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Citations of
Martin Evans

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  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. [Downloadable!] (restricted)

    Cited by:

    1. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Geir Høidal Bjønnes, Dagfinn Rime and Haakon O.Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway. [Downloadable!]
      Other versions:
    3. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada. [Downloadable!]
    4. 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. [Downloadable!]
      Other versions:
    5. David Berger & Alain 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.). [Downloadable!]
    6. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Department of Economics, University of Glasgow. [Downloadable!]
    7. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    8. 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.). [Downloadable!]
    9. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Taylor, 2009. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    11. 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. [Downloadable!]
      Other versions:
    12. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    13. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    14. 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, Research Centre. [Downloadable!]
    15. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80. [Downloadable!]
    16. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    17. Enrique Martinez-Garcia, 2007. "A monetary model of the exchange rate with informational frictions," Globalization and Monetary Policy Institute Working Paper 02, Federal Reserve Bank of Dallas. [Downloadable!]
    18. 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. [Downloadable!] (restricted)
    19. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    20. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  2. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers eg0050, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
      Other versions:
    3. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Working Papers 07-27, Bank of Canada. [Downloadable!]
    5. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Rasmus Fatum & Barry Scholnick, . "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. [Downloadable!]
    7. John Pippenger, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series 01-08, Department of Economics, UC Santa Barbara. [Downloadable!]
    8. Fischer, Andreas M & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers 6753, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. Evans, Kevin & Speight, Alan, 2006. "Dynamic News Effects in High Frequency Euro Exchange Rate Returns and Volatility," Cardiff Accounting and Finance Working Papers A2006/4, Cardiff University, Cardiff Business School, Accounting and Finance Section. [Downloadable!]
    10. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-2, Department of Economics, Williams College. [Downloadable!]
    11. Marcel Fratzscher, 2007. "US shocks and global exchange rate configurations," Working Paper Series 835, European Central Bank. [Downloadable!]
      Other versions:

  3. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society. [Downloadable!]
    Other versions:

    Cited by:

    1. 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. [Downloadable!]
    2. Nelson C. Mark, 2005. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," NBER Working Papers 11061, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. 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. [Downloadable!]
    4. Evans, Martin D, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," MPRA Paper 831, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    5. 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. [Downloadable!]
    6. Stijn Van Nieuwerburgh & Laura Veldkamp, 2007. "Information Immobility and the Home Bias Puzzle," NBER Working Papers 13366, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June. [Downloadable!]
      Other versions:
    8. Törbjörn I. Becker & Amadou N. R. Sy, 2005. "Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?," IMF Working Papers 05/34, International Monetary Fund. [Downloadable!]
      Other versions:
    9. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Steven Pennings & Rod Tyers, 2007. "Increasing Returns, Financial Capital Mobility And Real Exchange Rate Dynamics," CAMA Working Papers 2007-16, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    11. John Williamson, 2009. "Exchange Rate Economics," Open Economies Review, Springer, vol. 20(1), pages 123-146, February. [Downloadable!] (restricted)
    12. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    13. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    14. 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. [Downloadable!]
    15. John Williamson, 2008. "Exchange Rate Economics," Peterson Institute Working Paper Series WP08-3, Peterson Institute for International Economics. [Downloadable!]
    16. 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, Research Centre. [Downloadable!]
    17. 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. [Downloadable!] (restricted)
      Other versions:
    18. 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. [Downloadable!]
    19. Harald Hau & Helene Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," NBER Working Papers 10476, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. 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.). [Downloadable!]
      Other versions:

  4. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

    Cited by:

    1. Richard W. Evans, 2007. "Is openness inflationary? Imperfect competition and monetary market power," Globalization and Monetary Policy Institute Working Paper 01, Federal Reserve Bank of Dallas. [Downloadable!]
    2. Peter Bofinger & Timo Wollmershäuser, 2003. "Managed Floating as a Monetary Policy Strategy," Economic Change and Restructuring, Springer, vol. 36(2), pages 81-109, June. [Downloadable!] (restricted)
    3. 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, Research Centre. [Downloadable!]

  5. 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. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    3. Martin D. D. Evans (Georgetown University), . "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics. [Downloadable!]
    4. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Ha Y. Lee & Roberto Rigobón & Luca Antonio Ricci, 2004. "Once Again, is Openness Good for Growth?," IMF Working Papers 04/135, International Monetary Fund. [Downloadable!]
      Other versions:
    7. 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. [Downloadable!]
      Other versions:
    8. Roberto Rigobon & Brian Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series 2003-18, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    9. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    10. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    11. 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.). [Downloadable!]
      Other versions:
    12. Martin D. D. Evans (Georgetown University), . "Understanding Order Flow," Working Papers gueconwpa~05-05-19, Georgetown University, Department of Economics. [Downloadable!]
      Other versions:
    13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    14. Jansen, David-Jan & de Haan, Jakob, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    15. Alain P. Chaboud & Sergey 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.). [Downloadable!]
    16. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    17. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    18. Olli Castrén & Chiara Osbat & Matthias Sydow, 2006. "What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis," Working Paper Series 706, European Central Bank. [Downloadable!]
    19. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. 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). [Downloadable!]
    21. Frank Westerhoff & Sebastiano Manzan, 2004. "Does liquidity in the FX market depend on volatility?," Economics Bulletin, Economics Bulletin, vol. 6(10), pages 1-8. [Downloadable!]
    22. 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. [Downloadable!] (restricted)
    23. Horst Entorf & Christian Steiner, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Darmstadt Discussion Papers in Economics 159, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
      Other versions:
    24. David-Jan Jansen & Jakob de Haan, 2005. "Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements," DNB Working Papers 033, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    25. Michael Ehrmann & Marcel Fratzscher, 2004. "Exchange rates and fundamentals - new evidence from real-time data," Working Paper Series 365, European Central Bank. [Downloadable!]
      Other versions:
    26. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus. [Downloadable!]
    27. 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. [Downloadable!]
      Other versions:
    28. Harald Hau & Helene Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," NBER Working Papers 10476, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics. [Downloadable!]
    30. 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. [Downloadable!] (restricted)
      Other versions:
    31. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-2, Department of Economics, Williams College. [Downloadable!]
    32. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  6. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. 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. [Downloadable!] (restricted)
    2. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada. [Downloadable!]
    4. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
    5. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics. [Downloadable!]
    6. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    7. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Working Papers 02-16, Bank of Canada. [Downloadable!]
    8. 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. [Downloadable!]
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    9. Burnside, A Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    10. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
    11. Yiu Chung Cheung & Frank de Jong & Barbara Rindi, 2005. "Trading European sovereign bonds - the microstructure of the MTS trading platforms," Working Paper Series 432, European Central Bank. [Downloadable!]
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    12. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society. [Downloadable!]
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    13. 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.). [Downloadable!]
    14. T. Clifton Green, 2004. "Economic News and the Impact of Trading on Bond Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1201-1234, 06. [Downloadable!] (restricted)
    15. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), . "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics. [Downloadable!]
    16. 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. [Downloadable!] (restricted)
    17. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund. [Downloadable!]
    18. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Working Papers 02-34, Bank of Canada. [Downloadable!]
    19. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements. [Downloadable!]
    20. 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.). [Downloadable!]

