & Chihli Hung, 2021. "Using Textual and Economic Features to Predict the RMB Exchange Rate," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(6), pages 1-8.
    12. Frank Westerhoff & Sebastiano Manzan, 2004. "Does liquidity in the FX market depend on volatility?," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-8.
    13. S. S. Vinokurov & A.A. Medved & L. A. Mierin, 2018. "Economic News and Household Decisions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    14. M A Sánchez-Granero & J E Trinidad-Segovia & J Clara-Rahola & A M Puertas & F J De las Nieves, 2017. "A model for foreign exchange markets based on glassy Brownian systems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-22, December.
    15. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
    16. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers 06-008, ZEW - Leibniz Centre for European Economic Research.
    17. Bhaghoe, Sailesh & Ooft, Gavin, 2020. "Modelling Exchange-Rate Volatility With Commodity Prices," Studies in Applied Economics 165, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
    18. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
    19. D Büttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
    20. Jansen, David-Jan & de Haan, Jakob, 2007. "Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements," European Journal of Political Economy, Elsevier, vol. 23(1), pages 245-259, March.
    21. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    22. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    23. Péter Kondor, 2009. "The more we know, the less we agree: Higher-order expectations and public announcements," 2009 Meeting Papers 1018, Society for Economic Dynamics.
    24. Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
    25. Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto, 2017. "The Exchange Rate Effects of Macro News after the Global Financial Crisis," GRU Working Paper Series GRU_2017_007, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    26. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
    27. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
    28. Sharma, Susan Sunila & Bach Phan, Dinh Hoang & Narayan, Paresh Kumar, 2019. "Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    29. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
    30. Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy, 2011. "Periodic Sequences of Arbitrage: A Tale of Four Currencies," Papers 1112.5850, arXiv.org.
    31. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    32. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    33. Paul Alagidede & Tseke Maserumule, 2018. "Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa," Working Papers 751, Economic Research Southern Africa.
    34. Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    35. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
    36. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    37. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia.
    38. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    39. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    40. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
    41. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    42. Mingshu Hua & Chen-Yu Li, 2011. "The intraday bid-ask spread behaviour of the JPY/USD exchange rate in the EBS electronic brokerage system," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 2003-2013.
    43. Yutaka Kurihara, 2014. "Do European Central Bank Announcements Influence Stock Prices and Exchange Rates?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 4(4), pages 1-1.
    44. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    45. David Archer, 2005. "Foreign exchange market intervention: methods and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 40-55, Bank for International Settlements.
    46. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
    47. Cai, Fang & Howorka, Edward & Wongswan, Jon, 2008. "Informational linkages across trading regions: Evidence from foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1215-1243, December.
    48. Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 167-178.
    49. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
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    193. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
    194. Fuchs, Fabian U., 2020. "Macroeconomic determinants of foreign exchange rate exposure," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-42-20, University of Passau, Faculty of Business and Economics.
    195. Lake, Alfred & Maurin, Laurent & Minnella, Enrico, 2022. "Estimating financial integration in Europe: How to separate structural trends from cyclical fluctuations," EIB Working Papers 2022/15, European Investment Bank (EIB).
    196. Entorf Horst & Steiner Christian, 2007. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 3-26, February.
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    198. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    199. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    200. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    201. Lili Dai & Jerry T. Parwada & Donald W. Winchester & Bohui Zhang, 2022. "The more we know, the less we agree: A test of the trading horizon heterogeneity theory," The Financial Review, Eastern Finance Association, vol. 57(1), pages 45-67, February.
    202. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
    203. Przystupa, Jan, 2009. "Approaching a problem of the long-run real equilibrium exchange rate of Polish zloty while entering the ERM-2 and Euro zone," MPRA Paper 19549, University Library of Munich, Germany.
    204. Gulati, Vishal, 2023. "Bibliometric review of research on exchange rate predictability and fundamentals," Finance Research Letters, Elsevier, vol. 58(PA).
    205. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
    206. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    207. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    208. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).
    209. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    210. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    211. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
    212. Marsh, Ian W., 2011. "Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 377-392, March.
    213. Naef, Alain, 2024. "Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 146(C).
    214. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram, 2014. "Currency jumps, cojumps and the role of macro news," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 42-62.
    215. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    216. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    217. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    218. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    219. Guo, Zi-Yi, 2017. "Martingale Regressions for a Continuous Time Model of Exchange Rates," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 12(2), pages 40-45.
    220. Kevin Evans & Alan Speight, 2011. "Intraday euro exchange rates and international macroeconomic announcements," The European Journal of Finance, Taylor & Francis Journals, vol. 17(2), pages 83-110.
    221. Liliana Cavieres & Luis Opazo, 2010. "Fixed income investments: evolution in a liquidity shortage episode," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 400-409, Bank for International Settlements.
    222. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    223. Alberto Caruso, 2016. "The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate," Working Papers ECARES ECARES 2016-32, ULB -- Universite Libre de Bruxelles.
    224. Holden, Craig W. & Lu, Dong & Lugovskyy, Volodymyr & Puzzello, Daniela, 2021. "What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market," Journal of Financial Economics, Elsevier, vol. 140(1), pages 270-291.
    225. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    226. Hess, Dieter & Orbe, Sebastian, 2011. "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers 11-13, University of Cologne, Centre for Financial Research (CFR).
    227. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.
    228. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    229. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
    230. Milan Nedeljkovic & Branko Urosevic, 2011. "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers 18, National Bank of Serbia.
    231. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  32. Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.

    Cited by:

    1. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    2. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
    3. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    4. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    5. Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics.
    7. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
    8. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
    9. Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
    10. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
    11. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    12. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
    13. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    14. Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc.
    15. Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005. "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series 432, European Central Bank.
    16. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    17. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    18. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    19. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers 02-9, Bank of Canada.
    20. Pasquariello, Paolo, 2010. "Central bank intervention and the intraday process of price formation in the currency markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1045-1061, October.
    21. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 2004/006, International Monetary Fund.
    22. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
    23. Arzé Karam, 2022. "Dealers' incentives to reveal their names," The Financial Review, Eastern Finance Association, vol. 57(1), pages 27-44, February.
    24. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 2003/115, International Monetary Fund.
    25. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    26. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    27. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Staff Working Papers 02-16, Bank of Canada.
    28. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    29. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," 2006 Meeting Papers 864, Society for Economic Dynamics.
    30. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    31. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
    32. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
    33. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    34. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    35. Kakhbod, Ali & Song, Fei, 2020. "Dynamic price discovery: Transparency vs. information design," Games and Economic Behavior, Elsevier, vol. 122(C), pages 203-232.
    36. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
    37. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
    38. Zhang, Cheng & Yang, Fan & Ke, Xinyou & Liu, Zhifeng & Yuan, Chris, 2019. "Predictive modeling of energy consumption and greenhouse gas emissions from autonomous electric vehicle operations," Applied Energy, Elsevier, vol. 254(C).
    39. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    40. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    41. Marmora, Paul & Rytchkov, Oleg, 2018. "Learning about noise," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 209-224.
    42. Smales, L.A. & Apergis, N., 2017. "Understanding the impact of monetary policy announcements: The importance of language and surprises," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 33-50.
    43. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    44. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  33. Martin Evans and Richard K. Lyons, 2002. "Informational Integration and FX Trading," Working Papers gueconwpa~02-02-11, Georgetown University, Department of Economics.

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    3. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    4. Yang, Zhifang & Zhong, Haiwang & Lin, Wei & Lin, Jeremy & Chen, Yonghong & Xia, Qing & Liu, Wentao & Zhang, Xuan, 2019. "Mapping between transmission constraint penalty factor and OPF solution in electricity markets: analysis and fast calculation," Energy, Elsevier, vol. 168(C), pages 1181-1191.
    5. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    6. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    7. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    8. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
    9. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    10. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    11. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
    12. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    13. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    14. David Archer, 2005. "Foreign exchange market intervention: methods and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 40-55, Bank for International Settlements.
    15. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    16. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
    17. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    18. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    19. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    20. Michael J. Sager & Mark P. Taylor, 2006. "Under the microscope: the structure of the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 81-95.
    21. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    22. Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023. "The currency that came in from the cold: Capital controls and the information content of order flow," Journal of International Money and Finance, Elsevier, vol. 138(C).
    23. Andres Felipe Garcia-Suaza & Jose Eduardo Gómez, 2011. "A Simple Test of Momentum in Foreign Exchange Markets," Borradores de Economia 8230, Banco de la Republica.
    24. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    25. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    26. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    27. Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
    28. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    29. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    30. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    31. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    32. Böhme, René & Fortmann, Fabian & Persau, Valentin, 2019. "Arbeitsmarktintegration von Geflüchteten: Eine Bestandsaufnahme nach ausgewählten Branchen im Land Bremen," Reihe Arbeit und Wirtschaft in Bremen 28, Institut Arbeit und Wirtschaft (IAW), Universität Bremen und Arbeit­nehmer­kammer Bremen.
    33. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers gueconwpa~05-05-03, Georgetown University, Department of Economics.
    34. Yoshihiro Kitamura, 2011. "The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 1-31, March.
    35. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    36. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    37. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
    38. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    39. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    40. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    41. Bianco, Vincenzo & Scarpa, Federico, 2018. "Impact of the phase out of French nuclear reactors on the Italian power sector," Energy, Elsevier, vol. 150(C), pages 722-734.
    42. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
    43. Danielsson, Jon & Love, Ryan, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
    44. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    45. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    46. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    47. Yutaka Kurihara, 2015. "Are Japanese Stock Prices Important Deterministic Elements of Exchange Rate Returns?," Bulletin of Applied Economics, Risk Market Journals, vol. 2(2), pages 1-9.
    48. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    49. K. Bień-Barkowska, 2013. "Informed and uninformed trading in the EUR/PLN spot market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(7), pages 619-628, April.
    50. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    51. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
    52. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    53. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
    54. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    55. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    56. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
    57. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    58. Brause, Alexander, 2008. "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers 79, University of Würzburg, Department of Economics.

