Robert James Hodrick
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:- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
Discussion Papers
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
Mentioned in:
- Potential supply, the output gap and inflation
by bankunderground in Bank Underground on 2016-01-25 13:30:48
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Kurt Annen, 2006. "HP-Filter DLL executable," QM&RBC Codes 167, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "Matlab functions for HP-filter," QM&RBC Codes 166, Quantitative Macroeconomics & Real Business Cycles.
- Ivailo Izvorski, "undated". "MATLAB code for the Hodrick-Prescott filter," QM&RBC Codes 1, Quantitative Macroeconomics & Real Business Cycles.
- Ken Matheny & Simon van Norden & Robert Vigfusson, 1989. "GAUSS code for the Hodrick-Prescott filter," QM&RBC Codes 2, Quantitative Macroeconomics & Real Business Cycles, revised Apr 1995.
- Kurt Annen, 2004. "HP-filter for Java," QM&RBC Codes 168, Quantitative Macroeconomics & Real Business Cycles.
- Morten Ravn, "undated". "GAUSS program for Hodrick-Prescott filter," QM&RBC Codes 101, Quantitative Macroeconomics & Real Business Cycles.
- Edward C. Prescott, 1982. "FORTRAN code for the Hodrick-Prescott filter," QM&RBC Codes 3, Quantitative Macroeconomics & Real Business Cycles.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Christian Zimmermann, 2005. "HP-Filter code (Perl)," QM&RBC Codes 98, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2006. "HP-Filter Excel Add-In," QM&RBC Codes 165, Quantitative Macroeconomics & Real Business Cycles.
- Morten Ravn, "undated". "Alternate GAUSS program for the Hodrick-Prescott Filter," QM&RBC Codes 102, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter (web interface)," QM&RBC Codes 97, Quantitative Macroeconomics & Real Business Cycles.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Kurt Annen, 2006. "HP-Filter DLL executable," QM&RBC Codes 167, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "Matlab functions for HP-filter," QM&RBC Codes 166, Quantitative Macroeconomics & Real Business Cycles.
- Ivailo Izvorski, "undated". "MATLAB code for the Hodrick-Prescott filter," QM&RBC Codes 1, Quantitative Macroeconomics & Real Business Cycles.
- Ken Matheny & Simon van Norden & Robert Vigfusson, 1989. "GAUSS code for the Hodrick-Prescott filter," QM&RBC Codes 2, Quantitative Macroeconomics & Real Business Cycles, revised Apr 1995.
- Kurt Annen, 2004. "HP-filter for Java," QM&RBC Codes 168, Quantitative Macroeconomics & Real Business Cycles.
- Morten Ravn, "undated". "GAUSS program for Hodrick-Prescott filter," QM&RBC Codes 101, Quantitative Macroeconomics & Real Business Cycles.
- Edward C. Prescott, 1982. "FORTRAN code for the Hodrick-Prescott filter," QM&RBC Codes 3, Quantitative Macroeconomics & Real Business Cycles.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Christian Zimmermann, 2005. "HP-Filter code (Perl)," QM&RBC Codes 98, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2006. "HP-Filter Excel Add-In," QM&RBC Codes 165, Quantitative Macroeconomics & Real Business Cycles.
- Morten Ravn, "undated". "Alternate GAUSS program for the Hodrick-Prescott Filter," QM&RBC Codes 102, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter (web interface)," QM&RBC Codes 97, Quantitative Macroeconomics & Real Business Cycles.
Mentioned in:
- List of examples of Stigler's law in Wikipedia (English)
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
Mentioned in:
- The CrossâSection of Volatility and Expected Returns (JF 2006) in ReplicationWiki ()
Working papers
- Robert J. Hodrick, 2020.
"An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data,"
NBER Working Papers
26750, National Bureau of Economic Research, Inc.
Cited by:
- Howes, Cooper, 2022.
"Why does structural change accelerate in recessions? The credit reallocation channel,"
Journal of Financial Economics, Elsevier, vol. 144(3), pages 933-952.