  7. 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. [Downloadable!] (restricted)

    Cited by:

    1. Michel Beine & Oscar Bernal & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) 07-19, CREFI-LSF, University of Luxembourg. [Downloadable!]
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    2. Beine,M. & Palm,F.C. & Laurent,S., 2003. "Central Bank Forex Interventions Assessed Using Realized Moments," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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    3. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Paper 0315, Federal Reserve Bank of Cleveland. [Downloadable!]
    4. Michael D. Bordo & Owen F. Humpage & Anna J. Schwartz, 2009. "A brief empirical history of U.S. foreign-exchange intervention: 1973-1995," Working Paper 0903, Federal Reserve Bank of Cleveland. [Downloadable!]
    5. 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. [Downloadable!]
    6. Ilker Domac & Alfonso Mendoza, 2002. "Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey," Discussion Papers 0206, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    7. 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. [Downloadable!]
    8. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile 255, Central Bank of Chile. [Downloadable!]
    9. Kathryn M.E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," NBER Working Papers 9875, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute. [Downloadable!]
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    11. Michel Beine & Oscar Bernal, 2005. "Why do central banks intervene secretly? Preliminary evidence from the BoJ," Working Papers DULBEA 05-09.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
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    12. Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research Department. [Downloadable!]
    13. 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. [Downloadable!]
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    14. Portes, Richard, 2001. "The European Contribution to International Financial Stability," CEPR Discussion Papers 2956, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Oscar Bernal & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks’ FX reaction functions," Working Papers DULBEA 07-03.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]

  8. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    2. Carolina Gómez Restrepo & Diego Jara Pinzón & Andrés Murcia Pabón, . "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. [Downloadable!]
    3. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Francis E. Warnock & Veronica C. Warnock, 2005. "International capital flows and U.S. interest rates," International Finance Discussion Papers 840, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS. [Downloadable!]
    6. 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. [Downloadable!] (restricted)
    7. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    8. 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.). [Downloadable!]
      Other versions:
    9. M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers 2006s-07, CIRANO. [Downloadable!]
      Other versions:
    10. Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-276, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    11. 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 002806, BANCO DE LA REPÚBLICA. [Downloadable!]
    12. 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. [Downloadable!]
    13. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
    14. Mende, Alexander & Menkhoff, Lukas, 2003. "Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-268, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    15. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    16. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    17. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and Speculation in Intra-Day Foreign Exchange Trading," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-339, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    18. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
    19. Akram, Qaisar Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    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. [Downloadable!]
    21. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    22. William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001. "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers 8491, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    23. 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. [Downloadable!] (restricted)
      Other versions:
    24. T. Clifton Green, 2004. "Economic News and the Impact of Trading on Bond Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1201-1234, 06. [Downloadable!] (restricted)
    25. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    26. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), . "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics. [Downloadable!]
    27. Hau, Harald & Rey, Hélène, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    28. 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. [Downloadable!]
    29. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    30. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  9. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    2. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    3. Paul De Grauwe & Marianna Grimaldi, 2003. "Intervention in the Foreign Exchange Market in a Model with Noise Traders," Working Papers 162003, Hong Kong Institute for Monetary Research. [Downloadable!]
    4. Iwatsubo, Kentaro & Shimizu, Junko, 2006. "Signaling Effects of Foreign Exchange Interventions and Expectation Heterogeneity among Traders," CEI Working Paper Series 2005-18, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    5. Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    6. John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998. "Exchange Rate Effects on the Volume and Variability of Trade Flows," Boston College Working Papers in Economics 405., Boston College Department of Economics, revised 12 Sep 2001. [Downloadable!]
      Other versions:
    7. Martin D. D. Evans, 2001. "FX Trading and Exchange Rate Dynamics," NBER Working Papers 8116, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    10. Bernhard Herz & Christian Bauer, 2005. "Technical trading, monetary policy, and exchange rate regimes," Macroeconomics, Department of Economics, Economics I, Bayreuth University, vol. 15(3), pages 281-302. [Downloadable!]
    11. Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany. [Downloadable!]
    12. Martin D.D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers 11042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    14. Vitale, Paolo, 2006. "A Market Microstructure Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5468, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    15. Bjonnes,H. & Rime,D., 2000. "FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets," Memorandum 29/2000, Oslo University, Department of Economics. [Downloadable!]
    16. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
      Other versions:
    17. 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. [Downloadable!]
      Other versions:
    18. Thomas Klitgaard & Laura Weir, 2004. "Exchange rate changes and net positions of speculators in the futures market," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 17-28. [Downloadable!]
    19. Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    20. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    21. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    22. Elizaveta Krylova & Lorenzo Cappiello & Roberto A. De Santis, 2005. "Explaining exchange rate dynamics - the uncovered equity return parity condition," Working Paper Series 529, European Central Bank. [Downloadable!]
    23. Paul de Grauwe & Roberto Dieci & Marianna Grimaldi, 2005. "Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market. A Behavioural Finance Framework," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    24. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    25. Geir Høidal Bjønnes, Dagfinn Rime and Haakon O.Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway. [Downloadable!]
      Other versions:
    26. Francis E. Warnock & Veronica C. Warnock, 2005. "International capital flows and U.S. interest rates," International Finance Discussion Papers 840, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    28. Kenneth A. Froot & Tarun Ramadorai, 2002. "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers 9101, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    29. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada. [Downloadable!]
    30. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June. [Downloadable!]
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    31. Mark Cassano & Bing Han, 2008. "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 49-67, January. [Downloadable!] (restricted)
    32. Paul De Grauwe & Pablo Rovira Kaltwasser, 2007. "Modeling Optimism and Pessimism in the Foreign Exchange Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    33. Aleš Bulir, 2004. "Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries," IMF Working Papers 04/35, International Monetary Fund. [Downloadable!]
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    34. 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. [Downloadable!]
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    35. Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS. [Downloadable!]
    36. Christopher F. Baum & Mustafa Caglayan & John T. Barkoulas, 1999. "Exchange Rate Uncertainty and Firm Profitability," Boston College Working Papers in Economics 422, Boston College Department of Economics, revised 16 Feb 2000. [Downloadable!]
      Other versions:
    37. David Berger & Alain 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.). [Downloadable!]
    38. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Department of Economics, University of Glasgow. [Downloadable!]
    39. 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. [Downloadable!]
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    40. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007. [Downloadable!]
    41. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    42. 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. [Downloadable!] (restricted)
    43. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    44. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    45. Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O.Aa. Solheim, 2005. "“Large” vs. “small” players: A closer look at the dynamics of speculative attacks," Working Paper 2005/13, Norges Bank. [Downloadable!]
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    46. Alexis Derviz, 2003. "FOREX Microstructure, Invisible Price Determinants, and the Central Bank's Understanding of Exchange Rate Formation," Working Papers 2003/06, Czech National Bank, Research Department. [Downloadable!]
    47. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland. [Downloadable!]
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    48. Richard M. Levich & Valerio Poti, 2008. "Predictability and 'Good Deals' in Currency Markets," NBER Working Papers 14597, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    49. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74. [Downloadable!]
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    50. 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.). [Downloadable!]
      Other versions:
    51. Esteban Jadresic & Jorge Selaive, 2005. "Is The FX Derivatives Market Effective and Efficient in Reducing Currency Risk?," Working Papers Central Bank of Chile 325, Central Bank of Chile. [Downloadable!]
    52. 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. [Downloadable!]
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    53. M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers 2006s-07, CIRANO. [Downloadable!]
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    54. Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-337, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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    55. Rafael Romeu & Lawrence Ausubel, 2005. "Bidder Participation and Information in Currency Auctions," IMF Working Papers 05/157, International Monetary Fund. [Downloadable!]
    56. Ü. Özlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor and Francis Journals, vol. 36(16), pages 1839-1849, September. [Downloadable!] (restricted)
    57. Charles Engel, 2000. "Comments on Obstfeld and Rogoff's "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?"," NBER Working Papers 7818, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    58. Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen. [Downloadable!]
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    59. Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338. [Downloadable!]
