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Ian Marsh

Citations

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

Working papers

  1. Accominotti, Olivier & Cen, Jason & Chambers, David & Marsh, Ian W, 2019. "Currency Regimes and the Carry Trade," CEPR Discussion Papers 13571, C.E.P.R. Discussion Papers.

    Cited by:

    1. Alain Naef & Jacob P. Weber, 2021. "Regional How Powerful is Unannounced, Sterilized Foreign Exchange Intervention?," Working papers 834, Banque de France.
    2. Olivier Accominotti & Thilo N. H. Albers & Kim Oosterlinck, 2023. "Selective Default Expectations," Rationality and Competition Discussion Paper Series 425, CRC TRR 190 Rationality and Competition.
    3. Bruno Thiago Tomio & Guillaume Vallet, 2021. "Carry Trade and Negative Policy Rates in Switzerland : Low-lying fog or storm ?," Post-Print halshs-03669561, HAL.
    4. Alain Naef & Jacob P. Weber, 2023. "How Powerful Is Unannounced, Sterilized Foreign Exchange Intervention?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(5), pages 1307-1319, August.
    5. Monnet, Eric & Bordo, Michael & Naef, Alain, 2017. "The Gold Pool (1961-1968) and the fall of the Bretton Woods system. Lessons for central bank cooperation," CEPR Discussion Papers 12425, C.E.P.R. Discussion Papers.
    6. Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
    7. Ulm, M. & Hambuckers, J., 2022. "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 125-148.
    8. Roger Vicquéry, 2022. "The Rise and Fall of Global Currencies over Two Centuries," Working papers 882, Banque de France.

  2. Ian W. Marsh & Wolf Wagner, 2012. "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Tinbergen Institute Discussion Papers 12-033/IV/DSF33, Tinbergen Institute.

    Cited by:

    1. Procasky, William J., 2021. "Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors," Journal of Financial Markets, Elsevier, vol. 54(C).
    2. Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022. "European Sovereign Bond and Stock Market Granger Causality Dynamics," The Warwick Economics Research Paper Series (TWERPS) 1405, University of Warwick, Department of Economics.
    3. Vincent Xiang & Michael T. Chng & Victor Fang, 2017. "The economic significance of CDS price discovery," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 1-30, January.
    4. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
    5. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    6. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
    7. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
    8. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2017. "Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 93-106.
    9. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2014. "Do private signals of a bank s creditworthiness predict the bank s CDS price? Evidence from the Eurosystem's overnight loan rates," Bank of Finland Research Discussion Papers 9/2014, Bank of Finland.
    10. Silaghi, Florina & Martín-Oliver, Alfredo & Sewaid, Ahmed, 2022. "The CDS market reaction to loan renegotiation announcements," Journal of Banking & Finance, Elsevier, vol. 138(C).
    11. Lee, Jongsub & Naranjo, Andy & Velioglu, Guner, 2018. "When do CDS spreads lead? Rating events, private entities, and firm-specific information flows," Journal of Financial Economics, Elsevier, vol. 130(3), pages 556-578.
    12. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, April.
    13. Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    14. Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015. "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 116-130.
    15. William J. Procasky & Anwen Yin, 2022. "Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1466-1490, August.

  3. Marsh, Ian W. & Wagner, Wolf, 2012. "Why is price discovery in credit default swap markets news-specific?," Bank of Finland Research Discussion Papers 6/2012, Bank of Finland.

    Cited by:

    1. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2014. "Do private signals of a bank s creditworthiness predict the bank s CDS price? Evidence from the Eurosystem's overnight loan rates," Bank of Finland Research Discussion Papers 9/2014, Bank of Finland.
    2. Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

  4. Kentaro Iwatsubo & Ian W. Marsh, 2011. "Order Flows, Fundamentals and Exchange Rates," Discussion Papers 1120, Graduate School of Economics, Kobe University.

    Cited by:

    1. Anton Kuzmin, 2022. "Mathematical Exchange Rates Modeling: Equilibrium and Nonequilibrium Dynamics," Mathematics, MDPI, vol. 10(24), pages 1-19, December.
    2. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    3. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.

  5. Paul Hallwood & Ronald MacDonald & Ian Marsh, 2007. "Did Impending War in Europe Help Destroy the Gold Bloc in 1936? An Internal Inconsistency Hypothesis," Working papers 2007-23, University of Connecticut, Department of Economics.

    Cited by:

    1. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics.

  6. Goderis, B.V.G. & Marsh, I. & Vall Castello, J. & Wagner, W.B., 2006. "Bank Behavior with Access to Credit Risk Transfer Markets," Discussion Paper 2006-100, Tilburg University, Center for Economic Research.

    Cited by:

    1. Darrell Duffie, 2008. "Innovations in credit risk transfer: implications for financial stability," BIS Working Papers 255, Bank for International Settlements.
    2. Marsh, Ian W., 2006. "The effect of lenders' credit risk transfer activities on borrowing firms' equity returns," Bank of Finland Research Discussion Papers 31/2006, Bank of Finland.
    3. Norden, Lars & Wagner, Wolf, 2008. "Credit derivatives and loan pricing," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2560-2569, December.
    4. Carbo-Valverde, Santiago & Degryse, Hans & Rodríguez-Fernández, Francisco, 2015. "The impact of securitization on credit rationing: Empirical evidence," Journal of Financial Stability, Elsevier, vol. 20(C), pages 36-50.
    5. Jer-Shiou Chiou & Bor-Yi Huang & Pei-Shan Wu & Chun-Ni Tsai, 2011. "The impacts of diversified operations on lending of financial institution," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(4), pages 587-599, June.
    6. Norden, L. & Wagner, W.B., 2007. "Credit Derivatives and Loan Pricing," Other publications TiSEM eb6693d1-7ce6-485f-80cb-5, Tilburg University, School of Economics and Management.
    7. Wagner, Wolf, 2007. "Financial development and the opacity of banks," Economics Letters, Elsevier, vol. 97(1), pages 6-10, October.
    8. Hirtle, Beverly, 2009. "Credit derivatives and bank credit supply," Journal of Financial Intermediation, Elsevier, vol. 18(2), pages 125-150, April.
    9. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Discussion Paper 2013-068, Tilburg University, Center for Economic Research.
    10. Dayanand Arora & Francis Xavier Rathinam, 2011. "OTC derivatives market in India: recent regulatory initiatives and open issues for market stability and development," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 235-261, April.
    11. Michalak, Tobias C. & Uhde, André, 2012. "Credit risk securitization and bank soundness in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 272-285.
    12. Hasan Cömert & Gerald Epstein, 2016. "Finansal Yenilik Yazinindaki Son Gelismeler," STPS Working Papers 1604, STPS - Science and Technology Policy Studies Center, Middle East Technical University, revised Jan 2016.
    13. Kara, Alper & Marques-Ibanez, David & Ongena, Steven, 2016. "Securitization and lending standards: Evidence from the European wholesale loan market," Journal of Financial Stability, Elsevier, vol. 26(C), pages 107-127.
    14. Ongena, Steven & Kara, Alper & Marqués-Ibáñez, David, 2017. "Securitization and credit quality," Working Paper Series 2009, European Central Bank.
    15. Fabio Panetta & Alberto Franco Pozzolo, 2018. "Why do banks securitise their assets? Bank-level evidence from over one hundred countries in the pre-crisis period," Temi di discussione (Economic working papers) 1183, Bank of Italy, Economic Research and International Relations Area.
    16. Larry E. Jones & Rodolfo E. Manuelli, 2001. "Endogenous Policy Choice: The Case of Pollution and Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(2), pages 369-405, July.
    17. Arnold, Marc, 2013. "This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can t," Working Papers on Finance 1321, University of St. Gallen, School of Finance, revised Dec 2014.
    18. Zimmermann, Heinz, 2007. "Credit risk transfer, hedge funds, and the supply of liquidity," Working papers 2007/20, Faculty of Business and Economics - University of Basel.
    19. Yener Altunbas & Leonardo Gambacorta & David Marques, 2008. "Securitization and the bank lending channel," Proceedings 1101, Federal Reserve Bank of Chicago.
    20. Cerasi, Vittoria & Rochet, Jean-Charles, 2014. "Rethinking the regulatory treatment of securitization," Journal of Financial Stability, Elsevier, vol. 10(C), pages 20-31.
    21. Nijskens, Rob & Wagner, Wolf, 2011. "Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks to the financial system at the same time," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1391-1398, June.
    22. Fecht, Falko & Wagner, Wolf, 2009. "The marketability of bank assets, managerial rents and banking stability," Journal of Financial Stability, Elsevier, vol. 5(3), pages 272-282, September.
    23. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.