- Cooper Howes, 2020. "Why Does Structural Change Accelerate in Recessions? The Credit Reallocation Channel," Research Working Paper RWP 20-17, Federal Reserve Bank of Kansas City.
- Alban Moura, 2022.
"Why you should never use the Hodrick-Prescott Filter: Comment,"
BCL working papers
162, Central Bank of Luxembourg.
- Moura, Alban, 2022. "Why you should never use the Hodrick-Prescott filter: comment," MPRA Paper 114922, University Library of Munich, Germany.
- Moura, Alban, 2024. "Why You Should Never Use the Hodrick-Prescott Filter. A Comment on Hamilton (The Review of Economics and Statistics, 2018)," Journal of Comments and Replications in Economics (JCRE), ZBW - Leibniz Information Centre for Economics, vol. 3(2024-1), pages 1-17.
- Ameyaw, Emmanuel, 2024. "Business cycles in a cocoa and gold economy: Commodity price shocks do not always matter," Resources Policy, Elsevier, vol. 91(C).
- Iqbal, Javed & Mahmood, Fatima & Nosheen, Misbah & Wohar, Mark, 2023. "The asymmetric impact of exchange rate misalignment on economic growth of India: An application of Hodrick–Prescott filter technique," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 809-823.
- Srdelic, Leonarda & Davila-Fernandez, Marwil J., 2022. "Demographic transition and economic growth in 6-EU member states," MPRA Paper 112188, University Library of Munich, Germany.
- Quast, Josefine & Wolters, Maik H., 2019.
"Reliable Real-time Output Gap Estimates Based on a Modified Hamilton Filter,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203535, Verein für Socialpolitik / German Economic Association.
- Quast, Josefine & Wolters, Maik H., 2019. "Reliable real-time output gap estimates based on a modified Hamilton filter," IMFS Working Paper Series 133, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Josefine Quast & Maik H. Wolters, 2022. "Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 152-168, January.
- Quast, Josefine & Wolters, Maik H., 2020. "Reliable real-time output gap estimates based on a modified Hamilton filter," Kiel Working Papers 2158, Kiel Institute for the World Economy (IfW Kiel).
- Zsuzsanna Hosszu & Gergely Lakos, 2022. "Early Warning Performance of Univariate Credit-to-GDP Gaps," MNB Occasional Papers 2022/142, Magyar Nemzeti Bank (Central Bank of Hungary).
- Hall, Viv B & Thomson, Peter, 2020.
"Does Hamilton’s OLS regression provide a “better alternative” to the Hodrick-Prescott filter? A New Zealand Business Cycle Perspective,"
Working Paper Series
21070, Victoria University of Wellington, School of Economics and Finance.
- Viv B. Hall & Peter Thomson, 2021. "Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
- Christoph Görtz & Mallory Yeromonahos, 2019.
"Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles,"
CESifo Working Paper Series
7959, CESifo.
- Christoph Görtz & Mallory Yeromonahos, 2021. "Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles," Working Paper series 21-25, Rimini Centre for Economic Analysis.
- Christoph Görtz & Mallory Yeromonahos, 2021. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," CAMA Working Papers 2021-101, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Melina Dritsaki & Chaido Dritsaki, 2022. "Comparison of HP Filter and the Hamilton’s Regression," Mathematics, MDPI, vol. 10(8), pages 1-18, April.
- Yves Schueler, 2024.
"Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
- Yves Schueler, 2024. "Code and data files for "Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter"," Computer Codes 23-94, Review of Economic Dynamics.
- Yao, Fang, 2022. "Estimating the Trend of the House Price to Income Ratio in Ireland," Research Technical Papers 8/RT/22, Central Bank of Ireland.
- David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
- Ferreira, Thiago R.T. & Shousha, Samer, 2023. "Determinants of global neutral interest rates," Journal of International Economics, Elsevier, vol. 145(C).
- Jung, Yong-Gook & Kim, Jinyong, 2023. "Banks’ net interest rate spread and the transmission of monetary policy in Korea," Journal of Asian Economics, Elsevier, vol. 89(C).
- Chentong Sun & Naiqian Li, 2023. "Extracting business cycles with three filters: A comparative study and application in the case of China," Bulletin of Economic Research, Wiley Blackwell, vol. 75(2), pages 254-269, April.