    60. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    61. Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-276, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    62. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, EconWPA. [Downloadable!]
    63. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center. [Downloadable!]
    64. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
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    65. 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. [Downloadable!] (restricted)
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    66. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Working Papers 04-16, Bank of Canada. [Downloadable!]
    67. Burnside, A Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    68. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan. [Downloadable!]
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    69. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
    70. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
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    71. Roberto Pereira Guimarães & Cem Karacadag, 2004. "The Empirics of Foreign Exchange Intervention in Emerging Markets: The Cases of Mexico and Turkey," IMF Working Papers 04/123, International Monetary Fund. [Downloadable!]
    72. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-278, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    73. 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. [Downloadable!]
    74. Zwart, G.J. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," Research Paper ERS-2007-096-F&A Revision, 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 Uni. [Downloadable!]
      Other versions:
    75. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
    76. Jan Brůha & Alexis Derviz, 2006. "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 318-343, July. [Downloadable!]
    77. Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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    78. Hau, Harald & Massa, Massimo & 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. [Downloadable!] (restricted)
    79. 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. [Downloadable!]
    80. Alain P. Chaboud & Sergey 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.). [Downloadable!]
    81. Mende, Alexander & Menkhoff, Lukas, 2003. "Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-268, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    82. Gehrig, Thomas & Menkhoff,Lukas, 2004. "The Rise of Fund Managers in Foreign Exchange: Will Fundamentals Ultimately Dominate?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-308, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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    83. Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City. [Downloadable!]
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    84. Sahn-Wook Huh & Avanidhar Subrahmanyam, 2004. "Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements," University of California at Los Angeles, Anderson Graduate School of Management 1253, Anderson Graduate School of Management, UCLA. [Downloadable!]
    85. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society. [Downloadable!]
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    86. Olli Castrén, 2004. "Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?," Working Paper Series 410, European Central Bank. [Downloadable!]
    87. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    88. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper 24, Tor Vergata University, CEIS. [Downloadable!]
    89. Rime,D., 2000. "Private or public information in foreign exchange markets? : an empirical analysis," Memorandum 14/2000, Oslo University, Department of Economics. [Downloadable!]
    90. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    91. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    92. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Working Papers 03-28, Bank of Canada. [Downloadable!]
    93. Olli Castrén & Chiara Osbat & Matthias Sydow, 2006. "What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis," Working Paper Series 706, European Central Bank. [Downloadable!]
    94. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    95. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and Speculation in Intra-Day Foreign Exchange Trading," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-339, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    96. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    97. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part I: Introduction," Economics Discussion / Working Papers 03-05, The University of Western Australia, Department of Economics. [Downloadable!]
    98. Roberto Guimaraes, 2004. "Foreign Exchange Intervention And Monetary Policy In Japan: Evidence From Identified Vars," Money Macro and Finance (MMF) Research Group Conference 2004 8, Money Macro and Finance Research Group. [Downloadable!]
    99. Paul De Grauwe & Marianna Grimaldi, 2004. "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    100. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management. [Downloadable!]
      Other versions:
    101. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    102. 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. [Downloadable!]
    103. Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    104. Akram, Qaisar Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    105. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements. [Downloadable!]
    106. 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. [Downloadable!]
    107. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York. [Downloadable!]
    108. Alexis Derviz, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 314, European Central Bank. [Downloadable!]
    109. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    110. 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, Research Centre. [Downloadable!]
    111. Christian Bauer & Bernhard Herz, 2004. "Technical trading and the Volatility of Exchange Rates," Macroeconomics, Department of Economics, Economics I, Bayreuth University, vol. 4(4), pages 1-16. [Downloadable!]
    112. William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001. "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers 8491, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    113. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]
    114. Kelly Eckhold & Chris Hunt, 2005. "The Reserve Bank of New Zealand’s new foreign exchange intervention policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 231-41 Bank for International Settlements. [Downloadable!]
    115. 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. [Downloadable!] (restricted)
      Other versions:
    116. Fernando Broner, 1999. "On the Timing of Balance of Payments Crises: Disaggregated Information and Interest Rate Policy," Economics Working Papers 840, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2002. [Downloadable!]
    117. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80. [Downloadable!]
    118. T. Clifton Green, 2004. "Economic News and the Impact of Trading on Bond Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1201-1234, 06. [Downloadable!] (restricted)
    119. Bjonnes, Geir H. & Rime, Dagfinn & Solheim, Haakon O. Aa., 2002. "Volume and Volatility in the FX-Market: Does it matter who you are?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    120. Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-415, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    121. Ana María Abarca & Felipe Alarcón & Pablo Pincheira & Jorge Selaive, 2007. "Chilean Nominal Exchange Rate: Forecasting Based Upon Technical Analysis," Working Papers Central Bank of Chile 425, Central Bank of Chile. [Downloadable!]
    122. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    123. Frank Westerhoff & Sebastiano Manzan, 2004. "Does liquidity in the FX market depend on volatility?," Economics Bulletin, Economics Bulletin, vol. 6(10), pages 1-8. [Downloadable!]
    124. 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. [Downloadable!]
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    125. Blanco-Gonzalez, Lorenzo & Fullerton, Thomas M., Jr., 2008. "La Ley del Precio Unitario en la Zona Metropolitana Fronteriza
      [The Law of One Price in the Borderplex]      ," MPRA Paper 14687, University Library of Munich, Germany. [Downloadable!]
    126. 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. [Downloadable!] (restricted)
    127. Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank, Research Department. [Downloadable!]
    128. Niklas Wagner & Terry Marsh, 2000. "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series 1002, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
      Other versions:
    129. 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. [Downloadable!] (restricted)
    130. Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    131. Ales Bulir, 2003. "Some Exchange Rates Are More Stable than Others; Short-Run Evidence from Transition Countries," Working Papers 2003/05, Czech National Bank, Research Department. [Downloadable!]
    132. Roberto Guimaraes & Cem Karacadag, 2005. "The Empirics of Foreign Exchange Intervention in Emerging Market Countries The Cases of Mexico and Turkey," Money Macro and Finance (MMF) Research Group Conference 2005 68, Money Macro and Finance Research Group. [Downloadable!]
    133. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2009. "Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    134. 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. [Downloadable!]
    135. Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    136. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements. [Downloadable!]
    137. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    138. Cheung, Yin-Wong & Chinn, Menzie D., 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    139. Michael Ehrmann & Marcel Fratzscher, 2004. "Exchange rates and fundamentals - new evidence from real-time data," Working Paper Series 365, European Central Bank. [Downloadable!]
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    140. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    141. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus. [Downloadable!]
    142. Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters, in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412 National Bureau of Economic Research, Inc. [Downloadable!]
      Other versions:
    143. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research Department. [Downloadable!]
    144. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33. [Downloadable!]
    145. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics. [Downloadable!]
    146. Evans, Kevin & Speight, Alan, 2006. "Dynamic News Effects in High Frequency Euro Exchange Rate Returns and Volatility," Cardiff Accounting and Finance Working Papers A2006/4, Cardiff University, Cardiff Business School, Accounting and Finance Section. [Downloadable!]
    147. 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.). [Downloadable!]
      Other versions:
    148. Marcel Fratzscher, 2007. "US shocks and global exchange rate configurations," Working Paper Series 835, European Central Bank. [Downloadable!]
      Other versions:
    149. Marianna Grimaldi & Paul De Grauwe, 2003. "Bubbling and Crashing Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    150. Tambakis, D.N., 2008. "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics 0847, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    151. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    152. Simón Sosvilla-Rivero & Francisco Pérez-Bermejo, . "Credibility and Duration in Target Zones: Evidence from the EMS," Working Papers 2003-19, FEDEA. [Downloadable!]
    153. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers 2008-006, Federal Reserve Bank of St. Louis. [Downloadable!]
    154. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    155. Nikolas Mueller-Plantenberg, 2003. "Japan's Imbalance of Payments," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    156. Dagfinn Rime & Genaro Sucarrat, 2007. "Exchange rate variability, market activity and heterogeneity," Economics Working Papers we077039, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    157. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – Center for European, Governance and Economic Development Research Discussion Papers 76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]
    158. Bonpasse, Morrison, 2007. "The Single Global Currency - Common Cents for the World (2007 Edition)," MPRA Paper 5879, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    159. Bonpasse, Morrison, 2006. "The Single Global Currency: Common Cents for the World," MPRA Paper 1175, University Library of Munich, Germany. [Downloadable!]