  7. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.

    Cited by:

    1. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
    2. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    3. Carlos León & Jhonatan Pérez, 2014. "Caracterización y comparación del mercado OTC de valores en Colombia," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(31), pages 223-250, July-Dece.
    4. Mr. Renzo G Avesani, 2005. "FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability," IMF Working Papers 2005/232, International Monetary Fund.
    5. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
    6. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo.
    7. Mr. Renzo G Avesani & Ms. Jing Li & Antonio I Garcia Pascual, 2006. "A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket," IMF Working Papers 2006/105, International Monetary Fund.

  8. Paul Hallwood & Ian W. Marsh & Joerg Scheibe, 2004. "An Assessment of the Case for Monetary Union or Official Dollarization in Argentina, Brazil, Chile, Uruguay and Venezuela," Working papers 2004-13, University of Connecticut, Department of Economics.

    Cited by:

    1. Carlos Montoro & Eduardo Moreno, 2007. "Regla fiscal estructural y el ciclo del producto," Monetaria, CEMLA, vol. 0(2), pages 107-132, marzo-abr.
    2. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Transmission des chocs et mécanismes d'ajustement dans le Mercosur," Revue de l'OFCE, Presses de Sciences-Po, vol. 101(2), pages 355-392.
    3. Cruz-Rodríguez, Alexis, 2005. "Ciclos Económicos Sincronizados y Uniones Monetarias en Centroamérica y la República Dominicana [Business Cycles Synchronisation and Monetary Union in Central American and the Dominican Republic]," MPRA Paper 72104, University Library of Munich, Germany.
    4. Jean-Pierre Allegret & Alain Sand-Zantman, 2009. "Modeling the Impact of Real and Financial Shocks on Mercosur: The Role of the Exchange Rate Regime," Open Economies Review, Springer, vol. 20(3), pages 359-384, July.
    5. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches," Post-Print halshs-00238495, HAL.
    6. Bernardo X. Fernández Tellería, 2006. "Dollarization hysteresis network externalities and the "Past legacy" effect: The case of Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 9(1), pages 7-64, December.
    7. Neves, J. Anchieta & Stocco, Leandro & Da Silva, Sergio, 2007. "Is Mercosur an optimum currency area?," MPRA Paper 2758, University Library of Munich, Germany.
    8. Henry Vargas Campos & Jacqueline Zamora Bolaños, 2007. "Proyección de inflación en una economía pequeña y abierta usando modelos de estado espacio con cambio de régimen: caso de Costa Rica," Monetaria, CEMLA, vol. 0(2), pages 133-166, marzo-abr.

  9. Marsh, Ian W & Wagner, Wolf, 2004. "Credit Risk Transfer and Financial Sector Performance," CEPR Discussion Papers 4265, C.E.P.R. Discussion Papers.

    Cited by:

    1. Calice, Giovanni & Ioannidis, Christos, 2012. "An empirical analysis of the impact of the credit default swap index market on large complex financial institutions," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 117-130.
    2. Ms. Li L Ong & Mr. Jorge A Chan-Lau, 2006. "The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions," IMF Working Papers 2006/139, International Monetary Fund.
    3. R. Vander Vennet & O. De Jonghe & L. Baele, 2004. "Bank risks and the business cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/264, Ghent University, Faculty of Economics and Business Administration.
    4. Wagner, Wolf & Marsh, Ian W., 2006. "Credit risk transfer and financial sector stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 173-193, June.
    5. Gabriella Chiesa, 2008. "Optimal Credit Risk Transfer, Monitored Finance, and Banks," EIEF Working Papers Series 0811, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2008.
    6. Zimmermann, Heinz, 2007. "Credit risk transfer, hedge funds, and the supply of liquidity," Working papers 2007/20, Faculty of Business and Economics - University of Basel.
    7. James R. Thompson, 2007. "Counterparty Risk In Insurance Contracts: Should The Insured Worry About The Insurer?," Working Paper 1136, Economics Department, Queen's University.

  10. Roberto Blanco & Simon Brennan & Ian W Marsh, 2004. "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England.

    Cited by:

    1. Sergio Mayordomo & Juan Ignacio Pe~na & Eduardo S. Schwartz, 2022. "Are all Credit Default Swap Databases equal?," Papers 2202.02273, arXiv.org.
    2. Schulz, Alexander & Stapf, Jelena, 2009. "Price discovery on traded inflation expectations: does the financial crisis matter?," Discussion Paper Series 1: Economic Studies 2009,25, Deutsche Bundesbank.
    3. Weber, Martin & Norden, Lars, 2004. "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers 4674, C.E.P.R. Discussion Papers.
    4. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
    5. René M. Stulz, 2009. "Credit Default Swaps and the Credit Crisis," NBER Working Papers 15384, National Bureau of Economic Research, Inc.
    6. Jiri Podpiera & Ms. Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 2010/153, International Monetary Fund.
    7. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.
    8. Frolova, Elvina & Fantazzini, Dean, 2012. "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 3-24.
    9. Miroslav Mateev, 2019. "Volatility relation between credit default swap and stock market: new empirical tests," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 681-712, October.
    10. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson & David Schranz, 2005. "Measuring default risk premia from default swap rates and EDFs," BIS Working Papers 173, Bank for International Settlements.
    11. John Ammer & Fang Cai, 2007. "Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?," International Finance Discussion Papers 912, Board of Governors of the Federal Reserve System (U.S.).
    12. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
    13. Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
    14. Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.
    15. Delis, Manthos D & Mylonidis, Nikolaos, 2010. "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," MPRA Paper 25270, University Library of Munich, Germany.
    16. Nielsen, Caren Yinxia, 2011. "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers 2011:38, Lund University, Department of Economics, revised 01 Oct 2016.
    17. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December.
    18. Nathalie Rey, 2009. "Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities," Papers 0911.4039, arXiv.org.
    19. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
    20. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
    21. Mariya Paskaleva & Ani Stoitsova-Stoykova, 2017. "Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 172-179.
    22. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
    23. Haibin Zhu, 2004. "An empirical comparison of credit spreads between the bond market and the credit default swap market," BIS Working Papers 160, Bank for International Settlements.
    24. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
    25. Acharya, Viral & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
    26. Vogel, Heinz-Dieter & Bannier, Christina E. & Heidorn, Thomas, 2013. "Functions and characteristics of corporate and sovereign CDS," Frankfurt School - Working Paper Series 203, Frankfurt School of Finance and Management.
    27. M. Kabir Hassan & Thiti S. Ngow & Jung Suk-Yu, 2011. "Determinants of Credit Default Swaps in International Markets," NFI Working Papers 2011-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
    28. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
    29. Budnik, Katarzyna & Groß, Johannes & Vagliano, Gianluca & Dimitrov, Ivan & Lampe, Max & Panos, Jiri & Velasco, Sofia & Boucherie, Louis & Jančoková, Martina, 2023. "BEAST: A model for the assessment of system-wide risks and macroprudential policies," Working Paper Series 2855, European Central Bank.
    30. Alessandro Carboni, 2011. "The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia," Temi di discussione (Economic working papers) 821, Bank of Italy, Economic Research and International Relations Area.
    31. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Papers (Old Series) 0705, Federal Reserve Bank of Cleveland.
    32. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, University of Reading.
    33. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2022. "Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 59(C).
    34. Mr. Jorge A Chan-Lau, 2006. "Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices," IMF Working Papers 2006/148, International Monetary Fund.
    35. Rohan Churm & Nikolaos Panigirtzoglou, 2005. "Decomposing credit spreads," Bank of England working papers 253, Bank of England.
    36. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
    37. Byström, Hans N. E., 2005. "Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market," Working Papers 2005:24, Lund University, Department of Economics, revised 15 May 2005.
    38. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
    39. Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011. "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers 35, Brandeis University, Department of Economics and International Business School, revised May 2013.
    40. Völz, Manja & Wedow, Michael, 2009. "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies 2009,06, Deutsche Bundesbank.
    41. Ibrahim Ethem Guney & Doruk Kucuksarac & Yigit Onay, 2020. "Modelling Sovereign Credit Risk: Binomial Approach," CBT Research Notes in Economics 2009, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    42. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 321-334.
    43. Hao Wang & Hao Zhou & Yi Zhou, 2011. "Credit default swap spreads and variance risk premia," Finance and Economics Discussion Series 2011-02, Board of Governors of the Federal Reserve System (U.S.).
    44. Mark J Manning, 2004. "Exploring the relationship between credit spreads and default probabilities," Bank of England working papers 225, Bank of England.
    45. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
    46. Mayordomo, Sergio & Peña, Juan Ignacio & Romo, Juan, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    47. Stuart Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Staff Working Papers 08-1, Bank of Canada.
    48. Baba, Naohiko & Inada, Masakazu, 2009. "Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 616-632, October.
    49. Mr. Jorge A Chan-Lau & Ms. Yoon Sook Kim, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 2004/027, International Monetary Fund.
    50. Didier Cossin & Hongze Lu, 2005. "Are European Corporate Bond and Default Swap Markets Segmented?," FAME Research Paper Series rp133, International Center for Financial Asset Management and Engineering.
    51. Peña, Juan Ignacio & Forte, Santiago, 2006. "Credit spreads: theory and evidence about the information content of stocks, bonds and cdss," DEE - Working Papers. Business Economics. WB wb063310, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    52. Mr. Jorge A Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance," IMF Working Papers 2006/104, International Monetary Fund.
    53. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    54. Adela Luque, 2005. "Skill mix and technology in Spain: evidence from firm level data," Working Papers 0513, Banco de España.
    55. Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009. "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers 2008 - 2015 388, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