  34. Martin Evans, 2002. "Real Risk, Inflation Risk, and the Term Structure," Working Papers gueconwpa~02-02-10, Georgetown University, Department of Economics.

    Cited by:

    1. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
    2. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    3. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
    5. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    6. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
    7. Ken Nyholm & Riccardo Rebonato, 2008. "Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1597-1611.
    8. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2010. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers 10-6, HEC Montreal, Canada Research Chair in Risk Management.
    9. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
    10. Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers 16903, National Bureau of Economic Research, Inc.
    11. Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
    12. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    13. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    14. Charlotte Christiansen, 2004. "Regime switching in the yield curve," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 315-336, April.
    15. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
    16. Stefania D'Amico & Don H. Kim & Min Wei, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2014-24, Board of Governors of the Federal Reserve System (U.S.).
    17. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.
    18. Cristiano Baldassari & Massimiliano Meschini & Paola Nascenzi, 2024. "Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 13(4), pages 1-2.
    19. Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 405, European Central Bank.
    20. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
    21. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    22. Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 309-329, June.
    23. Shu Wu & Yong Zeng, 2005. "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 839-869.
    24. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
    25. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 229-253, September.
    26. Bekaert, Geert & Ang, Andrew, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
    27. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
    28. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
    29. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
    30. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
    31. Azoulay, Eddy & Brenner, Menachem & Landskroner, Yoram & Stein, Roy, 2014. "Inflation risk premium implied by options," Journal of Economics and Business, Elsevier, vol. 71(C), pages 90-102.
    32. Joao Liborio, 2005. "Dynamic bond portfolio choice in a model with Gaussian diffusion regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 259-270.
    33. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    34. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
    35. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
    36. Peter S. Spiro, 2003. "Evidence on inflation expectations from Canadian real return bonds," Macroeconomics 0312004, University Library of Munich, Germany.
    37. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    38. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
    39. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
    40. Perico Ortiz, Daniel, 2023. "Inflation news coverage, expectations and risk premium," FAU Discussion Papers in Economics 05/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    41. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.

  35. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.

    Cited by:

    1. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    2. Eleftheria Koniari, 2017. "Greek Foreign Direct Investments In South-Eastern Europe," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 13(1), pages 67-83.
    3. Suk-Joong Kim & Jeffrey Sheen, 2018. "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 3, pages 73-106, World Scientific Publishing Co. Pte. Ltd..
    4. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    5. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
    6. Schnabl, Gunther & Hillebrand, Eric, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 650, European Central Bank.
    7. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
    8. Ismail Saglam, 2019. "Perverse Effects of Non-sterilized Interventions on Spot Foreign Exchange Rates," South Asian Journal of Macroeconomics and Public Finance, , vol. 8(1), pages 26-56, June.
    9. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    10. Joseph, Agnes S. & Kiviet, Jan F., 2005. "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 417-444, April.
    11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    12. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    13. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    15. Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009. "Exchange rate management in emerging markets: Intervention via an electronic limit order book," Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
    16. Delaney, Judith M. & Devereux, Paul J., 2019. "Understanding gender differences in STEM: Evidence from college applications✰," Economics of Education Review, Elsevier, vol. 72(C), pages 219-238.
    17. Dominguez, Kathryn M.E., 2006. "When do central bank interventions influence intra-daily and longer-term exchange rate movements?," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
    18. Guido M. Kuersteiner & David C. Phillips & Mauricio Villamizar-Villegas, 2016. "Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy," Borradores de Economia 964, Banco de la Republica de Colombia.
    19. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    20. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
    21. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    22. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
    23. Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," BIS Working Papers 1094, Bank for International Settlements.
    24. Ingrid Lo & Stephen Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers 05-42, Bank of Canada.
    25. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    26. Edgar Ventura Neyra & Gabriel Rodríguez, 2015. "Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 61(3), pages 261-292.
    27. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    28. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    29. Jiang, Jiangang & Zhang, Jianhong, 2023. "Does political ideology matter in Chinese cross-border acquisitions?," Journal of Business Research, Elsevier, vol. 161(C).
    30. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    31. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    32. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    33. Srđan Marinković, 2014. "Non-Parametric Sign Test And Paired Samples Test Of Effectiveness Of Official Fx Intervention," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(202), pages 107-130, July – Se.
    34. Kamate, Vidya & Kumar, Abhishek, 2024. "Dealer networks, client sophistication and pricing in OTC derivatives," Journal of International Money and Finance, Elsevier, vol. 140(C).
    35. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    36. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    37. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    38. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    39. Jinliang Li, 2016. "When noise trading fades, volatility rises," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 475-512, October.
    40. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    41. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
    42. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    43. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    44. Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong, 2018. "The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ," Journal of Financial Markets, Elsevier, vol. 41(C), pages 17-35.
    45. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    46. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    47. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
    48. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    49. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
    50. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981, March.
    51. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.

  36. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.

    Cited by:

    1. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    2. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
    3. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.
    4. Dominguez, Kathryn M., 2003. "Book review: Richard K. Lyons, The Microstructure Approach To Exchange Rates, MIT Press, 2001," Journal of International Economics, Elsevier, vol. 61(2), pages 467-471, December.
    5. Coenen, Gunter & Wieland, Volker, 2003. "The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 1071-1101, July.
    6. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.
    7. Priscilla Chiu, 2003. "Transparency versus constructive ambiguity in foreign exchange intervention," BIS Working Papers 144, Bank for International Settlements.
    8. Hans Werner Sinn & Frank Westermann, 2001. "Die D-Mark in Osteuropa, das Schwarzgeld und der Euro: Zur Größe des Effektes," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 54(19), pages 18-23, October.
    9. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    10. Rasmus Fatum & Michael R. King, 2005. "Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data," EPRU Working Paper Series 05-06, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    11. Biswajit Banerjee & Juraj Zeman & Ľudovít Ódor & William O. Riiska, 2018. "On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 442-474, September.
    12. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 12424, Banco de la Republica.
    13. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
    14. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    15. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention under Public Information: The Chilean Case," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 215-256, January.
    16. John Carlson & Melody Lo, 2004. "Selective asymmetric intervention and sterilization," Applied Financial Economics, Taylor & Francis Journals, vol. 14(11), pages 823-833.
    17. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    18. Dominguez, Kathryn M.E., 2006. "When do central bank interventions influence intra-daily and longer-term exchange rate movements?," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
    19. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    20. Kiss M., Norbert, 2005. "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások [Effectiveness of central-bank intervention on foreign-exchange markets. International experienc," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 846-872.
    21. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "The Federal Reserve as an informed foreign-exchange trader: 1973-1995," Working Papers (Old Series) 1118, Federal Reserve Bank of Cleveland.
    22. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2009. "A brief empirical history of U.S. foreign-exchange intervention: 1973-1995," Working Papers (Old Series) 0903, Federal Reserve Bank of Cleveland.
    23. Guido M. Kuersteiner & David C. Phillips & Mauricio Villamizar-Villegas, 2016. "Effective Sterilized Foreign Exchange Intervention? Evidence from a Rule-Based Policy," Borradores de Economia 964, Banco de la Republica de Colombia.
    24. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2011. "On the evolution of U.S. foreign-exchange-market intervention: thesis, theory, and institutions," Working Papers (Old Series) 1113, Federal Reserve Bank of Cleveland.
    25. Piti Disyatat & Gabriele Galati, 2005. "The effectiveness of foreign exchange intervention in emerging market countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 97-113, Bank for International Settlements.
    26. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
    27. Hans-Werner Sinn & Wolfgang Nierhaus & Wolfgang Meister, 2001. "Vor der Talsohle," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 54(24), pages 27-42, January.
    28. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.
    29. Domac, Ilker & Mendoza, Alfonso, 2004. "Is there room for foreign exchange interventions under an inflation targeting framework ? Evidence from Mexico and Turkey," Policy Research Working Paper Series 3288, The World Bank.
    30. Rasmus Fatum, 2010. "Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?," EPRU Working Paper Series 2010-07, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    31. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    32. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
    33. Disyatat, Piti & Galati, Gabriele, 2007. "The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 383-402, April.
    34. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Papers (Old Series) 0315, Federal Reserve Bank of Cleveland.
    35. Gonzalo Llosa & Vicente Tuesta & Marco Vega, 2006. "A BVAR Forecasting Model for Peruvian Inflation," Money Affairs, CEMLA, vol. 0(2), pages 117-141, July-Dece.
    36. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    37. Michel Beine & Christelle Lecourt, 2004. "Reported and secret interventions in the foreign exchange market," ULB Institutional Repository 2013/10427, ULB -- Universite Libre de Bruxelles.
    38. Hans-Werner Sinn, 2001. "Flight from the Old Euro-Area Currencies," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 2(04), pages 44-47, February.
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    45. Hans-Werner Sinn & Frank Westermann, 2001. "The Deutschmark in Eastern Europe, Black Money and the Euro: On the Size of the Effect," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 2(03), pages 35-40, February.
    46. Ho, Wai-Ming, 2008. "The welfare implications of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1360-1382, December.
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    48. Isabelle Strauss-Kahn, 2006. "Secrecy in Foreign exchange Interventions: the Point of View of a Practitioner in a European Context," Money Affairs, CEMLA, vol. 0(2), pages 159-179, July-Dece.
    49. Trevor Campbell, 2006. "The Impact of Barbados’ Investment Climate on its Foreign Direct Investment Inflows," Money Affairs, CEMLA, vol. 0(2), pages 143-157, July-Dece.
    50. Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," EEAG Report on the European Economy, CESifo, vol. 0, pages 27-42, April.