  10. 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. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
    3. Ralf Ahrens & Stefan Reitz, 2003. "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series 2003/11, Center for Financial Studies. [Downloadable!]
    4. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, EconWPA. [Downloadable!]
    6. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated Monetary Policy and the Dynamic Behaviour of the Term Structure of Interest Rates," Research Discussion Papers 12/1999, Bank of Finland. [Downloadable!]
    7. Andrew Ang & Joseph chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. 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. [Downloadable!]
      Other versions:
    9. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    10. Vilmunen, Jouko, 1998. "Macroeconomic Effects of Looming Policy Shifts: Non-falsified Expectations and Peso Problems," Research Discussion Papers 13/1998, Bank of Finland. [Downloadable!]
    11. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics. [Downloadable!]
    12. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    13. 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. [Downloadable!] (restricted)
      Other versions:
    14. 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. [Downloadable!]

  11. 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.
    Published as:

    Cited by:

    1. Stephen G. Cecchetti & Pok-sang Lam & 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. [Downloadable!] (restricted)
      Other versions:
    2. Mª Jose Gutierrez & Jesús Vazquez, 2003. "Switching equilibria. The Present Value Model for Stock Prices Revisited," DFAEII Working Papers 200226, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
      Other versions:
    3. 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. [Downloadable!]
    4. Massimiliano De Santis, 2007. "Movements in the Equity Premium: Evidence from a Time-Varying VAR," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4). [Downloadable!]
    5. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Juan M. Londoño & Marta Regulez & Jesús Vázquez, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 200809, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]

  12. 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. Erik Durbin & David Tat-Chee Ng, 1999. "Uncovering country risk in emerging market bond prices," International Finance Discussion Papers 639, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Kwamie Dunbar, 2005. "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations 2005.2, Fordham University, Department of Economics. [Downloadable!]
    3. Charles S. Morris & Robert Neal & Douglas Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City. [Downloadable!]

  13. 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.
    Other versions:

    Cited by:

    1. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    2. Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    3. Chang-Jin Kim & Jeremy 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.). [Downloadable!]
    4. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    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. [Downloadable!]
      Other versions:

  14. 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.
    Published as:

    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. [Downloadable!]
    2. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    3. Joseph E. Gagnon, 2008. "Inflation regimes and inflation expectations," Review, Federal Reserve Bank of St. Louis, issue May, pages 229-243. [Downloadable!]
      Other versions:
    4. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    5. 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). [Downloadable!]
      Other versions:
    6. Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0703, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    7. Eva Vicente Martinez, 2006. "Properties Of Two U.S. Inflation Measures (1985-2005)," Statistics and Econometrics Working Papers ws066818, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    8. Sharon Kozicki & P.A. Tinsley, 2003. "Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information," CFS Working Paper Series 2003/41, Center for Financial Studies. [Downloadable!]
      Other versions:
    9. Jeremy Couchman & Rukmani Gounder & Jen-Je Su, 2006. "Long memory properties of real interest rates for 16 countries," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 25-30, January. [Downloadable!] (restricted)
    10. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
      Other versions:
    11. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics. [Downloadable!]
    12. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    13. Lawrence Goldberg & James Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," Open Economies Review, Springer, vol. 14(3), pages 299-317, July. [Downloadable!] (restricted)
      Other versions:
    14. 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. [Downloadable!] (restricted)
      Other versions:
    15. Hiona Balfoussia & Mike Wickens, 2006. "Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 261-277. [Downloadable!]
    16. Sandrine Lardic & Valerie Mignon, 2003. "Fractional cointegration between nominal interest rates and inflation: A re-examination of the Fisher relationship in the G7 countries," Economics Bulletin, Economics Bulletin, vol. 3(14), pages 1-10. [Downloadable!]
    17. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    18. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    19. Jesús Vazquez, 2003. "Switching regimes in the term structure of interest rates furing US post-war," DFAEII Working Papers 200233, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    20. James R. Lothian & Cornelia H.. McCarthy, 2001. "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance 0107003, EconWPA. [Downloadable!]
      Other versions:
    21. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    22. Chan G. Huh & Kevin J. Lansing, 1998. "Expectations, credibility, and disinflation in a small macroeconomic model," Working Papers in Applied Economic Theory and Econometrics 98-01, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    23. stanley c. w. salvary, 2005. "Monetary Policy And Not Monetary Control: A Rethinking," Macroeconomics 0502030, EconWPA. [Downloadable!]
    24. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    25. Neil Arnwine, 2004. "Fisher Equation and Output Growth," Departmental Working Papers 0408, Bilkent University, Department of Economics. [Downloadable!]
    26. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 229-253, September. [Downloadable!] (restricted)
    27. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
      Other versions:
    28. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer, vol. 31(3), pages 243-254, April. [Downloadable!] (restricted)
    29. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics. [Downloadable!]
      Other versions:
    30. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(4), pages 461-471, December. [Downloadable!] (restricted)
    31. Jesús Vázquez, 2004. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces E2004/11, Centro de Estudios Andaluces. [Downloadable!]
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    32. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics. [Downloadable!]
    33. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, EconWPA. [Downloadable!]
    34. Robert G. King & Mark W. Watson, 1997. "Testing long-run neutrality," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101. [Downloadable!]
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    35. Tsung-wu Ho, 2009. "The inflation rates may accelerate after all: panel evidence from 19 OECD economies," Empirical Economics, Springer, vol. 36(1), pages 55-64, February. [Downloadable!] (restricted)
    36. Grand Nathalie & Dropsy Vincent, 2005. "Exchange Rate And Inflation Targeting In Morocco And Tunisia," Macroeconomics 0507018, EconWPA. [Downloadable!]
    37. Ka-Fu Wong & Hai-Jun Wu, 2003. "Testing Fisher hypothesis in long horizons for G7 and eight Asian countries 1 The MATLAB program and data to compute the results in this paper are available from http://kafuwong.econ.hku.hk/research/f," Applied Economics Letters, Taylor and Francis Journals, vol. 10(14), pages 917-923, November. [Downloadable!] (restricted)
    38. Hakan Berument & Nildag Basak Ceylan & Hasan Olgun, 2007. "Inflation uncertainty and interest rates: is the Fisher relation universal?," Applied Economics, Taylor and Francis Journals, vol. 39(1), pages 53-68, January. [Downloadable!] (restricted)
      Other versions:
    39. Sharon Kozicki & P.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. [Downloadable!]
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    40. Lanne , Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Research Discussion Papers 21/2002, Bank of Finland. [Downloadable!]
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    41. Stanley C. W. Salvary, 2005. "Informedness Of Economic Agents And The Quantity Theory Of Money," Macroeconomics 0512005, EconWPA. [Downloadable!]
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    42. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1). [Downloadable!] (restricted)
    43. Mark J. Jensen, 2006. "The long-run Fisher effect: can it be tested?," Working Paper 2006-11, Federal Reserve Bank of Atlanta. [Downloadable!]
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    44. 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. [Downloadable!] (restricted)
    45. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Banco de España Occasional Papers 0705, Banco de España. [Downloadable!]
      Other versions:
    46. 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. [Downloadable!]
    47. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    48. Edgar Ortiz & Alejandra Cabello & Raúl de Jesús, 2006. "Long-Run Inflation and Exchange Rates Hedge of Stocks in Brazil and Mexico," Global Economy Journal, Berkeley Electronic Press, vol. 6(3). [Downloadable!]
    49. Juan Ayuso Huertas, 1996. "Un análisis empírico de los tipos de interés reales ex-ante en España," Investigaciones Economicas, Fundación SEPI, vol. 20(3), pages 321-338, September. [Downloadable!]
    50. Brigitte Granville & Sushanta Mallick, 2004. "Fisher hypothesis: UK evidence over a century," Applied Economics Letters, Taylor and Francis Journals, vol. 11(2), pages 87-90, February. [Downloadable!] (restricted)
    51. Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Cahiers de la Maison des Sciences Economiques v06067, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    52. Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]

  15. 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.

    Cited by:

    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. [Downloadable!]