  11. C. Paul Hallwood & Ian W. Marsh, 2003. "Exchange Market Pressure on the Pound-Dollar Exchange Rate: 1925-1931," Working papers 2003-23, University of Connecticut, Department of Economics.

    Cited by:

    1. Augustine A. Boakye & Hassan Molana, 2007. "Fluctuation in the International Currency Reserves of Less Developed Countries: HIPC vs Non-HIPC," Dundee Discussion Papers in Economics 203, Economic Studies, University of Dundee.
    2. Franc Klaassen & Henk Jager, 2007. "Model-free Measurement of Exchange Market Pressure," Tinbergen Institute Discussion Papers 06-112/2, Tinbergen Institute.

  12. Paul Hallwood & Ian W. Marsh & Jorg Scheibe, 2001. "Official Dollarization in Latin America: Could it Work?," Working papers 2001-06, University of Connecticut, Department of Economics.

    Cited by:

    1. Cruz-Rodríguez, Alexis, 2005. "Ciclos Económicos Sincronizados y Uniones Monetarias en Centroamérica y la República Dominicana [Business Cycles Synchronisation and Monetary Union in Central American and the Dominican Republic]," MPRA Paper 72104, University Library of Munich, Germany.

  13. MacDonald, Ronald & Marsh, Ian W, 1999. "Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen," CEPR Discussion Papers 2210, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
    2. Guerreiro, David, 2014. "Is the European debt crisis a mere balance of payments crisis?," Economic Modelling, Elsevier, vol. 44(S1), pages 50-56.
    3. Martin Melecky, 2008. "A Structural Investigation of Third‐Currency Shocks to Bilateral Exchange Rates," International Finance, Wiley Blackwell, vol. 11(1), pages 19-48, May.
    4. Bjørnland, Hilde C. & Hungnes, Håvard, 2003. "Fundamental determinants of the long run real exchange rate: The case of Norway," Memorandum 23/2002, Oslo University, Department of Economics.
    5. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
    6. Melecky, M, 2007. "Currency Preferences in a Tri-Polar Model of Foreign Exchange," MPRA Paper 4186, University Library of Munich, Germany.
    7. Lindblad, Hans & Sellin, Peter, 2006. "A Simultaneous Model of the Swedish Krona, the US Dollar and the Euro," Working Paper Series 193, Sveriges Riksbank (Central Bank of Sweden).
    8. Pami Dua & Ritu Suri, 2019. "Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 102-136, April.
    9. Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.

  14. Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.

    Cited by:

    1. Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
    2. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers 2014-235, Department of Research, Ipag Business School.
    3. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," Working Papers halshs-02956879, HAL.
    4. Stephan Schulmeister, 2014. "A General Financial Transactions Tax. Motives, Effects and Implementation According to the Proposal of the European Commission," WIFO Working Papers 461, WIFO.
    5. Timo WOLLMERSHAEUSER & Robert SCHMIDT, 2010. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," EcoMod2004 330600162, EcoMod.
    6. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    7. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    8. Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
    9. Yin-Wong Cheung & Daniel Friedman, 2008. "Speculative Attacks: A Laboratory Study in Continuous Time," CESifo Working Paper Series 2420, CESifo.
    10. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
    11. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis.
    12. 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.
    13. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
    14. Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
    15. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    16. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    17. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
    18. Christopher J. Neely, 2007. "Central bank authorities’ beliefs about foreign exchange intervention," Working Papers 2006-045, Federal Reserve Bank of St. Louis.
    19. Gehrig, Thomas & Menkhoff,Lukas, 2004. "The Rise of Fund Managers in Foreign Exchange: Will Fundamentals Ultimately Dominate?," Hannover Economic Papers (HEP) dp-308, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    20. Andreas M. Fischer & Ulan Termechikov, 2007. "Do FX traders in Bishkek have similar perceptions to their London colleagues? Survey evidence of market practitioners' views," Working Papers 2007-01, Swiss National Bank.
    21. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Bubbles and Crashes in a Behavioural Finance Model," Working Paper Series 164, Sveriges Riksbank (Central Bank of Sweden).
    22. Olivier Jeanne & Andrew K. Rose, 2002. "Noise Trading and Exchange Rate Regimes," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 537-569.
    23. Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
    24. Buchanan, Bonnie & Silvola, Hanna & Vähämaa, Emilia, 2023. "Sustainability and private investors," Bank of Finland Research Discussion Papers 14/2023, Bank of Finland.
    25. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Markov switching regimes in a monetary exchange rate model," Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
    26. Cimadomo, Jacopo & Claeys, Peter & Poplawski-Ribeiro, Marcos, 2016. "How do experts forecast sovereign spreads?," European Economic Review, Elsevier, vol. 87(C), pages 216-235.
    27. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
    28. Stephan Schulmeister, 2009. "Trading Practices and Price Dynamics in Commodity Markets and the Stabilising Effects of a Transaction Tax," WIFO Studies, WIFO, number 34919, February.
    29. Demir, Firat, 2010. "Exchange Rate Volatility and Employment Growth in Developing Countries: Evidence from Turkey," World Development, Elsevier, vol. 38(8), pages 1127-1140, August.
    30. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    31. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
    32. Stephan Schulmeister, 2023. "Stabilizing Asset Prices through Transition from Continuous Trading to Electronic Auctions," WIFO Working Papers 666, WIFO.
    33. Michael KUEHL, 2008. "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
    34. De Grauwe, Paul & Markiewicz, Agnieszka, 2013. "Learning to forecast the exchange rate: Two competing approaches," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
    35. Poskitt, Russell, 2005. "Bid/ask spreads in the foreign exchange market: An alternative interpretation," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 562-583, November.
    36. Yunus Aksoy & Kurmas Akdogan, 2006. "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006 12, Society for Computational Economics.
    37. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics.
    38. Christel Dumas & Céline Louche, 2016. "Collective beliefs for responsible investment," Post-Print hal-01183744, HAL.
    39. Stephan Schulmeister, 2012. "Technical Trading and Commodity Price Fluctuations," WIFO Studies, WIFO, number 45238, February.
    40. Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
    41. De Grauwe, Paul & Grimaldi, Marianna, 2005. "Heterogeneity of agents, transactions costs and the exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 691-719, April.
    42. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857, February.
    43. Stephan Schulmeister, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 190-201, October.
    44. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    45. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    46. Frömmel, Michael & Lampaert, Kevin, 2016. "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, vol. 18(C), pages 177-183.
    47. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers hal-04141348, HAL.
    48. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    49. Rime,D., 2000. "Private or public information in foreign exchange markets? : an empirical analysis," Memorandum 14/2000, Oslo University, Department of Economics.
    50. Hao-Chen Liu, 2011. "Timing of price clustering and trader behavior in the foreign exchange market: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 198-210, April.
    51. Menkhoff, Lukas, 2010. "The use of technical analysis by fund managers: International evidence," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2573-2586, November.
    52. Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
    53. Hua, Mingshu, 2009. "A study on foreign exchange dealers' bid-ask spread quote behavior," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 506-523, September.
    54. Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.
    55. Jiří Škop & Jan Vejmělek, 2009. "Od parity kupní síly k natrexu - případ české koruny [From PPP to Natrex - the Case of Czech Crown]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(3), pages 323-343.
    56. Alexander Mende & Lukas Menkhoff, 2003. "Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure," International Finance, Wiley Blackwell, vol. 6(2), pages 227-247, July.
    57. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
    58. Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Business School.
    59. 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.
    60. Oberlechner, Thomas & Hocking, Sam, 2004. "Information sources, news, and rumors in financial markets: Insights into the foreign exchange market," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 407-424, June.
    61. Sarantis, Nicholas, 2006. "On the short-term predictability of exchange rates: A BVAR time-varying parameters approach," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2257-2279, August.
    62. John Harvey, 2009. "Currency Market Participants' Mental Model and the Collapse of the Dollar: 2001-2008," Journal of Economic Issues, Taylor & Francis Journals, vol. 43(4), pages 931-949.
    63. Thomas Oberlechner & Carol Osler, 2009. "Overconfidence in Currency Markets," Working Papers 02, Brandeis University, Department of Economics and International Business School.
    64. Aleksander Olstad & George Filis & Stavros Degiannakis, 2021. "Oil and currency volatilities: Co‐movements and hedging opportunities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2351-2374, April.
    65. Tweneboah Senzu, Emmanuel, 2020. "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper 99933, University Library of Munich, Germany.
    66. Bruno Jetin, 2003. "How can a Currency Transaction Tax Stabilize Foreign Exchange Markets?," Post-Print halshs-03211712, HAL.
    67. Sarantis, Nicholas, 2006. "Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1168-1186, November.
    68. Mazza, Paolo & Petitjean, Mikael, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," LIDAM Reprints LFIN 2019006, Université catholique de Louvain, Louvain Finance (LFIN).
    69. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    70. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    71. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    72. Peter H. Sullivan, 2013. "Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?," 2013 Papers psu387, Job Market Papers.
    73. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
    74. Schulmeister, Stephan, 2007. "Die manisch-depressiven Preisschwankungen auf den Finanzmärkten - Wie macht das die 'unsichtbare Hand'?," WSI-Mitteilungen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 60(12), pages 657-663.
    75. Steve Furnagiev & Josh Stillwagon, 2015. "Subjective Currency Risk Premia and Deviations from Moving Averages," Working Papers 1506, Trinity College, Department of Economics.
    76. Kari Heimonen, 2009. "The euro–dollar exchange rate and equity flows," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 202-209, October.
    77. Changmo Ahn & George Fane & And Euy-Hoon Suh, 2004. "Forex Dealers‘ Perspectives On Exchange Rate Determination In Korea," Economic Papers, The Economic Society of Australia, vol. 23(2), pages 140-151, June.
    78. Lendvai, Julia & Raciborski, Rafal & Vogel, Lukas, 2013. "Macroeconomic effects of an equity transaction tax in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 466-482.
    79. Marcin Sasin, 2002. "Predicting Currency Crises, the Ultimate Significance of Macroeconomic Fundamentals in Linear Specifications with Nonlinear Extensions," CASE Network Studies and Analyses 0224, CASE-Center for Social and Economic Research.
    80. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
    81. Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, University Library of Munich, Germany, revised 01 Jul 2004.
    82. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    83. Torben Lütje & Lukas Menkhoff, 2007. "What drives home bias? Evidence from fund managers' views," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 21-35.
    84. Liang Ding, 2009. "Bid-ask spread and order size in the foreign exchange market: an empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 98-105.
    85. Naveen Kumar Baradi & Sanjay Mohapatra, 2014. "The Use of Technical and Fundamental Analyses By Stock Exchange Brokers: Indian Evidence," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 2(4), pages 190-203.
    86. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
    87. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    88. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
    89. Cavusoglu Nevin, 2011. "Exchange Rates and the Effectiveness of Actual and Oral Official Interventions: A Survey on Findings, Issues and Policy Implications," Global Economy Journal, De Gruyter, vol. 10(4), pages 1-42, January.
    90. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, February.
    91. Gehrig, Thomas & Menkhoff, Lukas, 2004. "The use of flow analysis in foreign exchange: exploratory evidence," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
    92. 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.
    93. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
    94. Dick, Christian D. & Menkhoff, Lukas, 2012. "Exchange rate expectations of chartists and fundamentalists," ZEW Discussion Papers 12-026, ZEW - Leibniz Centre for European Economic Research.
    95. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.
    96. Paul Gaskell & Frank McGroarty & Thanassis Tiropanis, 2014. "Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags," Papers 1409.6443, arXiv.org.
    97. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," University of Göttingen Working Papers in Economics 89, University of Goettingen, Department of Economics.
    98. Tarun Ramadorai, 2008. "What determines transaction costs in foreign exchange markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 14-25.
    99. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
    100. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.
    101. Junttila, Juha & Korhonen, Marko, 2011. "Nonlinearity and time-variation in the monetary model of exchange rates," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 288-302, June.

  15. Ian W. Marsh & Mr. Stephen Tokarick, 1994. "Competitiveness Indicators: A Theoretical and Empirical Assessment," IMF Working Papers 1994/029, International Monetary Fund.

    Cited by:

    1. Mr. Rupert D Worrell, 2003. "A Currency Union for the Caribbean," IMF Working Papers 2003/035, International Monetary Fund.
    2. M. Kovalčík, 2011. "Profitability and competitiveness of forestry in European countries," Journal of Forest Science, Czech Academy of Agricultural Sciences, vol. 57(9), pages 369-376.
    3. Carlos Huertas Campos & Consuelo Villalba Torres & Julián Parra, 2004. "Índice De Competitividad Colombiana Con Terceros Países En El Mercado Estadounidense (Itcr-C)," Borradores de Economia 2836, Banco de la Republica.
    4. Eckhard Siggel, 2006. "International Competitiveness and Comparative Advantage: A Survey and a Proposal for Measurement," Journal of Industry, Competition and Trade, Springer, vol. 6(2), pages 137-159, June.
    5. Ayda Eraydın & Bilge Armatlı Köroğlu & Hilal Erkuş Öztürk & Suna Senem Yaşar, 2008. "Network Governance for Competitiveness: The Role of Policy Networks in the Economic Performance of Settlements in the Izmir Region," Urban Studies, Urban Studies Journal Limited, vol. 45(11), pages 2291-2321, October.
    6. Crt Lenarcic & Sowmya Gayathri Ganesh, 2020. "Calculation Methodology of the Effective Exchange Rate in Slovenia," Journal of Innovative Business and Management, DOBA Faculty, vol. 12(2), pages 20-37.
    7. Dominique Peters, 2010. "Price Competitiveness in Central and Eastern Europe - a case study for transition economies," IMK Studies 01-2010, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    8. International Monetary Fund, 2002. "Tunisia’s Experience with Real Exchange Rate Targeting and the Transition to a Flexible Exchange Rate Regime," IMF Working Papers 2002/190, International Monetary Fund.
    9. Ingrid Majerová & Jan Nevima, 2018. "Influence of National Competitiveness Indicators on the Export Performance of the Visegrad Group Plus Countries," DANUBE: Law and Economics Review, European Association Comenius - EACO, issue 1, pages 19-36, March.
    10. Mr. Charalambos G Tsangarides & Mr. Gustavo Ramirez, 2007. "Competitiveness in the CFA Franc Zone," IMF Working Papers 2007/212, International Monetary Fund.
    11. Dilek Cetin & Michele Cincera, 2015. "Circular Causality of R&D and Export in EU countries," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 1(1), pages 82-105, June.
    12. Naoko C. Kojo, 2015. "Demystifying Dutch Disease," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-23.
    13. Ms. Valerie Cerra & Mr. Jarkko Soikkeli, 2002. "How Competitive Is Irish Manufacturing?," IMF Working Papers 2002/160, International Monetary Fund.
    14. Kornélia Krajnyák & Jeromin Zettelmeyer, 1998. "Competitiveness in Transition Economies: What Scope for Real Appreciation?," IMF Staff Papers, Palgrave Macmillan, vol. 45(2), pages 309-362, June.
    15. Mr. Luc Eyraud, 2009. "Madagascar: A Competitiveness and Exchange Rate Assessment," IMF Working Papers 2009/107, International Monetary Fund.
    16. Valdes, Constanza & Hjort, Kim & Seeley, Ralph, 2020. "Brazil’s Agricultural Competitiveness: Recent Growth and Future Impacts Under Currency Depreciation and Changing Macroeconomic Conditions," Agricultural Economic Reports 305689, United States Department of Agriculture, Economic Research Service.
    17. International Monetary Fund, 2009. "Republic of Congo: Selected Issues," IMF Staff Country Reports 2009/072, International Monetary Fund.
    18. Alege, Philip O. & Okodua, Henry, 2014. "International Competitiveness and Growth of the Nigerian Economy: A Structural VAR-Based Perspective," Research in Applied Economics, Macrothink Institute, vol. 6(4), pages 53-74, December.
    19. Bogetic, Zeljko & Espina, Carlos & Noer, John, 2007. "Cote d'Ivoire : competitiveness, Cocoa, and the real exchange rate," Policy Research Working Paper Series 4416, The World Bank.