- Giuliano Queiroz Ferreira & Leonardo Bornacki Mattos, 2022. "Regime-dependent price puzzle in the Brazilian economy: evidence from VAR and FAVAR approaches," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
- Geraldine Dany-Knedlik & Alexander Kriwoluzky & Sandra Pasch, 2021. "Income Business Cycles," Discussion Papers of DIW Berlin 1964, DIW Berlin, German Institute for Economic Research.
- Haug, Alfred A. & Sznajderska, Anna, 2024. "Government spending multipliers: Is there a difference between government consumption and investment purchases?," Journal of Macroeconomics, Elsevier, vol. 79(C).
- Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021.
"The impact of r-g on Euro-Area government spending multipliers,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
- Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2021. "The Impact of r-g on the Euro-Area Government Spending Multiplier," IMF Working Papers 2021/039, International Monetary Fund.
- Hall, Viv B & Thomson, Peter, 2022.
"A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy,"
Working Paper Series
21184, Victoria University of Wellington, School of Economics and Finance.
- Viv B. Hall & Peter Thomson, 2022. "A boosted HP filter for business cycle analysis:evidence from New Zealand's small open economy," CAMA Working Papers 2022-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Marques, André M. & Lima, Gilberto Tadeu, 2022. "Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization," Structural Change and Economic Dynamics, Elsevier, vol. 62(C), pages 290-312.
- Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023. "Sparse Trend Estimation," Staff Reports 1049, Federal Reserve Bank of New York.
- Joshua Bernstein & Michael D. Plante & Alexander W. Richter & Nathaniel A. Throckmorton, 2021. "Countercyclical Fluctuations in Uncertainty are Endogenous," Working Papers 2109, Federal Reserve Bank of Dallas.
- Tamás Sebestyén & Zita Iloskics, 2020. "Do economic shocks spread randomly?: A topological study of the global contagion network," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-22, September.
- Thiago Revil T. Ferreira & Samer Shousha, 2021. "Supply of Sovereign Safe Assets and Global Interest Rates," International Finance Discussion Papers 1315, Board of Governors of the Federal Reserve System (U.S.).
- Martin Fleming, 2021. "Productivity Growth and Capital Deepening in the Fourth Industrial Revolution," Working Papers 010, The Productivity Institute.
- Joshua Bernstein & Alexander W. Richter & Nathaniel A. Throckmorton, 2020. "The Business Cycle Mechanics of Search and Matching Models," Working Papers 2026, Federal Reserve Bank of Dallas.
- Martin Boďa & Mariana Považanová, 2023. "How credible are Okun coefficients? The gap version of Okun’s law for G7 economies," Economic Change and Restructuring, Springer, vol. 56(3), pages 1467-1514, June.
- Joshua Bernstein & Alexander W. Richter & Nathaniel A. Throckmorton, 2021. "Nonlinear Search and Matching Explained," Working Papers 2106, Federal Reserve Bank of Dallas.
- Howes, Cooper, 2022.
"Why does structural change accelerate in recessions? The credit reallocation channel,"
Journal of Financial Economics, Elsevier, vol. 144(3), pages 933-952.
- Robert J. Hodrick & Tuomas Tomunen, 2018.
"Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications,"
NBER Working Papers
25092, National Bureau of Economic Research, Inc.
- Hodrick, Robert J. & Tomunen, Tuomas, 2021. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, vol. 10(1), pages 83-123, April.
Cited by:
- Yan Liu & Jing Cynthia Wu, 2020.
"Reconstructing the Yield Curve,"
NBER Working Papers
27266, National Bureau of Economic Research, Inc.
- Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Wilmar Alexander Cabrera-Rodríguez & Daniela Rodríguez-Novoa & Camilo Eduardo Sánchez-Quinto, 2023. "A robust model for the term structure of interest rates: some applications in Colombia," Borradores de Economia 1255, Banco de la Republica de Colombia.
- Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
- Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014.
"The Carry Trade: Risks and Drawdowns,"
NBER Working Papers
20433, National Bureau of Economic Research, Inc.
- Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
Cited by:
- Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
- Michael Melvin & Duncan Shand, 2017.
"When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds,"
Financial Analysts Journal, Taylor & Francis Journals, vol. 73(1), pages 121-144, January.
- Michael Melvin & Duncan Shand, 2016. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," CESifo Working Paper Series 6210, CESifo.
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
- Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
- Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
- Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
- Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020.
"Foreign Exchange Order Flow as a Risk Factor,"
NBER Working Papers
27199, National Bureau of Economic Research, Inc.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.
- Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
- Michael Melvin & Frank Westermann, 2022.
"Chinese Exchange Rate Policy: Lessons for Global Investors,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 145-168, February.
- Michael Melvin & Frank Westermann, 2020. "Chinese Exchange Rate Policy: Lessons for Global Investors," CESifo Working Paper Series 8493, CESifo.
- Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021.
"Exchange Rates and Sovereign Risk,"
CEPR Discussion Papers
16058, C.E.P.R. Discussion Papers.
- Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
- Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
- Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
- Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
- Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
- Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
- Kimberly Berg & Nelson C. Mark, 2016.
"Global Macro Risks in Currency Excess Returns,"
Staff Working Papers
16-32, Bank of Canada.
- Kimberly A. Berg & Nelson Mark, 2017. "Global Macro Risks in Currency Excess Returns," NBER Working Papers 23764, National Bureau of Economic Research, Inc.
- Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
- Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
- Ian Hudson, 2016. "The Currency Carry Trade: Selection Skill or Behavioral Bias," International Business Research, Canadian Center of Science and Education, vol. 9(9), pages 176-185, September.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
- Stocker, Marshall L., 2016. "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, vol. 38(C), pages 312-325.
- Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
- Geert Bekaert & George Panayotov, 2019.
"Good Carry, Bad Carry,"
NBER Working Papers
25420, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Panayotov, George, 2020. "Good Carry, Bad Carry," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1063-1094, June.
- Bekaert, Geert & Panayotov, George, 2019. "Good Carry, Bad Carry," CEPR Discussion Papers 13463, C.E.P.R. Discussion Papers.
- Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
- Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
- Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
- Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
- Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
- Michael D. Goldberg & Olesia Kozlova & Deniz Ozabaci, 2020. "Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational," Econometrics, MDPI, vol. 8(4), pages 1-26, December.
- Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
- Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
- Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
- Christopher Balding & Andros Gregoriou & Domenico Tarzia & Xiao Zhang, 2024. "Carry Trade Dynamics Under Capital Controls: The Case of China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1065-1085, December.
- Jiadong Tong & Zijun Wang & Jian Yang, 2016. "Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(7), pages 695-718, July.
- 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).
- Filippou, Ilias & Maurer, Thomas & Pezzo, Luca & Taylor, Mark, 2024. "Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets," CEPR Discussion Papers 19037, C.E.P.R. Discussion Papers.
- Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
- Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- Esben Hedegaard & Robert J. Hodrick, 2014.
"Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances,"
NBER Working Papers
20245, National Bureau of Economic Research, Inc.
Cited by:
- Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
- Esben Hedegaard & Robert J. Hodrick, 2014.
"Estimating the Risk-Return Trade-off with Overlapping Data Inference,"
NBER Working Papers
19969, National Bureau of Economic Research, Inc.
- Hedegaard, Esben & Hodrick, Robert J., 2016. "Estimating the risk-return trade-off with overlapping data inference," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 135-145.
Cited by:
- Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
- Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
- Arran Thatcher & Mona Zhang & Hayden Todoroski & Anthony Chau & Joanna Wang & Gang Liang, 2020. "Predicting the Impact of COVID-19 on Australian Universities," JRFM, MDPI, vol. 13(9), pages 1-20, August.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2010.
"Aggregate Idiosyncratic Volatility,"
NBER Working Papers
16058, National Bureau of Economic Research, Inc.
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"Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns,"
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"Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns,"
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506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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- John Y. Campbell & Tuomo Vuolteenaho, 2002. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 1971, Harvard - Institute of Economic Research.