  16. 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.
    Other versions:
    Published as:

    Cited by:

    1. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," Research Paper ERS-2007-001-F&A Revision, 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 Uni. [Downloadable!]
    2. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    3. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
      Other versions:
    5. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," Research Paper ERS-2007-088-F&A Revision, 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 Uni. [Downloadable!]
    6. Kenneth N. Kuttner & Adam S. Posen, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Papers 52, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    7. Lawrence Goldberg & James Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," Open Economies Review, Springer, vol. 14(3), pages 299-317, July. [Downloadable!] (restricted)
      Other versions:
    8. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute. [Downloadable!]
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    9. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November. [Downloadable!]
    11. Philip Rothman, . "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. [Downloadable!]
    12. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers 97-1, Bank of Canada. [Downloadable!]
    13. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group. [Downloadable!]
    14. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group. [Downloadable!]
    15. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers 125, Netherlands Central Bank, Research Department. [Downloadable!]
    16. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor and Francis Journals, vol. 38(21), pages 2523-2533, December. [Downloadable!] (restricted)
    17. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    19. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers 014, Ohio State University, Department of Economics. [Downloadable!]
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    20. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998. [Downloadable!]
    21. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    22. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada. [Downloadable!]
    23. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    24. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics. [Downloadable!]
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    25. 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. [Downloadable!]
    26. Roman Frydman & Michael D. Goldberg, 2002. "Imperfect Knowledge, Temporal Instability and an Uncertainty Premium: Towards a Resolution of the Excess-Returns Puzzle in the Foreign Exchange Market," Discussion Papers 02-17, University of Copenhagen. Department of Economics, revised Nov 2002. [Downloadable!]
    27. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA. [Downloadable!]
    28. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79. [Downloadable!]
    29. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708. [Downloadable!]
    30. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Working Papers 96-13, Bank of Canada. [Downloadable!]
      Other versions:

  17. 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. 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. [Downloadable!] (restricted)

  18. 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.
    Published as:

    Cited by:

    1. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
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    2. Michael D. Bordo & Christopher J. Erceg & Charles L. Evans, 2000. "Money, Sticky Wages, and the Great Depression," American Economic Review, American Economic Association, vol. 90(5), pages 1447-1463, December. [Downloadable!] (restricted)
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    3. Ben S. Bernanke, 1994. "The Macroeconomics of the Great Depression: A Comparative Approach," NBER Working Papers 4814, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    4. Randall E. Parker & Phillip Rothman & Original: August 2000. This version: June 2003., . "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods," Working Papers 0302, East Carolina University, Department of Economics. [Downloadable!]
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    5. Randall E. Parker & James S. Fackler, . "Was Debt Deflation Operative during the Great Depression?: A Note," Working Papers 0102, East Carolina University, Department of Economics. [Downloadable!]
    6. 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. [Downloadable!]
      Other versions:

  19. 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.
    Published as:

    Cited by:

    1. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    3. Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ADRES, issue 54, pages 02, Avril-Jui. [Downloadable!]
    4. Andrew Clare & Ilias Lekkos, . "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England. [Downloadable!]
    5. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007. [Downloadable!]
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    6. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]
    7. 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, vol. 135(3), pages 397-412, September. [Downloadable!] (restricted)
      Other versions:
    8. 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 Univeristy of Manchester. [Downloadable!]
    9. Gianna 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. [Downloadable!]
    10. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada. [Downloadable!]
    11. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance 0311009, EconWPA. [Downloadable!]
    12. 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. [Downloadable!] (restricted)
      Other versions:
    13. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, EconWPA. [Downloadable!]
    14. Sharon Kozicki & P.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. [Downloadable!]
      Other versions:
    15. 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. [Downloadable!]
    16. Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos del Instituto Complutense de Análisis Económico 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
    17. 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. [Downloadable!]
      Other versions:
    18. 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 Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
      Other versions:
    19. 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. [Downloadable!] (restricted)
      Other versions:
    20. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    21. Richard D. F. Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 105-112, January. [Downloadable!] (restricted)
    22. Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-21. [Downloadable!]
      Other versions:
    23. Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics. [Downloadable!]
    24. 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. [Downloadable!]
    25. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 21-45, March. [Downloadable!] (restricted)
    26. 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. [Downloadable!] (restricted)
      Other versions:

  20. 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. [Downloadable!] (restricted)
    Other versions:

    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. [Downloadable!] (restricted)
      Other versions:

  21. 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.
    Published as:

    Cited by:

    1. 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. [Downloadable!]
    2. Apostolos Serletis, 1994. "Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 476-493, September. [Downloadable!] (restricted)
    3. Milind Shrikhande, 1997. "The cost of doing business abroad and international capital market equilibrium," Working Paper 97-3, Federal Reserve Bank of Atlanta. [Downloadable!]
    4. Sfia, Mohamed Daly, 2006. "Tunisia: Sources Of Real Exchange Rate Fluctuations," MPRA Paper 3129, University Library of Munich, Germany. [Downloadable!]
    5. 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 31th Brazilian Economics Meeting] c48, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    6. Yoonbai Kim, 1997. "How Real Are Real Exchange Rates?," International Economic Journal, Korean International Economic Association, vol. 11(1), pages 87-108, April. [Downloadable!] (restricted)
    7. Menzie David Chinn & Jaewoo Lee, 2002. "Current Account and Real Exchange Rate Dynamics in the G-7 Countries," IMF Working Papers 02/130, International Monetary Fund. [Downloadable!]
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    8. Ibrahim S. Chowdhury, 2004. "Sources of exchange rate fluctuations: empirical evidence from six emerging market countries," Applied Financial Economics, Taylor and Francis Journals, vol. 14(10), pages 697-705, June. [Downloadable!] (restricted)
    9. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, Economics Bulletin, vol. 6(2), pages 1-11. [Downloadable!]
    10. Guilherme Moura & Sergio Da Silva, 2005. "Testing the Equilibrium Exchange Rate Model," International Finance 0505018, EconWPA. [Downloadable!]
    11. Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, EconWPA. [Downloadable!]
      Other versions:
    12. Richard Clarida & Jordi Gali, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," NBER Working Papers 4658, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    13. Larry A Sjaastad, 1996. "Recent Evolution of the Chilean Real Exchange Rate," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(98), pages 109-132. [Downloadable!]
    14. Mark S Astley & Anthony Garratt, . "Exchange rates and prices: sources of sterling real exchange rate fluctuations 1973-94," Bank of England working papers 85, Bank of England. [Downloadable!]
    15. 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, International Atlantic Economic Society, vol. 26(4), pages 379-396, December. [Downloadable!] (restricted)
    16. 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. [Downloadable!] (restricted)
    17. Larry A Sjaastad, 1998. "Comment on "Tipo de Cambio Real y Gasto Público: Un Modelo Econométrico para Chile"," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(104), pages 139-150. [Downloadable!]
    18. Michael Bergman & Yin-Wong Cheung & Kon S. Lai, 2005. "The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations," FRU Working Papers 2005/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    19. Guilherme, Moura & Sergio, Da Silva, 2006. "Testing the Equilibrium Exchange Rate Model - Updated," MPRA Paper 1871, University Library of Munich, Germany. [Downloadable!]
    20. 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). [Downloadable!]

  22. 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. [Downloadable!] (restricted)
    Other versions:

    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. [Downloadable!] (restricted)
      Other versions:
    2. 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(1), January. [Downloadable!]

  23. Martin D. Evans, 1992. "Expected Returns, Time-Varying Risk and Risk Premia," Working Papers 92-14, New York University, Leonard N. Stern School of Business, Department of Economics.
    Published as:

    Cited by:

    1. Eckbo, B. Espen & Norli, Øyvind, 2004. "The choice of seasoned-equity selling mechanism: Theory and evidence," Discussion Papers 2004/17, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
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    2. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    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. [Downloadable!]
    4. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    5. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. 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. [Downloadable!]
    7. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September. [Downloadable!] (restricted)
    8. Viviana Fernández, 2001. "A Liquidity Premium Puzzle?: Evidence from Chile," Documentos de Trabajo 105, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
    9. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 177-189, January. [Downloadable!] (restricted)

  24. 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. [Downloadable!] (restricted)

    Cited by:

    1. Patrick Artus, 1991. "Politiques de stabilisation, réputation, choix de portefeuille et risque," Annales d'Economie et de Statistique, ADRES, issue 23, pages 03, Juillet-S. [Downloadable!]
    2. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ADRES, issue 24, pages 01, Octobre-D. [Downloadable!]