Articles

  1. Accominotti, Olivier & Cen, Jason & Chambers, David & Marsh, Ian W., 2019. "Currency Regimes and the Carry Trade," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(5), pages 2233-2260, October.
    See citations under working paper version above.
  2. Ian W. Marsh & Wolf Wagner, 2016. "News-Specific Price Discovery in Credit Default Swap Markets," Financial Management, Financial Management Association International, vol. 45(2), pages 315-340, May.

    Cited by:

    1. Laura Ballester & Ana Mónica Escrivá & Ana González-Urteaga, 2021. "The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence," Mathematics, MDPI, vol. 9(11), pages 1-23, May.
    2. Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
    3. Florian Kiesel & Sascha Kolaric, 2018. "Measuring the effect of watch-preceded and direct rating changes: a note on credit markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 653-672, February.
    4. Rajesh Narayanan & Cihan Uzmanoglu, 2018. "Credit Insurance, Distress Resolution Costs, and Bond Spreads," Financial Management, Financial Management Association International, vol. 47(4), pages 931-951, December.
    5. Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
    6. Kiesel, F. & Kolaric, S., 2018. "Measuring the effect of watch-preceded and direct rating changes: a note on credit markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 87386, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    7. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    8. Chau, Frankie & Han, Chulwoo & Shi, Shimeng, 2018. "Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 156-169.
    9. Theodoros Bratis & Nikiforos T. Laopodis & Georgios P. Kouretas, 2023. "CDS and equity markets’ volatility linkages: lessons from the EMU crisis," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1259-1281, April.
    10. Lindsay Baran & Ying Li & Chang Liu & Zilong Liu & Xiaoling Pu, 2018. "S&P 500 Index revisions and credit spreads," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 348-363, October.
    11. Hasan, Iftekhar & Marra, Miriam & To, Thomas Y. & Wu, Eliza & Zhang, Gaiyan, 2023. "COVID-19 Pandemic and Global Corporate CDS Spreads," Journal of Banking & Finance, Elsevier, vol. 147(C).
    12. Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    13. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2017. "Price discovery in equity and CDS markets," Journal of Financial Markets, Elsevier, vol. 35(C), pages 21-46.
    14. Laura Ballester & Ana González-Urteaga, 2020. "Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities," Mathematics, MDPI, vol. 8(10), pages 1-34, September.

  3. Hayley, Simon & Marsh, Ian W., 2016. "What do retail FX traders learn?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 16-38.

    Cited by:

    1. Bernd Hayo & Kentaro Iwatsubo, 2022. "Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan," Sustainability, MDPI, vol. 14(18), pages 1-14, September.
    2. Moeeni , Shahram & Tayebi , Komeil, 2018. "Is It Necessary to Restrict Forex Financial Trading? A Modified Model," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(1), pages 63-80, January.
    3. Gemayel, Roland & Preda, Alex, 2021. "Performance and learning in an ambiguous environment: A study of cryptocurrency traders," International Review of Financial Analysis, Elsevier, vol. 77(C).
    4. Forman, John & Horton, Joanne, 2019. "Overconfidence, position size, and the link to performance," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 291-309.

  4. Guangfeng Zhang & Ian Marsh & Ronald MacDonald, 2016. "A hybrid approach to exchange rates," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 33(1), pages 50-68, March.

    Cited by:

    1. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Mohamed Ibrahim Nor & Tajul Ariffin Masron & Tariq Tawfeeq Yousif Alabdullah, 2020. "Macroeconomic Fundamentals and the Exchange Rate Volatility: Empirical Evidence From Somalia," SAGE Open, , vol. 10(1), pages 21582440198, January.

  5. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    See citations under working paper version above.
  6. Marsh, Ian W. & Payne, Richard, 2012. "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1975-1986.

    Cited by:

    1. Khan, Mostafa Saidur Rahim & Kato, Hideaki Kiyoshi & Bremer, Marc, 2019. "Short sales constraints and stock returns: How do the regulations fare?," Journal of the Japanese and International Economies, Elsevier, vol. 54(C).
    2. Uwe Helmes & Julia Henker & Thomas Henker & Tom Smith, 2017. "Effect of the ban on short selling on market prices and volatility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 727-757, September.
    3. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    4. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.
    5. Ye, Qing & Zhou, Shengjie & Zhang, Jie, 2020. "Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    6. Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2016. "Short-Selling Bans and Bank Stability," EIEF Working Papers Series 1604, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
    7. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    8. Markus K. Brunnermeier & Martin Oehmke, 2014. "Predatory Short Selling," Review of Finance, European Finance Association, vol. 18(6), pages 2153-2195.
    9. Óscar Arce & Sergio Mayordomo, 2012. "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban," Faculty Working Papers 25/12, School of Economics and Business Administration, University of Navarra.
    10. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2014. "Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 262-269.
    11. Eom, Yunsung & Hahn, Jaehoon & Sohn, Wook, 2021. "Short sales restrictions and market quality: Evidence from Korea," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    12. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013. "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, vol. 9(3), pages 337-346.
    13. George J. Jiang & Yoshiki Shimizu & Cuyler Strong, 2020. "When trading options is not the only option: The effects of single‐stock futures trading on options market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1398-1419, September.
    14. Griffith, Todd & Clancey-Shang, Danjue, 2023. "Cryptocurrency regulation and market quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    15. Terje Lensberg & Klaus Reiner Schenk-Hoppé & Daniel Ladley, 2012. "Costs and Benefits of Financial Regulation: Short-Selling Bans and Transaction Taxes," Swiss Finance Institute Research Paper Series 12-27, Swiss Finance Institute.
    16. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    17. Juwon Jang & Eunju Lee, 2024. "CEO confidence matters: the real effects of short sale constraints revisited," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 603-636, February.
    18. Óscar Arce & Sergio Mayordomo, 2016. "The Impact of the 2011 Short†Sale Ban on Financial Stability: Evidence from the Spanish Stock Market," European Financial Management, European Financial Management Association, vol. 22(5), pages 1001-1022, November.
    19. Alves, Carlos & Mendes, Victor & Silva, Paulo Pereira da, 2016. "Analysis of market quality before and during short-selling bans," Research in International Business and Finance, Elsevier, vol. 37(C), pages 252-268.
    20. Óscar Arce & Sergio Mayordomo, 2014. "Short-sale constraints and financial stability: Evidence from the Spanish market," Working Papers 1410, Banco de España.
    21. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    22. Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi, 2015. "The costs and benefits of short sale disclosure," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 124-139.
    23. Oscar Bernal Diaz & Astrid Herinckx & Ariane Szafarz, 2013. "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB 13-001, ULB -- Universite Libre de Bruxelles.
    24. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
    25. Ye, Wuyi & Chen, Pengzhan & Shi, Yining & Liu, Xiaoquan, 2022. "Trading restriction and the choice for derivatives," International Review of Financial Analysis, Elsevier, vol. 82(C).
    26. Bouchra Benzennou & Owain ap Gwilym & Gwion Williams, 2018. "Are single stock futures used as an alternative during a short‐selling ban?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 66-82, January.
    27. Ramiro Losada & Albert Martinez, 2020. "Analysis of the effect of restrictions on net short positions on Spanish shares between March and May 2020," CNMV Working Papers CNMV Working Papers (othe, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    28. Jing Chen & David G. McMillan & Mike Buckle, 2018. "Information Transmission across European Equity Markets During Crisis Periods," Manchester School, University of Manchester, vol. 86(6), pages 770-788, December.
    29. Bessler, Wolfgang & Vendrasco, Marco, 2022. "Short-selling restrictions and financial stability in Europe: Evidence from the Covid-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    30. Xiong Xiong & Ya Gao & Xu Feng, 2017. "Successive short‐selling ban lifts and gradual price efficiency: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1557-1604, December.
    31. Sobaci, Cihat & Sensoy, Ahmet & Erturk, Mutahhar, 2014. "Impact of short selling activity on market dynamics: Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 15(C), pages 53-62.