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    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    2. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    3. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers gueconwpa~01-01-11, Georgetown University, Department of Economics.
    4. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    5. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
    6. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    7. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    8. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    9. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
    10. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
    11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    12. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
    13. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    14. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    15. Martin Evans and Richard K. Lyons, 2002. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~02-02-12, Georgetown University, Department of Economics.
    16. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
    17. Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
    18. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
    19. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
    20. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
    21. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    22. Kaul, Aditya & Sapp, Stephen, 2005. "Trading Activity and Foreign Exchange Market Quality," CEI Working Paper Series 2005-9, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    23. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    24. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
    25. Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Hannover Economic Papers (HEP) dp-276, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    26. Mohammad Abedi & Daniel Bartolomeo, 2019. "Entropic Dynamics of Exchange Rates and Options," Papers 1908.06358, arXiv.org.
    27. Carolina Gómez Restrepo & Diego Jara Pinzón & Andrés Murcia Pabón, 2006. "Impacto De Las Operaciones De Los Fondos De Pensiones Obligatorias En Los Mercados Financieros Colombianos," Borradores de Economia 406, Banco de la Republica de Colombia.
    28. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    29. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    30. Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
    31. Reitz, Stefan & Stadtmann, Georg & Taylor, Mark P., 2010. "The effects of Japanese interventions on FX-forecast heterogeneity," Economics Letters, Elsevier, vol. 108(1), pages 62-64, July.
    32. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    33. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
    34. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    35. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    36. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
    37. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
    38. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    39. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
    40. Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.

  38. Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.

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    1. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
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    3. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    4. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    5. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
    6. Kaltenbrunner, Annina & Perez Ruiz, Daniel & Okot, Anjelo, 2022. "A structural analysis of foreign exchange markets in sub-Saharan Africa," EIB Working Papers 2022/11, European Investment Bank (EIB).
    7. Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
    8. Wang, Wenhao & Lin, Zhitao & Hu, Bing, 2023. "Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies," Finance Research Letters, Elsevier, vol. 53(C).
    9. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
    10. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    11. Kitamura, Yoshihiro, 2017. "Simple measures of market efficiency: A study in foreign exchange markets," Japan and the World Economy, Elsevier, vol. 41(C), pages 1-16.
    12. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    13. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
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    22. Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
    23. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    24. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
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    26. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30, Puey Ungphakorn Institute for Economic Research.
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    34. Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics 100409, London School of Economics and Political Science, LSE Library.
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    37. Zhengyang Jiang, 2024. "Exorbitant Privilege: A Safe-Asset View," CESifo Working Paper Series 11279, CESifo.
    38. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    39. Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O. Aa. Solheim, 2009. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," CESifo Working Paper Series 2518, CESifo.
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    46. Cedric Tille & Eric van Wincoop, 2009. "Disconnect and Information Content of International Capital Flows: Evidence and Theory," Working Papers 102009, Hong Kong Institute for Monetary Research.
    47. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    48. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
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    50. Cheung, Yin-Wong & Rime, Dagfinn, 2014. "The offshore renminbi exchange rate: Microstructure and links to the onshore market," Santa Cruz Department of Economics, Working Paper Series qt9nj1q298, Department of Economics, UC Santa Cruz.
    51. Yoichi Otsubo & Bruce Mizrach, 2012. "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series 12-7, Luxembourg School of Finance, University of Luxembourg.
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    573. Kevin Evans & Alan Speight, 2011. "Intraday euro exchange rates and international macroeconomic announcements," The European Journal of Finance, Taylor & Francis Journals, vol. 17(2), pages 83-110.
    574. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    575. Mauro Bambi & Sara Eugeni, 2018. "Exchange rates, sunspots and cycles," Department of Economics Working Papers 2018_05, Durham University, Department of Economics.
    576. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
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  39. Martin D.D. Evans, 1995. "Dividend Variability and Stock Market Swings," Working Papers 95-13, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Gunther Capelle-Blancard & Jézabel Couppey-Soubeyran, 2003. "Le financement des agents non financiers en Europe : le rôle des intermédiaires financiers demeure prépondérant," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00265673, HAL.
    2. Ho, Sin-Yu & Odhiambo, Nicholas, 2017. "Analysing the macroeconomic drivers of stock Market development in the Philippines," Working Papers 23439, University of South Africa, Department of Economics.
    3. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
    4. Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
    5. Cifter Atilla & Ozun Alper, 2008. "Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 68-79, April.
    6. Clarke, George R. & Cull, Robert, 1998. "Why privatize? : the case of Argentina's public provincial banks," Policy Research Working Paper Series 1972, The World Bank.
    7. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.
    8. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
    9. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy, 2016. "The impacts of immigrants and institutions on bilateral tourism flows," Tourism Management, Elsevier, vol. 52(C), pages 221-229.
    10. Rosser, J. Jr. & Ahmed, Ehsan & Hartmann, Georg C., 2003. "Volatility via social flaring," Journal of Economic Behavior & Organization, Elsevier, vol. 50(1), pages 77-87, January.
    11. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
    12. Pablo López & Luis Rosado, 2013. "¿Qué puede aprender Latinoamérica del auge de las TIC en el Asia Pacífico?," Revista de Economía del Caribe 14731, Universidad del Norte.
    13. Gutierrez, Maria-Jose & Vazquez, Jesus, 2004. "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2297-2325, October.
    14. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
    15. R. Santos Alimi, 2015. "Financial Deepening and Economic Growth in 7 Sub-Saharan Africa: An Application of System GMM Panel Analysis," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 4(5), pages 244-252.
    16. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
    17. Ebele Sabina Nsofor, 2016. "Market Liquidity as a Determinant of Stock Market Development in Nigeria," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 5(1), pages 11-21.
    18. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.

  40. Robert E. Cumby & Martin D.D. Evans, 1995. "The Term Structure of Credit Risk: Estimates and Specification Tests," Working Papers 95-14, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Tristan Darwin & Sirimon Treepongkaruna & Robert Faff, 2012. "Determinants of bond spreads: evidence from credit derivatives of Australian firms," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 29-46, April.
    2. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, University of Reading.
    3. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.

  41. Martin D.D. Evans, 1995. "Peso Problems: Their Theoretical and Empirical Implications," Working Papers 95-05, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
    2. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    3. Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 323-343, April.
    4. Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
    5. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Norwegian School of Economics, Department of Business and Management Science.
    6. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    7. Nicolas Million, 2007. "Effet peso : présentation théorique et application à la politique monétaire," Documents de travail du Centre d'Economie de la Sorbonne v07012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    8. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
    9. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. "\"Peso problem\" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
    10. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, University Library of Munich, Germany.
    11. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price," Discussion Paper Series 1: Economic Studies 2009,32, Deutsche Bundesbank.
    12. Matos, Paulo & Beviláqua, Giovanni & Filho, Jaime, 2012. "Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    13. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.

  42. Martin D.D. Evans & Karen K. Lewis, 1993. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Working Papers 93-06, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Law, Siong Hook & Tan, Hui & baharumshah, ahmad, 1999. "Financial Liberalization in ASEAN and the Fisher Hypothesis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 33, pages 65-86.
    3. Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär, 2012. "Testing for Panel Cointegration in an Error Correction Framework - with an Application to the Fisher Hypothesis," HUI Working Papers 72, HUI Research.
    4. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. Vicente Martínez, Eva, 2006. "Properties of two U.S. inflation measures (1985-2005)," DES - Working Papers. Statistics and Econometrics. WS ws066818, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Kasimir Kaliva, 2008. "The Fisher effect, survey data and time-varying volatility," Empirical Economics, Springer, vol. 35(1), pages 1-10, August.
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    149. Li, Yuming, 2001. "Expected Returns and Habit Persistence," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
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    151. Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005. "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series 05/04, Dokuz Eylül University, Faculty of Business, Department of Economics, revised 23 Nov 2005.
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  43. Evans, M.D.D. & Lewis, K.K., 1993. "Trends in Expected Returns in Currency and Bond Markets," Weiss Center Working Papers 93-4, Wharton School - Weiss Center for International Financial Research.

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    1. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
    2. Crowder, William J., 1995. "Covered interest parity and international capital market efficiency," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 115-132.
    3. Chang‐Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
    4. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
    5. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
    6. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.).
    7. Nagayasu, Jun, 2010. "The Common Component in the Forward Premium: Evidence from the Asia-Pacific Region," MPRA Paper 24549, University Library of Munich, Germany.
    8. Christodoulakis, Nicos M. & Kalyvitis, Sarantis C., 1997. "Efficiency testing revisited: a foreign exchange market with Bayesian learning," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 367-385, June.

  44. Robert E. Cumby & Martin D.D. Evans, 1993. "Measuring Current and Anticipated Future Credit Estimates for Brady Bonds," Working Papers 93-13, New York University, Leonard N. Stern School of Business, Department of Economics.

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    1. Barbone, Luca & Forni, Lorenzo, 1997. "Are markets learning? : behavior in the secondary market for Brady bonds," Policy Research Working Paper Series 1734, The World Bank.

  45. Martin D.D. Evans, 1993. "Estimating General Markov Switching Models," Working Papers 93-02, New York University, Leonard N. Stern School of Business, Department of Economics.

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    1. Ms. Sweta Chaman Saxena & Ms. Valerie Cerra, 2000. "Contagion, Monsoons, and Domestic Turmoil in Indonesia: A Case Study in the Asian Currency Crisis," IMF Working Papers 2000/060, International Monetary Fund.

  46. Lewis, K. & Evans, M.D.D., 1993. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," Weiss Center Working Papers 93-12, Wharton School - Weiss Center for International Financial Research.