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

    Cited by:

    1. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers eg0050, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
      Other versions:

  26. Martin D. D. Evans (Georgetown University), . "Understanding Order Flow," Working Papers gueconwpa~05-05-19, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    4. 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. [Downloadable!]
    5. 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, Research Centre. [Downloadable!]
    6. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]
    7. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  27. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), . "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007. [Downloadable!]
      Other versions:
    2. Charles Engel & Akito Matsumoto, 2009. "The International Diversification Puzzle when Goods Prices are Sticky: It's Really about Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 09/12, International Monetary Fund. [Downloadable!]
      Other versions:
    3. Ángel Gavilán & Juan A. Rojas, 2009. "Solving Portfolio Problems with the Smolyak-Parameterized Expectations Algorithm," Banco de España Working Papers 0838, Banco de España. [Downloadable!]
    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, Research Centre. [Downloadable!]
      Other versions:
    5. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2005. "Inflation Premium and Oil Price Volatility," Macroeconomics 0512004, EconWPA, revised 31 Dec 2005. [Downloadable!]
      Other versions:
    6. Ceyhun Bora Durdu, 2007. "Quantitative implications of indexed bonds in small open economies," International Finance Discussion Papers 909, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    7. 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. [Downloadable!] (restricted)
      Other versions:
    8. Cédric Tille & Eric van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    9. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2007. "The Valuation Channel of External Adjustment," NBER Working Papers 12937, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Enrique Martinez-Garcia, 2008. "Globalization and monetary policy: an introduction," Globalization and Monetary Policy Institute Working Paper 11, Federal Reserve Bank of Dallas. [Downloadable!]
    11. 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. [Downloadable!] (restricted)
      Other versions:
    12. Charles Engel & Akito Matsumoto, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 09/138, International Monetary Fund. [Downloadable!]
    13. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany. [Downloadable!]
    14. 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. [Downloadable!]

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

    Cited by:

    1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
      Other versions:
    2. Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    3. Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  29. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), . "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers gueconwpa~05-05-01, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Department of Economics, University of Glasgow. [Downloadable!]
    3. 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. [Downloadable!]
    4. 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. [Downloadable!] (restricted)
    5. 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. [Downloadable!]
      Other versions:
    6. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series 1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
      Other versions:
    7. 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.). [Downloadable!]
    8. 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 Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    9. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    12. 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. [Downloadable!]
    13. Lucio Sarno & Giorgio Valente & H. L. Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 06/136, International Monetary Fund. [Downloadable!]
      Other versions:
    14. 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, Research Centre. [Downloadable!]
    15. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    16. 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. [Downloadable!] (restricted)
    17. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    18. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus. [Downloadable!]
    19. Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank. [Downloadable!]
      Other versions:
    20. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers 2008-006, Federal Reserve Bank of St. Louis. [Downloadable!]

  30. Martin D. D. Evans(Georgetown University and NBER), . "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers gueconwpa~05-05-02, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    2. Martin D.D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers 11042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. 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.). [Downloadable!]
      Other versions:
    4. Konstantins Benkovskis, 2008. "Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators," Working Papers 2008/05, Latvijas Banka. [Downloadable!]
    5. 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.). [Downloadable!]
    6. Cecilia Frale & David Veredas, 2008. "A Monthly Volatility Index for the US Economy," ECARES Working Papers 2008_008, Université Libre de Bruxelles, Ecares. [Downloadable!]
    7. 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. [Downloadable!]
    8. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
      Other versions:
    9. Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Banco de España Working Papers 0807, Banco de España. [Downloadable!]
      Other versions:
    10. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008. [Downloadable!]
    11. Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series 2006-10, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    12. John Galbraith & Greg Tkacz, 2009. "A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data," CIRANO Working Papers 2009s-23, CIRANO. [Downloadable!]

  31. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), . "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Michael B. Devereux & Alan Sutherland, 2007. "Solving for Country Portfolios in Open Economy Macro Models," IMF Working Papers 07/284, International Monetary Fund. [Downloadable!]
      Other versions:
    2. Marcel Fratzscher & Luciana Juvenal & Lucio Sarno, 2007. "Asset prices, exchange rates and the current account," Working Paper Series 790, European Central Bank. [Downloadable!]
      Other versions:
    3. Hervé Boulhol, 2008. "The Convergence of Price–cost Margins," Open Economies Review, Springer, vol. 19(2), pages 221-240, April. [Downloadable!] (restricted)
      Other versions:
    4. 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. [Downloadable!]
    5. Devereux, Michael B & Sutherland, Alan, 2007. "Country Portfolio Dynamics," CEPR Discussion Papers 6208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Michael B Devereux, 2007. "Financial Globalization and Emerging Market Portfolios," IMES Discussion Paper Series 07-E-13, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    7. Michael B. Devereux & Alan Sutherland, 2009. "Valuation Effects and the Dynamics of Net External Assets," NBER Working Papers 14794, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," NBER Technical Working Papers 0318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Silvio Contessi & Pierangelo DePace & Johanna Francis, 2008. "The cyclical properties of disaggregated capital flows," Working Papers 2008-041, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    10. Michael B. Devereux & Alan Sutherland, 2008. "Country portfolios in open economy macro models," Globalization and Monetary Policy Institute Working Paper 09, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    11. 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. [Downloadable!]
      Other versions:
    12. Cédric Tille & Eric van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    13. Enrique Martinez-Garcia, 2008. "Globalization and monetary policy: an introduction," Globalization and Monetary Policy Institute Working Paper 11, Federal Reserve Bank of Dallas. [Downloadable!]
    14. Didier, Tatiana & Lowenkron, Alexandre, 2009. "The current account as a dynamic portfolio choice problem," Policy Research Working Paper Series 4861, The World Bank. [Downloadable!]
    15. Devereux, Michael B. & Sutherland, Alan, 2008. "Financial globalization and monetary policy," Discussion Paper Series 1: Economic Studies 2008,20, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    16. Michael B Devereux & Alan Sutherland, 2007. " Country Portfolio Dynamics," CDMA Conference Paper Series 0706, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
    17. David Amdur, . "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics. [Downloadable!]
    18. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany. [Downloadable!]
    19. Kollmann, Robert, 2006. "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers 5512, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

Articles

  1. 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. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  2. 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. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  3. 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. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  4. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, 04. [Downloadable!] (restricted)

    Cited by:

    1. Peter S. Spiro, 2003. "Evidence on inflation expectations from Canadian real return bonds," Macroeconomics 0312004, EconWPA. [Downloadable!]
    2. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    3. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York. [Downloadable!]
    4. Stefania D'Amico & Don H. Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York. [Downloadable!]
    6. Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    7. 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. [Downloadable!]
    8. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research. [Downloadable!]
    9. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 229-253, September. [Downloadable!] (restricted)
    10. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007. "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche 0741, CIRPEE. [Downloadable!]
    11. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings 304, Econometric Society. [Downloadable!]
    12. Bikbov, Ruslan & Chernov, Mikhail, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. Mauricio Larraín, 2007. "Inflation Compensation and Inflation Expectations in Chile," Working Papers Central Bank of Chile 421, Central Bank of Chile. [Downloadable!]
    14. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September. [Downloadable!]
    15. Christiansen, Charlotte, 2002. "Regime Switching in the Yield Curve," Finance Working Papers 02-13, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    16. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]
    17. Peter Hördahl & Oreste Tristani, 2007. "Mortage interest rate dispersion in the euro area," Working Paper Series 734, European Central Bank. [Downloadable!]
    18. João Libório, 2005. "Dynamic bond portfolio choice in a model with Gaussian diffusion regimes," European Journal of Finance, Taylor and Francis Journals, vol. 11(3), pages 259-270, June. [Downloadable!] (restricted)
    19. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Documents de Travail 191, Banque de France. [Downloadable!]
      Other versions:

  6. 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. [Downloadable!] (restricted)

    Cited by:

    1. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    2. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada. [Downloadable!]
    3. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan. [Downloadable!]
      Other versions:
    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. [Downloadable!]
    5. Agnes S. Joseph & Jan F. Kiviet, 2004. "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers 04-056/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    6. Hau, Harald & Massa, Massimo & 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. [Downloadable!] (restricted)
    7. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    8. 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. [Downloadable!] (restricted)
      Other versions:
    9. Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December. [Downloadable!] (restricted)
      Other versions:
    10. Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research Department. [Downloadable!]
    11. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    12. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2009. "Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    13. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]

  7. 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. [Downloadable!] (restricted)

    Cited by:

    1. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada. [Downloadable!]
    3. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June. [Downloadable!]
      Other versions:
    4. 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. [Downloadable!]
      Other versions:
    5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers 2006s-07, CIRANO. [Downloadable!]
      Other versions:
    7. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. 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. [Downloadable!]
    9. Hau, Harald & Massa, Massimo & 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. [Downloadable!] (restricted)
    10. 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. [Downloadable!]
    11. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]
    13. Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research Department. [Downloadable!]
    14. Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    15. Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank. [Downloadable!]
      Other versions:

  8. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. Evans, Martin D D, 1998. "Dividend Variability and Stock Market Swings," Review of Economic Studies, Blackwell Publishing, vol. 65(4), pages 711-40, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. Martin D. D. Evans, 1998. "Real Rates, Expected Inflation, and Inflation Risk Premia," Journal of Finance, American Finance Association, vol. 53(1), pages 187-218, 02. [Downloadable!] (restricted)

    Cited by:

    1. Peter S. Spiro, 2003. "Evidence on inflation expectations from Canadian real return bonds," Macroeconomics 0312004, EconWPA. [Downloadable!]
    2. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    3. William R. Emmons, 2000. "The information content of Treasury inflation-indexed securities," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-38. [Downloadable!]
    4. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Working Papers 04-43, Bank of Canada. [Downloadable!]
    5. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund. [Downloadable!]
    6. Marielle de Jong & Gilbert Cette, 2008. "The rocky ride of break-even inflation rates," Economics Bulletin, Economics Bulletin, vol. 5(31), pages 1-8. [Downloadable!]
      Other versions:
    7. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society. [Downloadable!]
    8. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics. [Downloadable!]
    9. Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
      Other versions:
    10. 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. [Downloadable!]
    11. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," NBER Working Papers 7005, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research. [Downloadable!]
    13. Neil Arnwine, 2004. "Fisher Equation and Output Growth," Departmental Working Papers 0408, Bilkent University, Department of Economics. [Downloadable!]
    14. Brückner, Markus & Gerling, Kerstin & Grüner, Hans Peter, 2007. "Wealth Inequality and Credit Markets: Evidence from Three Industrialized Countries," CEPR Discussion Papers 6485, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Nicola Anderson & John Sleath, . "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England. [Downloadable!]
    16. Francisco Alonso & Roberto Blanco & Ana del Río, 2001. "Estimating Inflation Expectations using French Government Inflation-Indexed Bonds," Banco de España Working Papers 0111, Banco de España. [Downloadable!]
    17. Mauricio Larraín, 2007. "Inflation Compensation and Inflation Expectations in Chile," Working Papers Central Bank of Chile 421, Central Bank of Chile. [Downloadable!]
    18. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Jacob Ejsing & Juan Angel García & Thomas Werner, 2007. "The term structure of euro area break-even inflation rates - the impact of seasonality," Working Paper Series 830, European Central Bank. [Downloadable!]
    20. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
      Other versions:
    21. Hakan Berument & Kamuran Malatyali, 1999. "Determinants of interest rates in Turkey," Discussion Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    22. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    23. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Banco de España Occasional Papers 0705, Banco de España. [Downloadable!]
      Other versions:
    24. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics. [Downloadable!]
    25. Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    26. Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    27. Peter Hördahl & Oreste Tristani, 2007. "Mortage interest rate dispersion in the euro area," Working Paper Series 734, European Central Bank. [Downloadable!]
    28. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    29. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    30. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund. [Downloadable!]
    31. Dong Fu, 2007. "Inflation expectations, real interest rate and risk premiums -- evidence from bond market and consumer survey data," Working Papers 0705, Federal Reserve Bank of Dallas. [Downloadable!]
    32. Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]

  12. Evans, Martin D D & Lewis, Karen K, 1995. "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 709-42. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. 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 225-53, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  14. Evans, Martin D D, 1994. " Expected Returns, Time-Varying Risk, and Risk Premia," Journal of Finance, American Finance Association, vol. 49(2), pages 655-79, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  16. Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.

    Cited by:

    1. J. Peter Ferderer, 1999. "Credibility of the Interwar Gold Standard, Uncertainty, and the Great Depression," Macroeconomics 9907002, EconWPA. [Downloadable!]
    2. Alison Tarditi, 1996. "Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations," RBA Research Discussion Papers rdp9608, Reserve Bank of Australia. [Downloadable!]
    3. Funda Telatar & Erdinc Telatar, 2003. "The relationship between inflation and different sources of inflation uncertainty in Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 431-435, May. [Downloadable!] (restricted)
    4. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    5. David Smant, 1996. "Re-examining the cyclical behaviour of prices and output," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 651-674, December. [Downloadable!] (restricted)
    6. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú. [Downloadable!]
    7. Michael D. Bordo & Joseph G. Haubrich, 2004. "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Paper 0402, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
    8. Sharon Kozicki & P.A. Tinsley, 2003. "Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information," CFS Working Paper Series 2003/41, Center for Financial Studies. [Downloadable!]
      Other versions:
    9. O'Reilly, B., 1998. "The Benefits of Low Inflation: Taking Shock "A nickel ain't worth a dime any more" [Yogi Berra]," Technical Reports 83, Bank of Canada. [Downloadable!]
    10. Harashima, Taiji, 2007. "Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation," MPRA Paper 3836, University Library of Munich, Germany. [Downloadable!]
    11. John Simon, 1996. "A Markov-Switching Model of Inflation in Australia," RBA Research Discussion Papers rdp9611, Reserve Bank of Australia. [Downloadable!]
    12. Lawrence Goldberg & James Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," Open Economies Review, Springer, vol. 14(3), pages 299-317, July. [Downloadable!] (restricted)
      Other versions:
    13. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    14. da Silva Filho, Tito Nícias Teixeira, 2005. "Is There Too Much Certainty When Measuring Uncertainty," MPRA Paper 16383, University Library of Munich, Germany. [Downloadable!]
    15. Juan Carlos Echeverry G., 1996. "The Rise And Perpetuation Of A Moderate Inflation, Colombia 1970-1991," BORRADORES DE ECONOMIA 003621, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    16. Gregory Gadzinski & Fabrice Orlandi, 2004. "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series 414, European Central Bank. [Downloadable!]
    17. Luca Benati, . "UK monetary regimes and macroeconomic stylised facts," Bank of England working papers 290, Bank of England. [Downloadable!]
      Other versions:
    18. Andrew T. Levin & Jeremy M. Piger, 2003. "Is inflation persistence intrinsic in industrial economies?," Working Papers 2002-023, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    19. Chan G. Huh & Kevin J. Lansing, 1998. "Expectations, credibility, and disinflation in a small macroeconomic model," Working Papers in Applied Economic Theory and Econometrics 98-01, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    20. Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 09 Oct 2000. [Downloadable!]
      Other versions:
    21. John Ammer, 1994. "Inflation, inflation risk, and stock returns," International Finance Discussion Papers 464, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    22. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall. [Downloadable!]
    23. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Departmental Working Papers 0706, Bilkent University, Department of Economics. [Downloadable!]
    24. Crawford, A & Kasumovich, M, 1996. "Does Inflation Uncertainty Vary with the Level of Inflation?," Working Papers 96-09, Bank of Canada. [Downloadable!]
    25. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics. [Downloadable!]
    26. Julia Lendvai, 2006. "Inflation dynamics and regime shifts," Working Paper Series 684, European Central Bank. [Downloadable!]
    27. Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034_v1, HAL. [Downloadable!]
    28. Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Working Papers 99-6, Bank of Canada. [Downloadable!]
    29. Grand Nathalie & Dropsy Vincent, 2005. "Exchange Rate And Inflation Targeting In Morocco And Tunisia," Macroeconomics 0507018, EconWPA. [Downloadable!]
    30. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    31. Taner Yigit, 2002. "Effects of Moments on Aggregation and Long Memory in Inflation," Departmental Working Papers 0210, Bilkent University, Department of Economics. [Downloadable!]
      Other versions:
    32. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219. [Downloadable!]
      Other versions:
    33. George Hondroyiannis & Sophia Lazaretou, 2007. "Inflation persistence during periods of structural change: an assessment using Greek data," Empirica, Springer, vol. 34(5), pages 453-475, December. [Downloadable!] (restricted)
      Other versions:
    34. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
    35. Silvia Sgherri & Tamim Bayoumi, 2004. "Deconstructing the Art of Central Banking," IMF Working Papers 04/195, International Monetary Fund. [Downloadable!]
      Other versions:
    36. Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany. [Downloadable!]
    37. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    38. Sharon Kozicki & Barak Hoffman, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City. [Downloadable!]
    39. Gwen Eudey & Roberto Perli, 1999. "Regime-switching in expectations over the business cycle," Working Papers 99-17, Federal Reserve Bank of Philadelphia. [Downloadable!]
    40. Ragan, Christopher, 1998. "On the Believable Benefits of Low Inflation," Working Papers 98-15, Bank of Canada. [Downloadable!]
    41. Fernando Alexandre & John Drifill & Fabio Spagniolo, 2001. "Inflation Targeting and Exchange Rate Co-ordination," NIPE Working Papers 9/2001, NIPE - Universidade do Minho. [Downloadable!]
    42. 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.). [Downloadable!]
      Other versions:
    43. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    44. Gerald Stuber, 2001. "Implications of Uncertainty about Long-Run Inflation and the Price Level," Working Papers 01-16, Bank of Canada. [Downloadable!]
    45. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Banco de España Working Papers 0812, Banco de España. [Downloadable!]
      Other versions:
    46. Benjamin D. Keen & Evan F. Koenig, 2009. "How robust are popular models of nominal frictions?," Working Papers 0903, Federal Reserve Bank of Dallas. [Downloadable!]
    47. Tsyplakov Alexander, 2001. "Does Lower Inflation Imply Lower Price Uncertainty?," EERC Working Paper Series 2k-06e, EERC Research Network, Russia and CIS. [Downloadable!]