  7. Ian W. Marsh & Teng Miao, 2012. "High-frequency information content in end-user foreign exchange order flows," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 865-884, October.

    Cited by:

    1. Nikola Gradojevic, 2013. "Foreign exchange customers and dealers: Who’s driving whom?," Working Papers 2013-FIN-03, IESEG School of Management.
    2. Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.

  8. Kwabena Duffuor & Ian W. Marsh & Kate Phylaktis, 2012. "Order Flow And Exchange Rate Dynamics: An Application To Emerging Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 290-304, July.

    Cited by:

    1. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    2. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    3. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    4. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    5. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    6. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.
    7. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.

  9. Paul Hallwood & Ronald MacDonald & Ian Marsh, 2011. "Remilitarization and the End of the Gold Bloc in 1936," De Economist, Springer, vol. 159(3), pages 305-321, September.

    Cited by:

    1. Berbenni, Enrico, 2021. "External devaluation and trade balance in 1930s Italy," Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 93-107.

  10. Marsh, Ian W., 2011. "Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 377-392, March.

    Cited by:

    1. Rasmus Fatum & Yohei Yamamoto, 2012. "Does Foreign Exchange Intervention Volume Matter?," EPRU Working Paper Series 2012-03, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    2. Rasmus Fatum, 2010. "Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?," EPRU Working Paper Series 2010-07, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    3. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    4. Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
    5. Chen, Yu-Lun & Gau, Yin-Feng, 2015. "Foreign exchange market intervention and price discovery," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 214-227.
    6. Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
    7. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    8. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Large versus small foreign exchange interventions," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 114-123.
    9. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.

  11. Hawkesby, Christian & Marsh, Ian W. & Stevens, Ibrahim, 2007. "Comovements in the equity prices of large complex financial institutions," Journal of Financial Stability, Elsevier, vol. 2(4), pages 391-411, March.

    Cited by:

    1. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    2. Fernando M. Duarte & Collin Jones, 2017. "Empirical network contagion for U.S. financial institutions," Staff Reports 826, Federal Reserve Bank of New York.
    3. O. De Jonghe, 2009. "Back to the Basics in Banking? A Micro-Analysis of Banking System Stability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/579, Ghent University, Faculty of Economics and Business Administration.
    4. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    5. De Jonghe, O.G., 2009. "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper 2009-45 S, Tilburg University, Center for Economic Research.
    6. Christopher E.S. WARBURTON & Emerson A. JACKSON, 2023. "The Econometrics of Factor Loadings and Implications for Monetary Policy in a Small Open Economy (2005- 2020) – Sierra Leone," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 10(1), pages 19-35, January.
    7. López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 287-299.
    8. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Discussion Paper 2013-068, Tilburg University, Center for Economic Research.
    9. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Other publications TiSEM 1236246e-0f52-4a46-aeec-3, Tilburg University, School of Economics and Management.
    10. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Other publications TiSEM 18a8d09e-79af-4993-8d64-b, Tilburg University, School of Economics and Management.
    11. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
    12. Chira, Inga & Madura, Jeff & Viale, Ariel M., 2013. "Bank exposure to market fear," Journal of Financial Stability, Elsevier, vol. 9(4), pages 451-459.
    13. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
    14. Kosmidou, Kyriaki & Kousenidis, Dimitrios & Ladas, Anestis & Negkakis, Christos, 2017. "Determinants of risk in the banking sector during the European Financial Crisis," Journal of Financial Stability, Elsevier, vol. 33(C), pages 285-296.
    15. Phil Molyneux & Klaus Schaeck & Tim Zhou, 2011. "‘Too Systemically Important to Fail’ in Banking," Working Papers 11011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    16. Yang, Hsin-Feng & Liu, Chih-Liang & Yeutien Chou, Ray, 2020. "Bank diversification and systemic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 311-326.
    17. De Jonghe, O.G., 2009. "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Other publications TiSEM 9650fd91-53ee-4ed5-9786-6, Tilburg University, School of Economics and Management.
    18. Molyneux, Philip & Schaeck, Klaus & Zhou, Tim Mi, 2014. "‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 258-282.

  12. Wagner, Wolf & Marsh, Ian W., 2006. "Credit risk transfer and financial sector stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 173-193, June.

    Cited by:

    1. Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012. "Can Portfolio Diversification increase Systemic Risk? Evidence from the U.S and European Mutual Funds Market," CEIS Research Paper 240, Tor Vergata University, CEIS, revised 11 Jul 2012.
    2. Kevin X. D. Huang & Zhe Li & Jianfei Sun, 2021. "Lending Competition And Loan Sales: A Macroeconomic Analysis Under Directed Search," Economic Inquiry, Western Economic Association International, vol. 59(2), pages 648-661, April.
    3. Roman Horvath, 2008. "Monetary Policy Stance and Future Inflation: The Case of Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 80-106.
    4. Chen, Shi & Chang, Chuen-Ping, 2015. "Should bank loan portfolio be diversified under government capital injection and deposit insurance fund protection?," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 131-141.
    5. Ahn, J-H. & Breton, R., 2013. "Securitization, Competition and Monitoring," Working papers 457, Banque de France.
    6. Victoria COCIUG & Victoria POSTOLACHE (DOGOTARI), 2015. "Implications Of Credit Risk Transfer On Bank Performances," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 3, pages 87-95.
    7. Degryse, Hans & Carbó Valverde, Santiago & Rodriguez-Fernandez, Francisco, 2012. "Lending relationships and credit rationing: the impact of securitization," CEPR Discussion Papers 9138, C.E.P.R. Discussion Papers.
    8. Kero, Afroditi, 2013. "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 112-124.
    9. Chang, Chuen-Ping & Chen, Shi, 2016. "Government capital injection, credit risk transfer, and bank performance during a financial crisis," Economic Modelling, Elsevier, vol. 53(C), pages 477-486.
    10. Arping, Stefan, 2014. "Credit protection and lending relationships," Journal of Financial Stability, Elsevier, vol. 10(C), pages 7-19.
    11. Carbo-Valverde, Santiago & Degryse, Hans & Rodríguez-Fernández, Francisco, 2015. "The impact of securitization on credit rationing: Empirical evidence," Journal of Financial Stability, Elsevier, vol. 20(C), pages 36-50.
    12. van Oordt, Maarten R.C., 2014. "Securitization and the dark side of diversification," Journal of Financial Intermediation, Elsevier, vol. 23(2), pages 214-231.
    13. Wagner, Wolf, 2008. "The homogenization of the financial system and financial crises," Journal of Financial Intermediation, Elsevier, vol. 17(3), pages 330-356, July.
    14. Calice, Giovanni & Ioannidis, Christos, 2012. "An empirical analysis of the impact of the credit default swap index market on large complex financial institutions," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 117-130.
    15. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
    16. Helder Ferreira de Mendonça & Vívian Íris Barcelos, 2021. "Securitization of assets and risk transfer in a large emerging market: Evidence from Brazil," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 580-605, October.
    17. Kara, A. & Marques-Ibanez, D. & Ongena, S., 2011. "Securitization and Lending Standards : Evidence from the Wholesale Loan Market," Discussion Paper 2011-081, Tilburg University, Center for Economic Research.
    18. Ameha Tefera Tessema & Jan Walters Kruger, 2017. "An Improvement on An Interest Rate Commission Agent Banking System Model (AIRCABS Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 685-705.
    19. Li, Zhe & Sun, Jianfei, 2011. "Bank competition, securitization and risky investment," MPRA Paper 34173, University Library of Munich, Germany.
    20. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Discussion Paper 2013-068, Tilburg University, Center for Economic Research.
    21. Petr Jakubik, 2008. "Credit risk and stress testing of the Czech Banking Sector," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 107-123.
    22. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Other publications TiSEM 1236246e-0f52-4a46-aeec-3, Tilburg University, School of Economics and Management.
    23. Silva Buston, C.F., 2013. "Active Risk Management and Banking Stability," Other publications TiSEM 18a8d09e-79af-4993-8d64-b, Tilburg University, School of Economics and Management.
    24. Maarten van Oordt, 2017. "Credit Risk Transfer and Bank Insolvency Risk," Staff Working Papers 17-59, Bank of Canada.
    25. Petr Jakubík & Jaroslav Heřmánek, 2008. "Stress testing of the czech banking sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2008(3), pages 195-212.
    26. Caterina Di Tommaso, 2022. "Securitization and CDS in U.S. bank lending," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1120-1133, January.
    27. Guler Aras & Lale Aslan, 2011. "Capital structure and credit risk management: evidence from Turkey," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 3(1), pages 1-20.
    28. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    29. Goderis, B.V.G. & Marsh, I. & Vall Castello, J. & Wagner, W.B., 2006. "Bank Behavior with Access to Credit Risk Transfer Markets," Discussion Paper 2006-100, Tilburg University, Center for Economic Research.
    30. Giovanni Calice & Christos Ioannidis & Julian Williams, 2012. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 85-107, October.
    31. Filip Novotný, 2008. "The Exchange Rate Adjustment Role in Imperfect Competition: the Case of the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 38-55.
    32. Adam Gersl, 2008. "Three Indirect Effects of Foreign Direct Investment: Evidence from the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 15-37.
    33. Arnold, Marc, 2013. "This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can t," Working Papers on Finance 1321, University of St. Gallen, School of Finance, revised Dec 2014.
    34. Hendrik Hakenes & Isabel Schnabel, 2009. "Credit Risk Transfer and Bank Competition," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2009_33, Max Planck Institute for Research on Collective Goods.
    35. Silva Buston, C.F., 2013. "Essays on risk management and systematic risk," Other publications TiSEM 8db7ec6b-6227-4db4-89d0-1, Tilburg University, School of Economics and Management.
    36. Opeoluwa Banwo & Paul Harrald & Francesca Medda, 2019. "Understanding the consequences of diversification on financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 273-292, June.
    37. Liu, Luke, 2011. "Securitization and moral hazard: Does security price matter?," MPRA Paper 35004, University Library of Munich, Germany.
    38. Cerasi, Vittoria & Rochet, Jean-Charles, 2014. "Rethinking the regulatory treatment of securitization," Journal of Financial Stability, Elsevier, vol. 10(C), pages 20-31.
    39. Allen, Franklin & Carletti, Elena, 2005. "Credit risk transfer and contagion," CFS Working Paper Series 2005/25, Center for Financial Studies (CFS).
    40. Qi-An Chen & Fangzhou Du, 2017. "Hedging Of Credit Derivatives, Systematic Fluctuation And Banking Stability In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(04), pages 809-836, September.
    41. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo.
    42. James R. Thompson, 2007. "Counterparty Risk In Insurance Contracts: Should The Insured Worry About The Insurer?," Working Paper 1136, Economics Department, Queen's University.
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    1. Stephen McKnight & Marco Robles Sánchez, 2014. "Is a monetary union feasible for Latin America? Evidence from real effective exchange rates and interest rate pass-through levels," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 29(2), pages 225-262.
    2. Jean-Pierre Allegret & Alain Sand-Zantman, 2009. "Does a Monetary Union protect again shocks? An assessment of Latin American integration," Post-Print halshs-00371069, HAL.
    3. Allegret, Jean-Pierre & Sand-Zantman, Alain, 2009. "Does a Monetary Union protect against external shocks?: An assessment of Latin American integration," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 102-118.
    4. Christian Rohe, 2016. "On shock symmetry in South America: New evidence from intra-Brazilian real exchange rates," CQE Working Papers 5316, Center for Quantitative Economics (CQE), University of Muenster.
    5. Allegret, Jean-Pierre & Sand-Zantman, Alain, 2010. "Processus d’intégration et coordination des politiques macroéconomiques dans le Mercosur : une approche en termes de cycles," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(2), pages 163-204, juin.
    6. Fegheh Majidi , Ali, 2014. "Currency Union and Bilateral Trade: Evidence from OIC Countries," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 9(2), pages 140-166, October.
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    8. Sergio Da Silva & Leandro Stocco & J. Anchieta Neves, 2008. "Is Mercosur an optimum currency area? An assessment using generalized purchasing power parity," Economics Bulletin, AccessEcon, vol. 6(29), pages 1-13.
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  14. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.

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    1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
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    4. Gregor Helmut Schoenemann, 2022. "The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 446-471, March.
    5. Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
    6. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
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    443. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
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    447. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-13, Luxembourg School of Finance, University of Luxembourg.
    448. Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
    449. Chen, Hsien-Yi & Chen, Sheng-Syan, 2018. "Quality of government institutions and spreads on sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 82-95.
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    451. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    452. Hann-Shing Ju & Ren-Raw Chen & Shih-Kuo Yeh & Tung-Hsiao Yang, 2015. "Evaluation of conducting capital structure arbitrage using the multi-period extended Geske–Johnson model," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 89-111, January.
    453. Tolikas, Konstantinos & Topaloglou, Nikolas, 2017. "Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 39-57.
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    456. Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang, 2018. "Short‐selling and credit default swap spreads—Where do informed traders trade?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 925-942, August.
    457. Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.
    458. Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2009. "Vintage and credit rating: what matters in the ABX data during the credit crunch?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    459. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
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  15. MacDonald, Ronald & Marsh, Ian W., 2004. "Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 99-111, February.
    See citations under working paper version above.
  16. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
    See citations under working paper version above.
  17. Hallwood, C. Paul & Marsh, Ian W., 2004. "Exchange market pressure on the pound-dollar exchange rate: 1925-1931," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 249-264, August.
    See citations under working paper version above.
  18. Paul Hallwood, C. & MacDonald, Ronald & Marsh, Ian W., 2000. "Realignment expectations and the US dollar, 1890-1897: Was there a 'Peso problem'?," Journal of Monetary Economics, Elsevier, vol. 46(3), pages 605-620, December.

    Cited by:

    1. Syed Adnan Haider Ali Shah Bukhari & Muhammad Shahbaz Akmal & Mohammad Sabihuddin Butt, 2006. "Impact of Exchange Market Forces on Pak-Rupee Exchange Rates during Globalization Period: An Empirical Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(1), pages 121-139, Jan-Jun.
    2. Mundaca, Gabriela, 2003. "A Drift of the "Drift Adjustment Method"," Memorandum 16/2002, Oslo University, Department of Economics.
    3. Craighead, William D. & Tien, Pao-Lin, 2015. "Nominal shocks and real exchange rates: Evidence from two centuries," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 135-157.
    4. Michael D. Bordo & Ronald MacDonald & Michael J. Oliver, 2009. "Sterling in crisis: 1964-1967," NBER Working Papers 14657, National Bureau of Economic Research, Inc.
    5. Boyer, Russell S., 2009. "Reflections on Milton Friedman's contributions to open economy money/macro," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1097-1116, November.
    6. Colin Weiss, 2020. "Intermediary Asset Pricing during the National Banking Era," International Finance Discussion Papers 1302, Board of Governors of the Federal Reserve System (U.S.).
    7. Marc Flandreau & John Komlos, 2001. "How to Run a Target Zone ? Age Old Lessons from an Austro-Hungarian Experiment," Sciences Po publications n°556, Sciences Po.
    8. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    9. 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," ERIM Report Series Research in Management ERS-2007-088-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    10. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    11. C. Paul Hallwood & Ian W. Marsh, 2003. "Exchange Market Pressure on the Pound-Dollar Exchange Rate: 1925-1931," Working papers 2003-23, University of Connecticut, Department of Economics.
    12. Dötz, Niko & Fischer, Christoph, 2010. "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Discussion Paper Series 1: Economic Studies 2010,11, Deutsche Bundesbank.
    13. Andrew Coleman, 2010. "Uncovering uncovered interest parity during the classical gold standard era, 1888-1905," Working Papers 10_02, Motu Economic and Public Policy Research.
    14. Lothian, James R. & Pownall, Rachel A.J. & Koedijk, Kees G., 2013. "I discovered the peso problem: Irving Fisher and the UIP puzzle," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 5-17.
    15. Colin Weiss, 2020. "Contractionary Devaluation Risk: Evidence from the Free Silver Movement, 1878-1900," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 705-720, October.
    16. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
    17. Weidenmier, Marc & Mitchener, Kris, 2015. "Was the Classical Gold Standard Credible on the Periphery? Evidence from Currency Risk," CEPR Discussion Papers 10388, C.E.P.R. Discussion Papers.
    18. Klose, Jens & Weigert, Benjamin, 2013. "Sovereign yield spreads during the Euro-crisis: Fundamental factors versus redenomination risk," Working Papers 07/2012 [rev.], German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
    19. Coleman, Andrew, 2012. "Uncovering uncovered interest parity during the classical gold standard era, 1888–1905," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 20-37.
    20. Marc Flandreau & John Komlos, 2005. "Target zones in History and Theory : efficiency, credibility and policy autonomy," Working Papers hal-01065605, HAL.
    21. Paul Hallwood & Ian W. Marsh & Jorg Scheibe, 2001. "Official Dollarization in Latin America: Could it Work?," Working papers 2001-06, University of Connecticut, Department of Economics.
    22. Klose, Jens & Weigert, Benjamin, 2012. "Determinants of sovereign yield spreads during the Euro-crisis: Fundamental factors versus systemic risk," Working Papers 07/2012, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
    23. Michael D. Bordo & Hugh Rockoff, 2013. "Not Just the Great Contraction: Friedman and Schwartz's A Monetary History of the United States 1867 to 1960," NBER Working Papers 18828, National Bureau of Economic Research, Inc.
    24. Scott L. Fulford & Felipe Schwartzman, 2020. "The Benefits of Commitment to a Currency Peg: Aggregate Lessons from the Regional Effects of the 1896 U.S. Presidential Election," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 600-616, July.
    25. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics.