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    5. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
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    7. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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    1. Karl Ludwig Keiber & Helene Samyschew, 2015. "The role of sentiment in global risk premia," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2073-2091, April.
    2. Jang-Ting Guo & Rong-Chang Wu, 1998. "Financial Liberalization and the Exchange-Rate Exposure of the Taiwanese Firms: A Nonparametric Analysis of Taiwan," Multinational Finance Journal, Multinational Finance Journal, vol. 2(1), pages 37-61, March.
    3. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
    5. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
    6. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    7. Yao, Wenjing & Mei, Bin, 2015. "Assessing forestry-related assets with the intertemporal capital asset pricing model," Forest Policy and Economics, Elsevier, vol. 50(C), pages 192-199.
    8. Bruce Niendorf & Thomas Ottaway, 2002. "Wealth effects of time variation in investor risk preferences," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 77-87, March.
    9. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
    10. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    11. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
    12. Yuming Li, 1998. "Time Variations In Risk Premia, Volatility, And Reward-To-Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 431-446, December.
    13. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
    14. Min-Hsien Chiang & Long-Jainn Hwang & Yui-Chi Wu, 2004. "Insider Trading Performance in the Taiwan Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 239-256, December.
    15. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    16. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
    17. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 177-189.
    18. Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 137-155, July.
    19. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
    20. Eckbo, B. Espen & Norli, Øyvind, 2004. "The choice of seasoned-equity selling mechanism: Theory and evidence," Discussion Papers 2004/17, Norwegian School of Economics, Department of Business and Management Science.
    21. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2024. "Credit market conditions, expected return proxies, and bank stock returns," Global Finance Journal, Elsevier, vol. 62(C).
    22. Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1299-1318, June.
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    24. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    25. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney.
    26. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
    27. Bruce Morley & Dennis Thomas, 2018. "Covariance Risk and the Ripple Effect in the UK Regional Housing Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 13, pages 1-13, August.
    28. Bayless, M. & Jay, N., 2008. "A multiperiod evaluation of returns following seasoned equity offerings," Journal of Economics and Business, Elsevier, vol. 60(4), pages 291-311.
    29. Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
    30. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
    31. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    32. Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
    33. Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-26, March.
    34. Viviana Fernández, 2001. "A Liquidity Premium Puzzle?: Evidence from Chile," Documentos de Trabajo 105, Centro de Economía Aplicada, Universidad de Chile.

  48. Martin Evans & Paul Wachtel, 1992. "Were Price Changes during the Great Depression Anticipated? Evidence from Nominal Interest Rates," Working Papers 92-12, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. O'Rourke, Kevin & Ellison, Martin & Lee, Sang Seok, 2020. "The Ends of 27 Big Depressions," CEPR Discussion Papers 15061, C.E.P.R. Discussion Papers.
    2. Burdekin, Richard C. K. & Burkett, Paul, 1996. "Hyperinflation, the exchange rate and endogenous money: post-World War I Germany revisited," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 599-621, August.
    3. Bill Dorval & Gregor W. Smith, 2015. "Interwar Inflation, Unexpected Inflation, and Output Growth," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1599-1615, December.
    4. John Landon-Lane & Eugene N. White & Adam Klug, 2002. "How Could Everyone Have Been So Wrong? Forecasting the Great Depression with the Railroads," NBER Working Papers 9011, National Bureau of Economic Research, Inc.
    5. Gregor W. Smith, 2006. "The Spectre Of Deflation: A Review Of Empirical Evidence," Working Paper 1086, Economics Department, Queen's University.
    6. Randall E. Parker & Phillip Rothman & Original: August 2000. This version: June 2003., "undated". "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods," Working Papers 0011, East Carolina University, Department of Economics.
    7. Hiroyuki Kasahara & Tatsuyoshi Okimoto & Katsumi Shimotsu, 2014. "Modified Quasi-Likelihood Ratio Test for Regime Switching," The Japanese Economic Review, Japanese Economic Association, vol. 65(1), pages 25-41, March.
    8. Michael D. Bordo & Christopher J. Erceg & Charles L. Evans, 1997. "Money, sticky wages, and the Great Depression," International Finance Discussion Papers 591, Board of Governors of the Federal Reserve System (U.S.).
    9. Bordo, Michael D. & Schwartz, Anna J., 1999. "Monetary policy regimes and economic performance: The historical record," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 3, pages 149-234, Elsevier.
    10. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis," Finance and Economics Discussion Series 2020-049, Board of Governors of the Federal Reserve System (U.S.).
    11. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
    12. Robert Goldfarb & H. O. Stekler & Joel David, 2005. "Methodological issues in forecasting: Insights from the egregious business forecast errors of late 1930," Journal of Economic Methodology, Taylor & Francis Journals, vol. 12(4), pages 517-542.
    13. Binder, Carola Conces, 2016. "Estimation of historical inflation expectations," Explorations in Economic History, Elsevier, vol. 61(C), pages 1-31.
    14. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
    15. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    16. Bernanke, Ben S, 1995. "The Macroeconomics of the Great Depression: A Comparative Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 1-28, February.
    17. Michael Bordo, 2000. "Sound Money and Sound Financial Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 129-155, December.
    18. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    19. Rasheed Saleuddin, 2014. "Can Inflation Expectations Be Measured Using Commodity Futures Prices?," Working Papers 20, Department of Economic and Social History at the University of Cambridge.
    20. Albrecht Ritschl & Ulrich Woitek, 2000. "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," Working Papers 2000_07, Business School - Economics, University of Glasgow.
    21. Kushal Banik Chowdhury & Srikanta Kundu & Nityananda Sarkar, 2018. "Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(4), pages 390-413, September.
    22. Douglas A. Irwin, 2010. "Did France Cause the Great Depression?," NBER Working Papers 16350, National Bureau of Economic Research, Inc.
    23. Kushal Banik Chowdhury & Kaustav Kanti Sarkar & Srikanta Kundu, 2021. "Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 469-493, July.
    24. Ernst Juerg Weber, 2007. "The Role of the Real Interest Rate in US Macroeconomic History," Economics Discussion / Working Papers 07-01, The University of Western Australia, Department of Economics.
    25. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
    26. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
    27. João Miguel Ejarque, 2009. "Uncertainty, Irreversibility, Durable Consumption and the Great Depression," Economica, London School of Economics and Political Science, vol. 76(303), pages 574-587, July.
    28. Hiroyuki Kasahara & Katsumi Shimotsu, 2017. "Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models," CIRJE F-Series CIRJE-F-1049, CIRJE, Faculty of Economics, University of Tokyo.
    29. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    30. Randall E. Parker & James S. Fackler, "undated". "Was Debt Deflation Operative during the Great Depression?: A Note," Working Papers 0102, East Carolina University, Department of Economics.
    31. Douglas A. Irwin, 2014. "Who Anticipated the Great Depression? Gustav Cassel versus Keynes and Hayek on the Interwar Gold Standard," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(1), pages 199-227, February.
    32. Ritschl, Albrecht & Woitek, Ulrich, 2000. "Did Monetary Forces Cause the Great Depression?," CEPR Discussion Papers 2547, C.E.P.R. Discussion Papers.
    33. Kevin Hjortshøj O’Rourke & Sang Seok Lee & Martin Ellison, 2020. "The Ends of 30 Big Depressions," Working Papers 20200035, New York University Abu Dhabi, Department of Social Science, revised May 2020.
    34. Douglas A. Irwin, 2011. "Anticipating the Great Depression? Gustav Cassel's Analysis of the Interwar Gold Standard," NBER Working Papers 17597, National Bureau of Economic Research, Inc.

  49. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martin D. Evans & Karen K. Lewis, 1992. "Trends in Expected Returns in Currency and Bond Markets," NBER Working Papers 4116, National Bureau of Economic Research, Inc.
    2. Kaminsky, G.L. & Leiderman, L., 1996. "High Real Interest Rates in the Aftermath of Disinflation: Is It a Lack of Credibility," Papers 8-96, Tel Aviv.
    3. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June.