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"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying,"
Staff Reports
93, Federal Reserve Bank of New York.
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"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
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"The international CAPM when expected returns are time-varying,"
Journal of International Money and Finance, Elsevier, vol. 23(2), pages 189-230, March.
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""Peso Problem" Explanations for Term Structure Anomalies,"
NBER Working Papers
6147, National Bureau of Economic Research, Inc.
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- 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.
Cited by:
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005.
"New-Keynesian Macroeconomics and the Term Structure,"
NBER Working Papers
11340, National Bureau of Economic Research, Inc.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004. "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers 388, Society for Economic Dynamics.
- Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005. "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers 04/05, School of Economics and Business Administration, University of Navarra.
- Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
- Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.
- Geert Bekaert & Robert J. Hodrick, 2000.
"Expectations Hypotheses Tests,"
NBER Working Papers
7609, National Bureau of Economic Research, Inc.
- Geert Bekaert & Robert J. Hodrick, 2001. "Expectations Hypotheses Tests," Journal of Finance, American Finance Association, vol. 56(4), pages 1357-1394, August.
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
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- Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
- 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.
- Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
- Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013.
"Humps in the volatility structure of the crude oil futures market: New evidence,"
Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
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"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables,"
Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
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"Regime Changes and Financial Markets,"
NBER Working Papers
17182, National Bureau of Economic Research, Inc.
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- Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006.
"Stock and Bond Returns with Moody Investors,"
CEPR Discussion Papers
5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
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"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
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Working Papers
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"The term structure of commercial paper rates,"
Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
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"The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates,"
The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
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- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020.
"Flights to Safety,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2014. "Flights to Safety," Finance and Economics Discussion Series 2014-46, Board of Governors of the Federal Reserve System (U.S.).
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013. "Flights to Safety," NBER Working Papers 19095, National Bureau of Economic Research, Inc.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2019. "Flights To Safety," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/968, Ghent University, Faculty of Economics and Business Administration.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research 230, National Bank of Belgium.
- 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.
- Bams, D. & Wolff, C., 1998. "Risk Premia in Term Structure of Interest Rates: A Panel Data Approach," Papers 98-50, Southern California - School of Business Administration.
- Wolff, Christian & Bams, Dennis, 2000. "Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach," CEPR Discussion Papers 2392, C.E.P.R. Discussion Papers.
- 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.
- Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- 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.
- Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, vol. 102(1), pages 222-232, October.
- José Luis Fernández Serrano & Mª Dolores Robles Fernández, 2002. "Política Monetaria y Cambios de Régimen en los tipos de Interés del Mercado Interbancario," Documentos de Trabajo del ICAE 0209, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022.
"Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities,"
Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Papers 1612.04932, arXiv.org, revised Dec 2021.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
- Levin, Andrew & Gürkaynak, Refet & Swanson, Eric T., 2006.
"Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden,"
CEPR Discussion Papers
5808, C.E.P.R. Discussion Papers.
- Refet S. Gürkaynak & Andrew T. Levin & Eric T. Swanson, 2006. "Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden," Working Paper Series 2006-09, Federal Reserve Bank of San Francisco.
- Eric Girardin, 2005. "Growth-cycle features of East Asian countries: are they similar?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(2), pages 143-156.
- Refet S. Gürkaynak & Jonathan H. Wright, 2012.
"Macroeconomics and the Term Structure,"
Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
- Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
- Jose Luis Fernandez-Serrano & M. Dolores Robles-Fernandez, 2008. "Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates," Applied Economics, Taylor & Francis Journals, vol. 40(13), pages 1707-1721.
- Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- Ronald H. Lange, 2013. "Monetary policy reactions and the exchange rate: a regime-switching structural VAR for Canada," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(5), pages 612-632, September.
- 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.
- Troy Davig & Eric M. Leeper & Todd B. Walker, 2010. "Inflation and the Fiscal Limit," NBER Working Papers 16495, National Bureau of Economic Research, Inc.
- Todd Walker & Eric Leeper & Troy Davig, 2010. "Inflation and the Fiscal Limit," 2010 Meeting Papers 837, Society for Economic Dynamics.
- Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
- 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.