  17. Evans, Martin D. D. & Lewis, Karen K., 1993. "Trends in excess returns in currency and bond markets," European Economic Review, Elsevier, vol. 37(5), pages 1005-1019, June. [Downloadable!] (restricted)

    Cited by:

    1. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA. [Downloadable!]
    2. Avik Chakraborty, 2004. "Learning, the Forward Premium Puzzle and Market Efficiency," University of Oregon Economics Department Working Papers 2005-4, University of Oregon Economics Department, revised 01 Oct 2004. [Downloadable!]
    3. Philip Rothman, . "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. [Downloadable!]
    4. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers 014, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    5. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada. [Downloadable!]
    6. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    7. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics. [Downloadable!]
      Other versions:
    8. 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. [Downloadable!]
    9. Stephen E. Haynes & Avik Chakraborty, 2005. "Econometrics of the forward premium puzzle," University of Oregon Economics Department Working Papers 2005-18, University of Oregon Economics Department. [Downloadable!]

  18. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  19. Evans, Martin & Wachtel, Paul, 1993. "Inflation Regimes and the," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 475-511, August. [Downloadable!] (restricted)

    Cited by:

    1. Guerrieri, Luca, 2002. "Persistent Issues in Inflation Persistence," Review on Economic Cycles, International Association of Economic Cycles, vol. 5(1), December. [Downloadable!]
    2. 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. [Downloadable!] (restricted)
      Other versions:
    3. Luca Guerrieri, 2002. "The inflation persistence of staggered contracts," International Finance Discussion Papers 734, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    4. 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, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    5. Christopher J. Erceg & Andrew T. Levin, 2001. "Imperfect credibility and inflation persistence," Finance and Economics Discussion Series 2001-45, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    6. Michael S. Dueker & Andreas M. Fischer, 1996. "Are federal funds rate changes consistent with price stability? Results from an indicator model," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 45-51. [Downloadable!]
    7. David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
    9. Juan Ayuso & Graciela L. Kaminsky & David López-Salido, 2003. "Inflation regimes and stabilisation policies: Spain 1962-2001," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 615-631, September. [Downloadable!]
    10. 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, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    11. J. Ayuso & G.L. Kaminsky & D. López Salido, . "Inflation regimes and stabilization policies, Spain 1962-1997," Studies on the Spanish Economy 10, FEDEA. [Downloadable!]
    12. Steffen Henzel, 2008. "Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?," Ifo Working Paper Series Ifo Working Paper No. 55, Ifo Institute for Economic Research at the University of Munich. [Downloadable!]

  20. Evans, Martin D. D. & Lothian, James R., 1993. "The response of exchange rates to permanent and transitory shocks under floating exchange rates," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 563-586, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  21. Evans, Martin & Wachtel, Paul, 1992. "Interpreting the Movements in Short-Term Interest Rates," Journal of Business, University of Chicago Press, vol. 65(3), pages 395-429, July. [Downloadable!] (restricted)

    Cited by:

    1. Mauricio Larraín, 2007. "Inflation Compensation and Inflation Expectations in Chile," Working Papers Central Bank of Chile 421, Central Bank of Chile. [Downloadable!]
    2. 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. [Downloadable!] (restricted)
      Other versions:
    3. Christian Mose Nielsen, 2005. "The information content of the term structure of interest rates about future inflation – an illustration of the importance of accounting for a time-varying real interest rate and inflation risk prem," Money Macro and Finance (MMF) Research Group Conference 2005 86, Money Macro and Finance Research Group. [Downloadable!]
    4. Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer, vol. 23(3), pages 225-239, June. [Downloadable!] (restricted)
    5. Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]

  22. Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 169-84, May. [Downloadable!] (restricted)

    Cited by:

    1. Funda Telatar & Erdinc Telatar, 2003. "The relationship between inflation and different sources of inflation uncertainty in Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 431-435, May. [Downloadable!] (restricted)
    2. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú. [Downloadable!]
    3. Carlos Fernández, 2001. "Further Evidence on Friedman's Hypothesis," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 257-273. [Downloadable!]
    4. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    5. Bill RUSSELL & Jonathan EVANS & Bruce PRESTON, 2002. "The Impact of Inflation and Uncertainty on the Optimum Markup Set by Firms," Economics Working Papers ECO2002/02, European University Institute. [Downloadable!]
    6. Alejandro Rodriguez & Esther Ruiz, 2008. "Bootstrap prediction intervals in State Space models," Statistics and Econometrics Working Papers ws081104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    7. da Silva Filho, Tito Nícias Teixeira, 2005. "Is There Too Much Certainty When Measuring Uncertainty," MPRA Paper 16383, University Library of Munich, Germany. [Downloadable!]
    8. Steven Holland, 1994. "Inflation and Wage Indexation in the Postwar U.S," Macroeconomics 9402001, EconWPA. [Downloadable!]
    9. A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Economics and Finance Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    10. Don Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    11. Silvia Sgherri & Tamim Bayoumi, 2004. "Monetary Magic? How the Fed Improved the Supply Side of the Economy," Econometric Society 2004 Far Eastern Meetings 422, Econometric Society. [Downloadable!]
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    12. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 519-544. [Downloadable!]
    13. Crawford, A & Kasumovich, M, 1996. "Does Inflation Uncertainty Vary with the Level of Inflation?," Working Papers 96-09, Bank of Canada. [Downloadable!]
    14. 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. [Downloadable!] (restricted)
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    15. Guglielmo maria Coporale & Alexandros Kontonikas, 2006. "The EURO and Inflation Uncertainty In The EMU," Working Papers 2005_13, Department of Economics, University of Glasgow. [Downloadable!]
    16. Silvia Sgherri & Tamim Bayoumi, 2004. "Monetary Magic? How the Fed Improved the Flexibility of the U.S. Economy," IMF Working Papers 04/24, International Monetary Fund. [Downloadable!]
    17. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219. [Downloadable!]
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    18. WenShwo Fang & Stephen M. Miller & Chih-Chuan Yeh, 2009. "Does a Threshold Inflation Rate Exist? Quantile Inferences for Inflation and Its Variability," Working Papers 0921, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
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    19. Kenneth M. Emery, 1992. "Inflation and its variability: a note?," Research Paper 9205, Federal Reserve Bank of Dallas. [Downloadable!]
    20. Sharon Kozicki & Barak Hoffman, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City. [Downloadable!]
    21. Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29. [Downloadable!]
    22. Guler, Bulent & Ozlale, Umit, 2004. "Is there a flight to quality due to inflation uncertainty?," MPRA Paper 7929, University Library of Munich, Germany. [Downloadable!]
    23. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON. [Downloadable!]
    24. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, . "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York. [Downloadable!]
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    25. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Banco de España Working Papers 0812, Banco de España. [Downloadable!]
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    26. Tsyplakov Alexander, 2001. "Does Lower Inflation Imply Lower Price Uncertainty?," EERC Working Paper Series 2k-06e, EERC Research Network, Russia and CIS. [Downloadable!]

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This page was last updated on 2009-12-13.

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