  50. Martin D. Evans & James R. Lothian, 1992. "The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates," Working Papers 92-16, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Lothian, James R., 1997. "Multi-country evidence on the behavior of purchasing power parity under the current float," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 19-35, February.
    2. Yoonbai Kim, 1997. "How Real are Real Exchange Rates?," International Economic Journal, Taylor & Francis Journals, vol. 11(1), pages 87-108.
    3. Ibrahim Chowdhury, 2004. "Sources of exchange rate fluctuations: empirical evidence from six emerging market countries," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 697-705.
    4. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    5. Mr. Kazim Kazimov & Mr. Kirk Hamilton & Mr. Rabah Arezki, 2011. "Resource Windfalls, Macroeconomic Stability and Growth: The Role of Political Institutions," IMF Working Papers 2011/142, International Monetary Fund.
    6. Lothian, James R. & Taylor, Mark P., 1997. "Real exchange rate behavior," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 945-954, December.
    7. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
    8. James Lothian & Yusif Simaan, 1998. "International Financial Relations Under the Current Float: Evidence from Panel Data," Open Economies Review, Springer, vol. 9(4), pages 293-313, October.
    9. Larry A Sjaastad, 1998. "Comment on "Tipo de Cambio Real y Gasto Público: Un Modelo Econométrico para Chile"," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 139-150.
    10. Khraief, Naceur & Shahbaz, Muhammad & Kumar Mahalik, Mantu & Bhattacharya, Mita, 2020. "Movements of oil prices and exchange rates in China and India: New evidence from wavelet-based, non-linear, autoregressive distributed lag estimations," MPRA Paper 103526, University Library of Munich, Germany, revised 13 Oct 2020.
    11. Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011. "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers 2011015, The University of Sheffield, Department of Economics, revised May 2011.
    12. Lee, J. & Chinn, M.D., 1998. "The Current Account and the Real Exchange Rate: A Structural VAR Analysis of Major Currencies," Papers 97-98-17, California Irvine - School of Social Sciences.
    13. Guilherme Moura & Sergio Da Silva, 2005. "Testing the Equilibrium Exchange Rate Model," International Finance 0505018, University Library of Munich, Germany.
    14. Huang, Ying & Guo, Feng, 2007. "The role of oil price shocks on China's real exchange rate," China Economic Review, Elsevier, vol. 18(4), pages 403-416.
    15. Lothian, James R., 2016. "Purchasing power parity and the behavior of prices and nominal exchange rates across exchange-rate regimes," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 5-21.
    16. S Coleman & J C Cuestas & E Mourelle, 2016. "Investigating the oil price-exchange rate nexus: evidence from Africa 1970-2004," Economic Issues Journal Articles, Economic Issues, vol. 21(2), pages 53-79, September.
    17. Apostolos Serletis, 1994. "Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 476-493, September.
    18. Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance 9502001, University Library of Munich, Germany.
    19. James R. Lothian & John Devereux, 2011. "Exchange rates and prices in the Netherlands and Britain over the past four centuries," Working Papers 135, Bank of Greece.
    20. Lee,J. & Chinn,M.D., 2004. "Current account and real exchange rate dynamics in the G-7 countries," Working papers 11, Wisconsin Madison - Social Systems.
    21. Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
    22. Seiha Ok & Makoto Kakinaka & Hiroaki Miyamoto, 2010. "Real Shock or Nominal Shock? Exchange Rate Movements in Cambodia and Lao PDR," Working Papers EMS_2010_05, Research Institute, International University of Japan.
    23. Enders, Walter & Lee, Bong-Soo, 1997. "Accounting for real and nominal exchange rate movements in the post-Bretton Woods period," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 233-254, April.
    24. Clarida, Richard & Galí, Jordi, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," CEPR Discussion Papers 951, C.E.P.R. Discussion Papers.
    25. Rabah Arezki & Klaus Deininger & Harris Selod, 2012. "What drives the global rush?," NCID Working Papers 02/2012, Navarra Center for International Development, University of Navarra.
    26. Kempa, Bernd, 2003. "An oversimplified inquiry into the sources of exchange rate variability," IBES Diskussionsbeiträge 129, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).
    27. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
    28. Sfia, Mohamed Daly, 2006. "Tunisia: Sources Of Real Exchange Rate Fluctuations," MPRA Paper 3129, University Library of Munich, Germany.
    29. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, AccessEcon, vol. 6(2), pages 1-11.
    30. Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
    31. Davis, George K. & Miller, Norman C., 1996. "Exchange rate mean reversion from real shocks within an intertemporal equilibrium model," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 947-967, December.
    32. Narayan, Paresh Kumar, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, Elsevier, vol. 17(4), pages 338-351, December.
    33. Mariam CAMARERO & Juan Carlos CUESTAS & Javier ORDÓÑEZ, 2008. "The Role Of Commodity Terms Of Trade In The Determination Of The Real Exchange Rates Of The Mediterranean Countries," The Developing Economies, Institute of Developing Economies, vol. 46(2), pages 188-205, June.
    34. Lothian, James R., 1998. "Some new stylized facts of floating exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 29-39, February.
    35. Paresh Kumar Narayan, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 338-351, December.
    36. Ana Luísa Gouvêa Abras & Rodrigo Marino Sekkel, 2003. "Choques Nominais e Reais na Taxa de Câmbio: Evidência Empírica para o Brasil Pós Desvalorização de 1999," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] c48, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    37. Mark S Astley & Anthony Garratt, 1998. "Exchange rates and prices: sources of sterling real exchange rate fluctuations 1973-94," Bank of England working papers 85, Bank of England.
    38. Haluk Erlat & Guzin Erlat, 1998. "Permanent and transitory shocks on real and nominal exchange rates in Turkey during the post-1980 period," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(4), pages 379-396, December.
    39. Yu-Hsi Chou, 2017. "Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks," Review of International Economics, Wiley Blackwell, vol. 25(1), pages 165-194, February.
    40. Guilherme, Moura & Sergio, Da Silva, 2006. "Testing the Equilibrium Exchange Rate Model - Updated," MPRA Paper 1871, University Library of Munich, Germany.
    41. Culver, Sarah E. & Papell, David H., 1995. "Real exchange rates under the gold standard: can they be explained by the trend break model?," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 539-548, August.
    42. Gadea, Maria-Dolores & Montanes, Antonio & Reyes, Marcelo, 2004. "The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1109-1136.
    43. Gabriel Rodriguez & Indira Romero, 2007. "The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 39(21), pages 2713-2722.
    44. Bergman, Michael & Cheung, Yin-Wong & Lai, Kon S., 2000. "Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices," Working Papers 2000:4, Lund University, Department of Economics.
    45. Milind M. Shrikhande, 1997. "The cost of doing business abroad and international capital market equilibrium," FRB Atlanta Working Paper 97-3, Federal Reserve Bank of Atlanta.
    46. Larry A Sjaastad, 1996. "Recent Evolution of the Chilean Real Exchange Rate," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(98), pages 109-132.
    47. Sjaastad, Larry A., 1998. "On exchange rates, nominal and real," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 407-439, June.
    48. Nicholas Apergis, 2003. "Testing Purchasing Power Parity: results from a new foreign exchange market," Applied Economics Letters, Taylor & Francis Journals, vol. 10(2), pages 91-95.
    49. Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero, 2007. "The Role Of Commodity Terms Of Trade In Determining The Real Exchange Rates Of Mediterranean Countries," Working Papers. Serie AD 2007-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

  51. Martin D. Evans, 1992. "The Changing Nature of the Output-Inflation Trade-off," Working Papers 92-17, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
    2. Anthony Yates, 1998. "Downward nominal rigidity and monetary policy," Bank of England working papers 82, Bank of England.

  52. Martin D. Evans & Karen K. Lewis, 1992. "Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets," NBER Working Papers 4003, National Bureau of Economic Research, Inc.

    Cited by:

    1. Frankel, Jeffrey A. & Rose, Andrew K., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers 233409, University of California-Berkeley, Department of Economics.
    2. Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
    3. Martin D. Evans & Karen K. Lewis, 1992. "Trends in Expected Returns in Currency and Bond Markets," NBER Working Papers 4116, National Bureau of Economic Research, Inc.
    4. Nikolaou, Agelike & Velentzas, Kostas, 2001. "Estimating the Demand for Cigarettes in Greece: An Error Correction Model," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 2(01), pages 1-8, January.

  53. Martin D. Evans & Karen K. Lewis, 1992. "Trends in Excess Returns in Currency and Bond Markets," Working Papers 92-32, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Min-woo Kang, 2019. "Currency Market Efficiency Revisited: Evidence from Korea," IJFS, MDPI, vol. 7(3), pages 1-17, September.
    2. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
    3. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    4. Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
    5. Naci Akdemir & Serkan Yenal, 2021. "How Phishers Exploit the Coronavirus Pandemic: A Content Analysis of COVID-19 Themed Phishing Emails," SAGE Open, , vol. 11(3), pages 21582440211, July.
    6. Delcoure, Natalya & Barkoulas, John & Baum, Christopher F. & Chakraborty, Atreya, 2003. "The forward rate unbiasedness hypothesis reexamined: evidence from a new test," Global Finance Journal, Elsevier, vol. 14(1), pages 83-93, May.
    7. Chang‐Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
    8. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
    9. Philip Rothman, "undated". "Table of Contents, List of Contributors, and Introduction to NONLINEAR TIME SERIES ANALYSIS OF ECONOMIC AND FINANCIAL DATA, Kluwer Academic Press, edited," Working Papers 9812, East Carolina University, Department of Economics.
    10. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
    11. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
    12. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
    13. Marie-Josée Godbout & Simon van Norden, 1996. "Unit-Root Test and Excess Returns," Staff Working Papers 96-10, Bank of Canada.
    14. Chakraborty, Avik, 2009. "Learning, The Forward Premium Puzzle, And Market Efficiency," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 31-57, May.
    15. Natalya Delcoure & John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test," Boston College Working Papers in Economics 464, Boston College Department of Economics.
    16. Christodoulakis, Nicos M. & Kalyvitis, Sarantis C., 1997. "Efficiency testing revisited: a foreign exchange market with Bayesian learning," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 367-385, June.
    17. Nelson C. Mark & Yangru Wu, 1997. "Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity," Tinbergen Institute Discussion Papers 97-041/2, Tinbergen Institute.