- Osmani Teixeira de Carvalho Guillén & Benjamin M. Tabak?, 2007. "Characterizing The Brazilian Term Structure Of Interest Rates," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Osmani Teixeira De Carvalho Guillen & Benjamin M. Tabak, 2009. "Characterising the Brazilian term structure of interest rates," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 103-114.
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"Inflation Targets and the Yield Curve: New Zealand and Australia versus the US,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(1), pages 15-32, February.
- Pierre Siklos, 1999. "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US," Research Paper Series 25, Quantitative Finance Research Centre, University of Technology, Sydney.
- O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne.
- 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.
- 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.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
- Eric Girardin, 2004.
"Regime-Dependent Synchronization of Growth Cycles between Japan and East Asia,"
Asian Economic Papers, MIT Press, vol. 3(3), pages 147-176.
- Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004 66, Money Macro and Finance Research Group.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- 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.
- Markku Lanne, 2000. "Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift," Computing in Economics and Finance 2000 294, Society for Computational Economics.
- Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Bank of Finland Research Discussion Papers 20/1999, Bank of Finland.
- José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004. "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, vol. 28(2), pages 349-376, May.
- Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009.
"Time-Variation in Term Permia: International Survey-Based Evidence,"
LSF Research Working Paper Series
09-02, Luxembourg School of Finance, University of Luxembourg.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
- Daniel L. Thornton, 2004.
"Testing the expectations hypothesis: some new evidence for Japan,"
Review, Federal Reserve Bank of St. Louis, vol. 86(Sep), pages 21-40.
- Daniel L. Thornton, 2003. "Testing the expectations hypothesis: some new evidence for Japan," Working Papers 2003-033, Federal Reserve Bank of St. Louis.
- Thornton, Daniel-L, 2004. "Testing the Expectations Hypothesis: Some New Evidence for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
- 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.
- Stefan Reitz & Jan-Christoph Rülke & Georg Stadtmann, 2009. "Are oil-price-forecasters finally right? – Regressive expectations towards more fundamental values of the oil price," WHU Working Paper Series - Economics Group 09-04, WHU - Otto Beisheim School of Management.
- Reitz, Stefan & Ruelke, Jan & Stadtmann, Georg, 2009. "Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price," MPRA Paper 15607, University Library of Munich, Germany.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006.
"Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models,"
Discussion Paper Series
2006_6, Department of Economics, Loughborough University, revised Mar 2006.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2007. "Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 601-619.
- Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers KERP 2006/05, Centre for Economic Research, Keele University.
- 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.
- Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
- Tillmann, Peter, 2003.
"Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates,"
Bonn Econ Discussion Papers
27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
- Grzegorz Wesoƚowski, 2018.
"Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland,"
Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6174-6192, December.
- Grzegorz Wesołowski, 2016. "Do long term interest rates drive GDP and inflation in small open economies? Evidence from Poland," NBP Working Papers 242, Narodowy Bank Polski.
- Bekaert, Geert & Ang, Andrew, 2004.
"The Term Structure of Real Rates and Expected Inflation,"
CEPR Discussion Papers
4518, C.E.P.R. Discussion Papers.
- Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
- Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
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"Futures Contract Rates as Monetary Policy Forecasts,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
- Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series 979, European Central Bank.
- Conway, Patrick, 2012. "The exchange rate as nominal anchor: A test for Ukraine," Journal of Comparative Economics, Elsevier, vol. 40(3), pages 438-456.
- Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2006.
"Inflation Targeting And The Anchoring Of Inflation Expectations In The Western Hemisphere,"
Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 19-52, December.
- Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2007. "Inflation targeting and the anchoring of inflation expectations in the western hemisphere," Economic Review, Federal Reserve Bank of San Francisco, pages 25-47.
- Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2007. "Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 11, pages 415-465, Central Bank of Chile.
- Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2006. "Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere," Working Papers Central Bank of Chile 400, Central Bank of Chile.
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"Can Rare Events Explain the Equity Premium Puzzle?,"
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Articles
- Hodrick, Robert J. & Tomunen, Tuomas, 2021.
"Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications,"
Critical Finance Review, now publishers, vol. 10(1), pages 83-123, April.
See citations under working paper version above.
- Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
- Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017.
"The Carry Trade: Risks and Drawdowns,"
Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
See citations under working paper version above.
- Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
- Hedegaard, Esben & Hodrick, Robert J., 2016.
"Estimating the risk-return trade-off with overlapping data inference,"
Journal of Banking & Finance, Elsevier, vol. 67(C), pages 135-145.
See citations under working paper version above.
- Esben Hedegaard & Robert J. Hodrick, 2014. "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers 19969, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012.
"Aggregate Idiosyncratic Volatility,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1155-1185, December.
See citations under working paper version above.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2010. "Aggregate Idiosyncratic Volatility," NBER Working Papers 16058, National Bureau of Economic Research, Inc.
- Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2010. "Aggregate Idiosyncratic Volatility," CEPR Discussion Papers 8149, C.E.P.R. Discussion Papers.
- Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009.
"High idiosyncratic volatility and low returns: International and further U.S. evidence,"
Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
See citations under working paper version above.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009.
"International Stock Return Comovements,"
Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
See citations under working paper version above.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
- Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 931, European Central Bank.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
See citations under working paper version above.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Hodrick, Robert & Vassalou, Maria, 2002.
"Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1275-1299, July.
Cited by:
- Liu, De-Chih & Chang, Yu-Chien, 2022. "Systematic variations in exchange rate returns," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 569-583.
- MASUJIMA Yuki, 2022. "Tracking Exchange Rate Determinants amid the Pandemic," Discussion papers 22001, Research Institute of Economy, Trade and Industry (RIETI).
- Astrid Eisenberg & Markus Rudolf, 2007. "Exchange Rates and the Conversion of Currency‐Specific Risk Premia," European Financial Management, European Financial Management Association, vol. 13(4), pages 672-701, September.
- Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
- Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
- Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, University Library of Munich, Germany.
- Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
- Nelson Mark & Kimberly Berg, 2013.
"Third-Country Effects on the Exchange Rate,"
2013 Meeting Papers
1050, Society for Economic Dynamics.
- 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.
- Antonio Diez De Los Rios, 2009.
"Can Affine Term Structure Models Help Us Predict Exchange Rates?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
- Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers 06-27, Bank of Canada.
- Antonio Diez De Los Rios, 2009. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
- Melecky, Martin, 2007.
"A structural investigation of third-currency shocks to bilateral exchange rates,"
MPRA Paper
7402, University Library of Munich, Germany.
- Martin Melecky, 2008. "A Structural Investigation of Third‐Currency Shocks to Bilateral Exchange Rates," International Finance, Wiley Blackwell, vol. 11(1), pages 19-48, May.
- Timo Bettendorf, 2019.
"Spillover effects of credit default risk in the euro area and the effects on the Euro: A GVAR approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 296-312, January.
- Bettendorf, Timo, 2016. "Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach," Discussion Papers 42/2016, Deutsche Bundesbank.
- Lustig, Hanno & Verdelhan, Adrien, 2016.
"Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?,"
Research Papers
3412, Stanford University, Graduate School of Business.
- Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
- Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, American Economic Association, vol. 109(6), pages 2208-2244, June.
- Kingston, Geoffrey & Melecky, Martin, 2007.
"Currency preferences and the Australian dollar,"
Journal of International Money and Finance, Elsevier, vol. 26(3), pages 454-467, April.
- Geoffrey Kingston & Martin Melecky, 2005. "Currency preferences and the Australian dollar," International Finance 0502006, University Library of Munich, Germany.
- Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017.
"Nominal Exchange Rate Stationarity and Long-Term Bond Returns,"
2017 Meeting Papers
1633, Society for Economic Dynamics.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
- Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
- Melecky, M, 2007. "Currency Preferences in a Tri-Polar Model of Foreign Exchange," MPRA Paper 4186, University Library of Munich, Germany.
- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023.
"The information in joint term structures of bond yields,"
Journal of International Money and Finance, Elsevier, vol. 134(C).
- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
- Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
- Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
- Hodrick, Robert J. & Zhang, Xiaoyan, 2001.