  54. Martin D. Evans & Karen K. Lewis, 1992. "Do Stationary Risk Premia Explain It All? Evidence from the Term Structure," Working Papers 92-11, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.
    2. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    3. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1998. "Interest Rates in Germany and the UK: Cointegration and Error Correction Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 27-43, January.
    4. Boero, Gianna & Torricelli, Costanza, 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: some comparative evidence," Economic Research Papers 268794, University of Warwick - Department of Economics.
    5. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
    6. James D. Hamilton & Tatsuyoshi Okimoto, 2010. "Sources of Variation in Holding Returns for Fed Funds Futures Contracts," NBER Working Papers 15736, National Bureau of Economic Research, Inc.
    7. Casper de Vries & Xuedong Wang, 2015. "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 15-066/VI, Tinbergen Institute.
    8. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999. "Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries," Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
    9. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
    10. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    11. Luisa Malaguti & Costanza Torricelli, 2001. "The rational expectation dynamics of a model for the term structure and monetary policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 137-152, November.
    12. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400.
    13. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    14. Carstensen, Kai, 2006. "Stock market downswing and the stability of European monetary union money demand," Munich Reprints in Economics 19940, University of Munich, Department of Economics.
    15. Dong Heon Kim, 2008. "Another Look at Yield Spreads: The Role of Liquidity," Southern Economic Journal, John Wiley & Sons, vol. 74(4), pages 952-970, April.
    16. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-239, July.
    17. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    18. Éric Jondeau & Roland Ricart, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
    19. Giovanna Paladino & Gianluca Salsecci, 1999. "Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien," Économie et Prévision, Programme National Persée, vol. 140(4), pages 45-62.
    20. Ilias Lekkos, 2003. "Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 799-828, June.
    21. Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2017. "Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 1-28, July.
    22. Roberds, William & Whiteman, Charles H., 1999. "Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 555-580, December.
    23. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Division of Economics, School of Business, University of Leicester.
    24. Bams, Dennis & Wolff, Christian C. P., 2003. "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 211-236, July.
    25. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
    26. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 592-608, June.
    27. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    28. Martin D. Evans & Karen K. Lewis, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," Working Papers 92-22, New York University, Leonard N. Stern School of Business, Department of Economics.
    29. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
    30. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
    31. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
    32. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
    33. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2011. "Inflation and the fiscal limit," European Economic Review, Elsevier, vol. 55(1), pages 31-47, January.
    34. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
    35. Carstensen, Kai, 2003. "Nonstationary term premia and cointegration of the term structure," Economics Letters, Elsevier, vol. 80(3), pages 409-413, September.
    36. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
    37. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
    38. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
    39. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1202-1212, May.
    40. Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
    41. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. "\"Peso problem\" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
    42. Ron Lange, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
    43. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
    44. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
    45. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, University Library of Munich, Germany.
    46. Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos de Trabajo del ICAE 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    47. Markku Lanne, 2003. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift," Manchester School, University of Manchester, vol. 71(s1), pages 54-67, September.
    48. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
    49. M. Isabel Martínez-Serna & Eliseo Navarro-Arribas, 2002. "El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española," Investigaciones Economicas, Fundación SEPI, vol. 26(2), pages 323-357, May.
    50. Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    51. Kosfeld Reinhold, 2002. "Asset Price Channel and Financial Markets / Vermögenstheoretischer Transmissionsmechanismus und Finanzmärkte," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(4), pages 440-462, August.
    52. Markku Lanne, 1999. "Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 393-398, August.
    53. Kugler, Peter, 1996. "The term structure of interest rates and regime shifts: Some empirical results," Economics Letters, Elsevier, vol. 50(1), pages 121-126, January.
    54. Markus Leippold & Liuren Wu, 2003. "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, vol. 7(1), pages 47-73.
    55. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Economics Discussion Paper Series 0611, Economics, The University of Manchester.
    56. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
    57. Kurita, Takamitsu, 2016. "Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 74-80.
    58. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
    59. Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
    60. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
    61. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, vol. 55(1), pages 115-120, August.
    62. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
    63. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-380, August.
    64. Sridhar Iyer, 2000. "The relationship between short-term and forward interest rates: a structural time-series analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 143-153.
    65. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281.
    66. Dieter Nautz & Jürgen Wolters, 1999. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 397-412, September.
    67. D H Kim, 2003. "Another Look at Yield Spreads: The Role of Liquidity," Economics Discussion Paper Series 0306, Economics, The University of Manchester.
    68. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
    69. Richard Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 105-112.
    70. Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016. "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 281-294.
    71. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    72. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
    73. Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-31, May.
    74. Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annals of Economics and Statistics, GENES, issue 54, pages 23-45.
    75. Marie-Josée Godbout & Simon van Norden, 1996. "Unit-Root Test and Excess Returns," Staff Working Papers 96-10, Bank of Canada.
    76. Sridhar Iyer, 1997. "Time-Varying Term Premia And The Behavior Of Forward Interest Rate Prediction Errors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 503-507, December.
    77. D H Kim, 2002. "Another look at yield spreads: The role of liquidity," Centre for Growth and Business Cycle Research Discussion Paper Series 04, Economics, The University of Manchester.
    78. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    79. Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
    80. Salomon Marcelo F., 2001. "The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
    81. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
    82. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
    83. Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
    84. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-621, November.
    85. Christodoulakis, Nicos M. & Kalyvitis, Sarantis C., 1997. "Efficiency testing revisited: a foreign exchange market with Bayesian learning," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 367-385, June.
    86. Bekdache, Basma, 2001. "Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(7), pages 519-539, November.
    87. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    88. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
    89. Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
    90. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
    91. Li, Yuming, 2001. "Expected Returns and Habit Persistence," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
    92. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
    93. Walid Hejazi & Zhixin Li, 2000. "Are forward premia mean reverting?," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 343-350.
    94. Enzo Weber & Jürgen Wolters, 2012. "The US term structure and central bank policy," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 41-45, January.

  55. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martin D. Evans & Karen K. Lewis, 1992. "Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets," NBER Working Papers 4003, National Bureau of Economic Research, Inc.
    2. Dieter Nautz & Jürgen Wolters, 1999. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 397-412, September.

  56. Martin D. Evans & Paul Wachtel, 1990. "A Modern Look At Asset Pricing and Short-Term Interest Rates," NBER Working Papers 3245, National Bureau of Economic Research, Inc.

    Cited by:

    1. Keshab Shrestha & Sheng‐Syan Chen & Cheng‐few Lee, 2002. "Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(3), pages 305-320, September.
    2. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.

Articles

  1. Isobel E M Evans & David J Llewellyn & Fiona E Matthews & Robert T Woods & Carol Brayne & Linda Clare & on behalf of the CFAS-Wales research team, 2018. "Social isolation, cognitive reserve, and cognition in healthy older people," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-14, August.

    Cited by:

    1. Kacie Seil & Shengchao Yu & Howard Alper, 2019. "A Cognitive Reserve and Social Support-Focused Latent Class Analysis to Predict Self-Reported Confusion or Memory Loss among Middle-Aged World Trade Center Health Registry Enrollees," IJERPH, MDPI, vol. 16(8), pages 1-12, April.
    2. Juri Yamazaki & Masashi Kizuki & Takeo Fujiwara, 2022. "Association between Frequency of Conversations and Suicidal Ideation among Medical Students during COVID-19 Pandemic in Japan," IJERPH, MDPI, vol. 19(11), pages 1-9, May.
    3. Rachel L. Peterson & Kristen M. George & Duyen Tran & Pallavi Malladi & Paola Gilsanz & Amy J. H. Kind & Rachel A. Whitmer & Lilah M. Besser & Oanh L. Meyer, 2021. "Operationalizing Social Environments in Cognitive Aging and Dementia Research: A Scoping Review," IJERPH, MDPI, vol. 18(13), pages 1-19, July.
    4. Fletcher, Jason & Topping, Michael & Zheng, Fengyi & Lu, Qiongshi, 2021. "The effects of education on cognition in older age: Evidence from genotyped Siblings," Social Science & Medicine, Elsevier, vol. 280(C).
    5. José Cárdenas & María J. Blanca & Fernando Carvajal & Sandra Rubio & Carmen Pedraza, 2021. "Emotional Processing in Healthy Ageing, Mild Cognitive Impairment, and Alzheimer’s Disease," IJERPH, MDPI, vol. 18(5), pages 1-14, March.

  2. Yixia Cai & Martin Evans, 2018. "Informal Transfers in Comparisons of Income Distributions: Lessons from Rich and Middle-Income Countries," Journal of Income Distribution, Ad libros publications inc., vol. 26(2), pages 1-20, July.
    See citations under working paper version above.
  3. Karen S Palmer & Adalsteinn D Brown & Jenna M Evans & Husayn Marani & Kirstie K Russell & Danielle Martin & Noah M Ivers, 2018. "Qualitative analysis of the dynamics of policy design and implementation in hospital funding reform," PLOS ONE, Public Library of Science, vol. 13(1), pages 1-18, January.

    Cited by:

    1. Alex Proshin & Adrian Rohit Dass & Lise Rochaix & Audrey Laporte, 2020. "Impact of Quality-Based Procedures on Orthopedic Care Quantity and Quality in Ontario Hospitals," Working Papers 200002, Canadian Centre for Health Economics.

  4. Newhouse, David & Suárez Becerra, Pablo & Evans, Martin, 2017. "New global estimates of child poverty and their sensitivity to alternative equivalence scales," Economics Letters, Elsevier, vol. 157(C), pages 125-128.

    Cited by:

    1. Abanokova, Kseniya & Dang, Hai-Anh H & Lokshin, Michael, 2020. "The Important Role of Equivalence Scales: Household Size, Composition, and Poverty Dynamics in Russia," IZA Discussion Papers 13043, Institute of Labor Economics (IZA).
    2. Jolliffe, Dean & Baah, Samuel Kofi Tetteh, 2024. "Identifying the poor – Accounting for household economies of scale in global poverty estimates," World Development, Elsevier, vol. 179(C).
    3. Martin Evans, 2018. "Simulating policy options for universal child allowances in Ghana," WIDER Working Paper Series wp-2018-145, World Institute for Development Economic Research (UNU-WIDER).
    4. Kseniya Abanokova & Hai‐Anh H. Dang & Michael Lokshin, 2022. "Do Adjustments for Equivalence Scales Affect Poverty Dynamics? Evidence from the Russian Federation during 1994–2017," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 68(S1), pages 167-192, April.
    5. Abanokova, Kseniya & Dang, Hai-Anh H. & Lokshin, Michael M., 2020. "The Important Role of Equivalence Scales: Household Size, Composition, and Poverty Dynamics in the Russian Federation," GLO Discussion Paper Series 568, Global Labor Organization (GLO).
    6. Christos Koulovatianos & Carsten Schröder, 2022. "Income-Dependent Equivalence Scales and Choice Theory: Implications for Poverty Measurement," Discussion Papers of DIW Berlin 1991, DIW Berlin, German Institute for Economic Research.
    7. Oliver Fiala & Enrique Delamónica & Gerardo Escaroz & Ismael Cid Martinez & José Espinoza-Delgado & Aristide Kielem, 2021. "Children in Monetary Poor Households: Baseline and COVID-19 Impact for 2020 and 2021," Economics of Disasters and Climate Change, Springer, vol. 5(2), pages 161-176, July.
    8. Munoz Boudet,Ana Maria & Bhatt,Antra & Azcona,Ginette & Yoo,Jayne Jungsun & Beegle,Kathleen G., 2021. "A Global View of Poverty, Gender, and Household Composition," Policy Research Working Paper Series 9553, The World Bank.
    9. Yixia Cai & Timothy Smeeding, 2019. "Deep and Extreme Child Poverty in Rich and Poor Nations: Lessons from Atkinson for the Fight Against Child Poverty," LIS Working papers 780, LIS Cross-National Data Center in Luxembourg.
    10. Yixia Cai & Timothy Smeeding, 2020. "Deep and Extreme Child Poverty in Rich and Poor Nations: Lessons from Atkinson for the Fight Against Child Poverty," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 6(1), pages 109-128, March.

  5. D.D. Evans, Martin, 2017. "External balances, trade and financial conditions," Journal of International Economics, Elsevier, vol. 107(C), pages 165-184.
    See citations under working paper version above.
  6. Evans, Martin D.D. & Rime, Dagfinn, 2016. "Order flow information and spot rate dynamics," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 45-68.
    See citations under working paper version above.
  7. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
    See citations under working paper version above.
  8. Evans, Martin D.D., 2014. "External balances, trade flows and financial conditions," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 271-290.
    See citations under working paper version above.
  9. Lavinia Paternoster & Mattias Lorentzon & Terho Lehtimäki & Joel Eriksson & Mika Kähönen & Olli Raitakari & Marika Laaksonen & Harri Sievänen & Jorma Viikari & Leo-Pekka Lyytikäinen & Dan Mellström & , 2013. "Genetic Determinants of Trabecular and Cortical Volumetric Bone Mineral Densities and Bone Microstructure," PLOS Genetics, Public Library of Science, vol. 9(2), pages 1-15, February.

    Cited by:

    1. Brahim Aissani & Howard W Wiener & Kui Zhang, 2016. "Fine Mapping of the Body Fat QTL on Human Chromosome 1q43," PLOS ONE, Public Library of Science, vol. 11(4), pages 1-13, April.
    2. John P Kemp & Carolina Medina-Gomez & Karol Estrada & Beate St Pourcain & Denise H M Heppe & Nicole M Warrington & Ling Oei & Susan M Ring & Claudia J Kruithof & Nicholas J Timpson & Lisa E Wolber & S, 2014. "Phenotypic Dissection of Bone Mineral Density Reveals Skeletal Site Specificity and Facilitates the Identification of Novel Loci in the Genetic Regulation of Bone Mass Attainment," PLOS Genetics, Public Library of Science, vol. 10(6), pages 1-18, June.

  10. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.

    Cited by:

    1. Bergin, Paul R. & Pyun, Ju Hyun, 2016. "International portfolio diversification and multilateral effects of correlations," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
    2. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    3. Philippe Bacchetta & Simon Tièche & Eric van Wincoop, 2020. "International Portfolio Choice with Frictions: Evidence from Mutual Funds," Swiss Finance Institute Research Paper Series 20-46, Swiss Finance Institute.
    4. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "External Adjustment, Global Imbalances, Valuation Effects," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 585-645, Elsevier.
    5. Oliver DeGroot, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).
    6. Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
    7. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
    8. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    9. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    10. Jonathan J. Adams & Mr. Philip Barrett, 2017. "Why are Countries’ Asset Portfolios Exposed to Nominal Exchange Rates?," IMF Working Papers 2017/291, International Monetary Fund.
    11. Bruno Bonizzi, 2013. "Capital Flows to Emerging Markets: An alternative Theoretical Framework," Working Papers 186, Department of Economics, SOAS University of London, UK.
    12. Dlugoszek, Grzegorz R., 2016. "Solving DSGE portfolio choice models with asymmetric countries," SFB 649 Discussion Papers 2016-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Zhang, Ning, 2019. "Country portfolios under global imbalances," European Economic Review, Elsevier, vol. 119(C), pages 302-317.
    14. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
    15. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    16. Bengui, Julien & Nguyen, Ha, 2011. "Consumption baskets and currency choice in international borrowing," Policy Research Working Paper Series 5870, The World Bank.
    17. Pierre-Olivier Gourinchas & Hélène Rey, 2013. "External Adjustment, Global Imbalances and Valuation Effects," NBER Working Papers 19240, National Bureau of Economic Research, Inc.
    18. Rabitsch, Katrin & Stepanchuk, Serhiy, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Paper Series 162, WU Vienna University of Economics and Business.
    19. Marcin Kolasa, 2021. "Equilibrium Foreign Currency Mortgages," IMF Working Papers 2021/084, International Monetary Fund.
    20. Tille, Cédric & van Wincoop, Eric, 2014. "Solving DSGE portfolio choice models with dispersed private information," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 1-24.
    21. Aquino, Juan Carlos, 2018. "The Valuation Channel of External Adjustment in Small Open Economies," Working Papers 2018-011, Banco Central de Reserva del Perú.
    22. Sergio Salas, 2020. "Precautionary Money Demand in a Cash-in-Advance Model," Working Papers 2020-03, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso.
    23. Jonathan J Adams & Philip Barrett, 2017. "Resolving International Macro Puzzles with Imperfect Risk Sharing and Global Solution Methods," Working Papers 001003, University of Florida, Department of Economics.

  11. Zari Dastani & Marie-France Hivert & Nicholas Timpson & John R B Perry & Xin Yuan & Robert A Scott & Peter Henneman & Iris M Heid & Jorge R Kizer & Leo-Pekka Lyytikäinen & Christian Fuchsberger & Tosh, 2012. "Novel Loci for Adiponectin Levels and Their Influence on Type 2 Diabetes and Metabolic Traits: A Multi-Ethnic Meta-Analysis of 45,891 Individuals," PLOS Genetics, Public Library of Science, vol. 8(3), pages 1-23, March.

    Cited by:

    1. Jingjing Wu & Zheng Liu & Kai Meng & Ling Zhang, 2014. "Association of Adiponectin Gene (ADIPOQ) rs2241766 Polymorphism with Obesity in Adults: A Meta-Analysis," PLOS ONE, Public Library of Science, vol. 9(4), pages 1-9, April.
    2. Yuwei Dong & Gongping Huang & Xin Wang & Zhaoming Chu & Jingzhi Miao & Houwen Zhou, 2020. "Meta-analysis of the association between adiponectin SNP 45, SNP 276, and type 2 diabetes mellitus," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-15, October.
    3. Gavin Band & Quang Si Le & Luke Jostins & Matti Pirinen & Katja Kivinen & Muminatou Jallow & Fatoumatta Sisay-Joof & Kalifa Bojang & Margaret Pinder & Giorgio Sirugo & David J Conway & Vysaul Nyirongo, 2013. "Imputation-Based Meta-Analysis of Severe Malaria in Three African Populations," PLOS Genetics, Public Library of Science, vol. 9(5), pages 1-13, May.
    4. Meng Gao & Daxia Ding & Jinghua Huang & Yali Qu & Yu Wang & Qingyang Huang, 2013. "Association of Genetic Variants in the Adiponectin Gene with Metabolic Syndrome: A Case-Control Study and a Systematic Meta-Analysis in the Chinese Population," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-10, April.

  12. Martin D. D. Evans & Richard K. Lyons, 2012. "Exchange Rate Fundamentals and Order Flow," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-63.
    See citations under working paper version above.
  13. Lavinia Paternoster & David M Evans & Ellen Aagaard Nohr & Claus Holst & Valerie Gaborieau & Paul Brennan & Anette Prior Gjesing & Niels Grarup & Daniel R Witte & Torben Jørgensen & Allan Linneberg & , 2011. "Genome-Wide Population-Based Association Study of Extremely Overweight Young Adults – The GOYA Study," PLOS ONE, Public Library of Science, vol. 6(9), pages 1-9, September.

    Cited by:

    1. Marie Neergaard Harder & Emil Vincent Rosenbaum Appel & Niels Grarup & Anette Prior Gjesing & Tarunveer S Ahluwalia & Torben Jørgensen & Cramer Christensen & Ivan Brandslund & Allan Linneberg & Thorki, 2015. "The Type 2 Diabetes Risk Allele of TMEM154-rs6813195 Associates with Decreased Beta Cell Function in a Study of 6,486 Danes," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-13, March.
    2. Bo Xi & Giriraj R Chandak & Yue Shen & Qijuan Wang & Donghao Zhou, 2012. "Association between Common Polymorphism near the MC4R Gene and Obesity Risk: A Systematic Review and Meta-Analysis," PLOS ONE, Public Library of Science, vol. 7(9), pages 1-7, September.
    3. Merete Ellingjord-Dale & Nikos Papadimitriou & Michail Katsoulis & Chew Yee & Niki Dimou & Dipender Gill & Dagfinn Aune & Jue-Sheng Ong & Stuart MacGregor & Benjamin Elsworth & Sarah J Lewis & Richard, 2021. "Coffee consumption and risk of breast cancer: A Mendelian randomization study," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-15, January.
    4. Nicole M Warrington & Yan Yan Wu & Craig E Pennell & Julie A Marsh & Lawrence J Beilin & Lyle J Palmer & Stephen J Lye & Laurent Briollais, 2013. "Modelling BMI Trajectories in Children for Genetic Association Studies," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-12, January.

  14. Evans, Martin D.D., 2010. "Order flows and the exchange rate disconnect puzzle," Journal of International Economics, Elsevier, vol. 80(1), pages 58-71, January.
    See citations under working paper version above.
  15. Patricia M. Evans, 2009. "Lone mothers, workfare and precarious employment: Time for a Canadian Basic Income?," International Social Security Review, John Wiley & Sons, vol. 62(1), pages 45-63, January.

    Cited by:

    1. Jiaqi Yang & Geetha Mohan & Supriya Pipil & Kensuke Fukushi, 2021. "Review on basic income (BI): its theories and empirical cases," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 23(2), pages 203-239, December.
    2. Cameron, Anna & Tedds, Lindsay M., 2020. "Gender-based analyisis plus (GBA+) and Intersectionality: Overview, an enhanced framework, and B.C. Case Study," MPRA Paper 105936, University Library of Munich, Germany.

  16. Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
    See citations under working paper version above.
  17. Martin D D Evans & Viktoria V Hnatkovska, 2007. "International Financial Integration and the Real Economy," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 220-269, June.

    Cited by:

    1. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    2. Varella Mollick, Andre & Torres, Rene Cabral & Carneiro, Francisco G., 2008. "Does Inflation Targeting Matter for Output Growth? Evidence from Industrial and Emerging Economies," Policy Research Working Paper Series 4791, The World Bank.
    3. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    4. Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration under EMU," European Economy - Economic Papers 2008 - 2015 312, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    5. Feriansyah & Noer Azam Achsani & Tony Irawan, 2018. "The Effect Of Financial Liberalization And Capital Flows On Income Volatility In Asia-Pacific," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(3), pages 257-278, January.
    6. Lathaporn Ratanavararak, 2018. "The Impact of Imperfect Financial Integration and Trade on Macroeconomic Volatility and Welfare in Emerging Markets," PIER Discussion Papers 79, Puey Ungphakorn Institute for Economic Research.