"Evaluating the specification errors of asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
See citations under working paper version above.
- Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
- Geert Bekaert & Robert J. Hodrick, 2001.
"Expectations Hypotheses Tests,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1357-1394, August.
See citations under working paper version above.
- Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001.
"Peso problem explanations for term structure anomalies,"
Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
See citations under working paper version above.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
- Robert Hodrick & David Ng & Paul Sengmueller, 1999.
"An International Dynamic Asset Pricing Model,"
International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 6(4), pages 597-620, November.
See citations under working paper version above.
- Robert J. Hodrick & David Tat-Chee Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," NBER Working Papers 7157, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997.
"The implications of first-order risk aversion for asset market risk premiums,"
Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
See citations under working paper version above.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The implications of first-order risk aversion for asset market risk premiums," Working Paper Series, Macroeconomic Issues 94-22, Federal Reserve Bank of Chicago.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The Implications of First-Order Risk Aversion for Asset Market Risk Premiums," NBER Working Papers 4624, National Bureau of Economic Research, Inc.
- Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Other publications TiSEM 85c0b822-2525-4400-90af-1, Tilburg University, School of Economics and Management.
- Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Discussion Paper 1997-07, Tilburg University, Center for Economic Research.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997.
"On biases in tests of the expectations hypothesis of the term structure of interest rates,"
Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
See citations under working paper version above.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates," NBER Technical Working Papers 0191, National Bureau of Economic Research, Inc.
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
See citations under working paper version above.
- Kurt Annen, 2006. "HP-Filter DLL executable," QM&RBC Codes 167, Quantitative Macroeconomics & Real Business Cycles.
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Books
- Bekaert,Geert & Hodrick,Robert, 2018.
"International Financial Management,"
Cambridge Books,
Cambridge University Press, number 9781107111820, November.
Cited by:
- Filipe Silva & Carlos Carreira, 2011.
"Financial Constraints and Exports: An Analysis of Portuguese Firms During the European Monetary Integration,"
Notas Económicas, Faculty of Economics, University of Coimbra, issue 34, pages 35-56, December.
- Filipe SIlva & Carlos Carreira, 2011. "Financial constraints and exports: An analysis of Portuguese firms during the European monetary integration," GEMF Working Papers 2011-13, GEMF, Faculty of Economics, University of Coimbra.
- Filipe Silva & Carlos Carreira, 2011.
"Financial constraints, exports and monetary integration - Financial constraints and exports: An analysis of Portuguese firms during the European monetary integration,"
GEE Papers
0039, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Jul 2011.
- Filipe SIlva & Carlos Carreira, 2011. "Financial constraints and exports: An analysis of Portuguese firms during the European monetary integration," GEMF Working Papers 2011-13, GEMF, Faculty of Economics, University of Coimbra.
- Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022.
"A reconsideration of the failure of uncovered interest parity for the U.S. dollar,"
Journal of International Economics, Elsevier, vol. 136(C).
- Engel, Charles & Kazakova, Ekaterina & Wang, Mengqi & Xiang, Nan, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar," CEPR Discussion Papers 15872, C.E.P.R. Discussion Papers.
- Charles Engel & Ekaterina Kazakova & Mengqi Wang & Nan Xiang, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the US Dollar," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
- Charles Engel & Ekaterina Kazakova & Mengqi Wang & Nan Xiang, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar," NBER Working Papers 28420, National Bureau of Economic Research, Inc.
- François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
- Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019.
"Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?,"
Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
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- Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Andreas Schüler, 2021. "Cross-border DCF valuation: discounting cash flows in foreign currency," Journal of Business Economics, Springer, vol. 91(5), pages 617-654, July.
- Wolfgang Breuer & Santiago Ruiz de Vargas, 2021. "Some key developments in international financial management," Journal of Business Economics, Springer, vol. 91(5), pages 595-615, July.
- Filipe Silva & Carlos Carreira, 2011.
"Financial Constraints and Exports: An Analysis of Portuguese Firms During the European Monetary Integration,"
Notas Económicas, Faculty of Economics, University of Coimbra, issue 34, pages 35-56, December.