  18. Martin D. Evans & Viktoria V. Hnatkovska, 2007. "Financial Integration, Macroeconomic Volatility, and Welfare," Journal of the European Economic Association, MIT Press, vol. 5(2-3), pages 500-508, 04-05.
    See citations under working paper version above.
  19. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
    See citations under working paper version above.
  20. Martin D. D. Evans & Richard K. Lyons, 2006. "Understanding order flow," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 3-23.
    See citations under working paper version above.
  21. Martin D. D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, vol. 95(2), pages 405-414, May.
    See citations under working paper version above.
  22. Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
    See citations under working paper version above.
  23. Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.
    See citations under working paper version above.
  24. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
    See citations under working paper version above.
  25. Evans, Martin D. D. & Lyons, Richard K., 2002. "Time-varying liquidity in foreign exchange," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 1025-1051, July.
    See citations under working paper version above.
  26. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
    See citations under working paper version above.
  27. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
    See citations under working paper version above.
  28. Martin D. D. Evans, 1998. "Dividend Variability and Stock Market Swings," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(4), pages 711-740.
    See citations under working paper version above.
  29. Evans, Martin D D & Lewis, Karen K, 1995. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Journal of Finance, American Finance Association, vol. 50(1), pages 225-253, March.
    See citations under working paper version above.
  30. Evans, Martin D D & Lewis, Karen K, 1995. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 709-742.
    See citations under working paper version above.
  31. Evans, Martin D D, 1994. "Expected Returns, Time-Varying Risk, and Risk Premia," Journal of Finance, American Finance Association, vol. 49(2), pages 655-679, June.
    See citations under working paper version above.
  32. Evans, Martin D. D. & Lewis, Karen K., 1994. "Do stationary risk premia explain it all?: Evidence from the term structure," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 285-318, April.
    See citations under working paper version above.
  33. Evans, Martin & Wachtel, Paul, 1993. "Were price changes during the Great Depression anticipated? : Evidence from nominal interest rates," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 3-34, August.
    See citations under working paper version above.
  34. Evans, Martin & Wachtel, Paul, 1993. "Inflation Regimes and the," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 475-511, August.

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    1. J. Peter Ferderer, 1999. "Credibility of the Interwar Gold Standard, Uncertainty, and the Great Depression," Macroeconomics 9907002, University Library of Munich, Germany.
    2. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    3. Burdekin, Richard C. K. & Burkett, Paul, 1996. "Hyperinflation, the exchange rate and endogenous money: post-World War I Germany revisited," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 599-621, August.
    4. Chi-Wei Su & Hui Yu & Hsu-Ling Chang & Xiao-Lin Li, 2017. "How does inflation determine inflation uncertainty? A Chinese perspective," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(3), pages 1417-1434, May.
    5. Mendy, David & Widodo, Tri, 2018. "On the Inflation-Uncertainty Hypothesis in The Gambia: A Multi-Sample View on Causality Linkages," MPRA Paper 86743, University Library of Munich, Germany.
    6. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2002. "Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach," Working Paper Series 123, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    7. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    8. George Hondroyiannis & Sophia Lazaretou, 2004. "Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data," Working Papers 13, Bank of Greece.
    9. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008. "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1816-1836, December.
    10. Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
    11. James Yetman, 2001. "Gaining Credibility for Inflation Targets," Computing in Economics and Finance 2001 34, Society for Computational Economics.
    12. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
    13. Neil Dias Karunaratne & Ramprasad Bhar, 2010. "Regime-Shifts & Post-Float Inflation Dynamics In Australia," Discussion Papers Series 405, School of Economics, University of Queensland, Australia.
    14. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001. "Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market," Working Paper Series 112, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    15. Bredin, Don & Fountas, Stilianos, 2018. "US inflation and inflation uncertainty over 200 years," Financial History Review, Cambridge University Press, vol. 25(2), pages 141-159, August.
    16. Vincent Dropsy & Nathalie Grand, 2004. "Exchange Rate and Inflation Targeting in Morocco and Tunisia," Working Papers 0421, Economic Research Forum, revised 10 2004.
    17. Christopher Ragan, 1998. "On the Believable Benefits of Low Inflation," Staff Working Papers 98-15, Bank of Canada.
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    21. Lien Duong, 2013. "Aggregate Australian Takeovers: A Review of Markov Regime Switching Models," International Review of Finance, International Review of Finance Ltd., vol. 13(4), pages 529-558, December.
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    25. Ciżkowicz, Piotr & Rzońca, Andrzej, 2010. "Inflation and corporate investment in selected OECD countries in the years 1960-2005 – an empirical analysis," MPRA Paper 29846, University Library of Munich, Germany.
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    45. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
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    48. Kuang‐Liang Chang & Chi‐Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, March.
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    52. William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
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    54. Kushal Banik Chowdhury & Kaustav Kanti Sarkar & Srikanta Kundu, 2021. "Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 469-493, July.
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    65. Bipradas Rit, 2012. "The Relationship between Inflation, Inflation Uncertainty and Output Growth in India," Working Papers 1211, Indian Institute of Foreign Trade.
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    80. Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.
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Chapters

  1. Martin D. D. Evans & Karen K. Lewis, 2017. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 3, pages 59-99, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  2. Martin D. D. Evans & Karen K. Lewis, 2017. "Trends in Excess Returns in Currency and Bond Markets," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 2, pages 39-57, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  3. Martin D. D. Evans & Dagfinn Rime, 2017. "Order Flow Information and Spot Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 17, pages 725-776, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  4. Martin D. D. Evans & Richard K. Lyons, 2017. "How is Macro News Transmitted to Exchange Rates?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  5. Martin D. D. Evans & Richard K. Lyons, 2017. "Are Different-Currency Assets Imperfect Substitutes?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 10, pages 415-456, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  6. Martin D. D. Evans & Richard K. Lyons, 2017. "Exchange Rate Fundamentals and Order Flow," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 16, pages 645-724, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  7. Martin D. D. Evans & Richard K. Lyons, 2017. "Time-Varying Liquidity in Foreign Exchange," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 8, pages 325-361, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  8. Martin D. D. Evans & James R. Lothian, 2017. "The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 1, pages 3-38, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  9. Martin D. D. Evans & Richard K. Lyons, 2017. "Understanding Order Flow," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 13, pages 507-546, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  10. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  11. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  12. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  13. Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  14. Martin D. D. Evans & Richard K. Lyons, 2017. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 11, pages 457-475, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  15. Martin D. D. Evans, 2017. "Exchange-Rate Dark Matter," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 4, pages 101-185, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  16. Martin D. D. Evans, 2017. "Order Flows and the Exchange Rate Disconnect Puzzle," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 15, pages 599-643, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  17. Martin D. D. Evans & Richard K. Lyons, 2017. "Informational Integration and FX Trading," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 7, pages 291-324, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  18. Martin D. D. Evans, 2011. "Macro Models without Frictions," Introductory Chapters, in: Exchange-Rate Dynamics, Princeton University Press.

    Cited by:

    1. Ravenscroft, Sue & Williams, Paul F., 2021. "Sustaining discreditable accounting research through ignorance: The mainstream elite’s response to the 2008 financial crisis," Accounting, Organizations and Society, Elsevier, vol. 95(C).

Books

  1. Martin D D Evans, 2017. "Studies in Foreign Exchange Economics," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10222, September.

    Cited by:

    1. Eleftheria Koniari, 2017. "Greek Foreign Direct Investments In South-Eastern Europe," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 13(1), pages 67-83.
    2. Delaney, Judith M. & Devereux, Paul J., 2019. "Understanding gender differences in STEM: Evidence from college applications✰," Economics of Education Review, Elsevier, vol. 72(C), pages 219-238.
    3. Jiang, Jiangang & Zhang, Jianhong, 2023. "Does political ideology matter in Chinese cross-border acquisitions?," Journal of Business Research, Elsevier, vol. 161(C).
    4. Ulrike Famira-Mühlberger & Birgit Trukeschitz, 2023. "Zur öffentlichen Finanzierung der Langzeitpflege in Österreich," WIFO Monatsberichte (monthly reports), WIFO, vol. 96(12), pages 857-868, December.

  2. Martin D. D. Evans, 2011. "Exchange-Rate Dynamics," Economics Books, Princeton University Press, edition 1, number 9475.

    Cited by:

    1. Martin D. D. Evans & Richard K. Lyons, 2007. "Exchange Rate Fundamentals and Order Flow," NBER Working Papers 13151, National Bureau of Economic Research, Inc.
    2. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
    3. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    4. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    5. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    6. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
    7. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
    8. Benjamin Cohen & Hyun Song Shin, 2002. "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 148-180, Bank for International Settlements.
    9. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
    10. Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance 0409040, University Library of Munich, Germany.
    11. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
    12. Martin D. D. Evans, 2018. "FX Trading and Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~18-18-21, Georgetown University, Department of Economics.
    13. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    14. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
    15. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    16. Martin D. D. Evans, 2017. "Exchange-Rate Dark Matter," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 4, pages 101-185, World Scientific Publishing Co. Pte. Ltd..
    17. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
    18. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.
    19. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    20. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
    21. Müller-Plantenberg, Nikolas, 2012. "Long swings in Japan’s current account and in the yen," Working Papers in Economic Theory 2012/08, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    22. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    23. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    24. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    25. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    26. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    27. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo.
    28. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Traders, Market Microstructure and Exchange Rate Dynamics," NBER Working Papers 7416, National Bureau of Economic Research, Inc.
    29. Vasilyev, Dmitry (Васильев, Дмитрий) & Busygin, Vladimir (Бусыгин, Владимир) & Busygin, Sergei (Бусыгин, Сергей), 2016. "Testing and Interpreting Uncovered Interest Parity in Russia [Проверка И Интерпретация Выполнения Процентного Паритета В России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 35-55, August.

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