  19. Hallwood, C. Paul & MacDonald, Ronald & Marsh, Ian W., 1997. "Crash! Expectational Aspects of the Departures of the United Kingdom and the United States from the Inter-War Gold Standard," Explorations in Economic History, Elsevier, vol. 34(2), pages 174-194, April.

    Cited by:

    1. Bordo, Michael D. & MacDonald, Ronald, 2003. "The inter-war gold exchange standard: credibility and monetary independence," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 1-32, February.

  20. Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 655-664, November.

    Cited by:

    1. Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics.
    2. Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.
    3. Norbert Fiess & Ronald MacDonald, 1999. "Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 147-172, September.
    4. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
    5. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
    6. Darvas, Zsolt & Schepp, Zoltán, 2020. "Forecasting exchange rates of major currencies with long maturity forward rates," Corvinus Economics Working Papers (CEWP) 2020/01, Corvinus University of Budapest.
    7. Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
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    51. Daniel MITCHELL RESTREPO, 2006. "Forecasting the Colombian Exchange Rate: Capital Adjustments and Politics vs. Traditional IRP, Trade Adjustments and Random Walk Frameworks," Archivos de Economía 11228, Departamento Nacional de Planeación.
    52. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
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  21. Ian Marsh & Stephen Tokarick, 1996. "An assessment of three measures of competitiveness," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(4), pages 700-722, December.

    Cited by:

    1. Mr. Bogdan Lissovolik & Mr. Julio Escolano & Ms. Stefania Fabrizio & Mr. Werner Schule & Mr. Herman Z Bennett & Mr. Stephen Tokarick & Mr. Yuan Xiao & Ms. Marialuz Moreno Badia & Miss Eva Gutierrez & , 2008. "Competitiveness in the Southern Euro Area: France, Greece, Italy, Portugal, and Spain," IMF Working Papers 2008/112, International Monetary Fund.
    2. Elena Bobeica & Olegs Tkacevs & Styliani Christodoulopoulou, 2016. "The role of price and cost competitiveness for intra- and extra-euro area trade of euro area countries," Working Papers 2016/04, Latvijas Banka.
    3. Brunner, Hans-Peter & Cali, Massimiliano, 2006. "The dynamics of manufacturing competitiveness in South Asia: An analysis through export data," Journal of Asian Economics, Elsevier, vol. 17(4), pages 557-582, October.
    4. Dominique Peters, 2010. "Price Competitiveness in Central and Eastern Europe - a case study for transition economies," IMK Studies 01-2010, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    5. Diana Barros, Aurora A.C. Teixeira, 2021. "The technology balance of payments and international competitiveness: a panel data analysis of southern European countries, 2000-2017," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 18(1), pages 105-136, June.
    6. J. Peter Neary, 2006. "Measuring Competitiveness," IMF Working Papers 2006/209, International Monetary Fund.
    7. Alam, Shaista & Ahmed, Qazi Masood, 2012. "Exchange Rate Volatility and Aggregate Exports Demand through ARDL Framework: An Experience from Pakistan Economy," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 8(1), pages 1-16, February.
    8. Keiko Ito & Junko Shimizu, 2015. "Industry-Level Competitiveness, Productivity and Effective Exchange Rates in East Asia," Asian Economic Journal, East Asian Economic Association, vol. 29(2), pages 181-214, June.
    9. Gaber H. Abugamea, 2010. "The Competitiveness of the Palestinian Foreign Trade: A Cointegration Analysis," Working Papers 541, Economic Research Forum, revised 09 Jan 2010.
    10. International Monetary Fund, 2009. "Republic of Congo: Selected Issues," IMF Staff Country Reports 2009/072, International Monetary Fund.
    11. Menzie Chinn, 2006. "A Primer on Real Effective Exchange Rates: Determinants, Overvaluation, Trade Flows and Competitive Devaluation," Open Economies Review, Springer, vol. 17(1), pages 115-143, January.
    12. J. Love & E. Turner, 2001. "Exports, domestic policy and world markets: a panel study," Journal of International Development, John Wiley & Sons, Ltd., vol. 13(5), pages 615-627.
    13. Radovan Kovačević, 2019. "The Export Performance Of The Euro Area: A Panel Quantile Regression Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(222), pages 7-62, July – Se.
    14. Mr. Herman Z Bennett & Ziga Zarnic, 2008. "International Competitiveness of the Mediterranean Quartet: A Heterogeneous-Product Approach," IMF Working Papers 2008/240, International Monetary Fund.
    15. Werner Hölzl & Thomas Leoni, 2010. "Internationale Lohnstückkostenposition 2009 durch Wirtschaftskrise stark beeinflusst," WIFO Monatsberichte (monthly reports), WIFO, vol. 83(9), pages 753-766, September.

  22. Marsh, Ian W. & Power, David M., 1996. "A note on the performance of foreign exchange forecasters in a portfolio framework," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 605-613, April.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
    2. MacDonald, Ronald, 2000. "Is the foreign exchange market 'risky'? Some new survey-based results," Journal of Multinational Financial Management, Elsevier, vol. 10(1), pages 1-14, January.
    3. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, February.
    4. Andreou, Andreas S. & Zombanakis, George A. & Georgopoulos, E. F. & Likothanassis, S. D., 1998. "Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks," MPRA Paper 17764, University Library of Munich, Germany.
    5. Andreou, Andreas S. & Zombanakis, George A. & Georgopoulos, E. F. & Likothanassis, S. D., 2000. "In Search of a Warning Strategy Against Exchange-rate Attacks: Forecasting Tactics Using Artificial Neural Networks," MPRA Paper 18197, University Library of Munich, Germany.
    6. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers 2009_13, Business School - Economics, University of Glasgow.
    7. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    8. Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi, 2013. "Inefficiency in Survey Exchange Rates Forecasts," Center for Economic Research (RECent) 090, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    9. Markus Spiwoks & Oliver Hein, 2007. "Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 1(1), pages 43-52, June.
    10. Christian Wolff & Ron Jongen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2009. "Dispersion of Beliefs in the Foreign Exchange Market," LSF Research Working Paper Series 09-01, Luxembourg School of Finance, University of Luxembourg.
    11. Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
    12. Kiss, Tamás & Kladívko, Kamil & Silfverberg, Oliwer & Österholm, Pär, 2023. "Market participants or the random walk – who forecasts better? Evidence from micro-level survey data," Finance Research Letters, Elsevier, vol. 54(C).
    13. Fat Codruta Maria & Dezsi Eva, 2011. "Exchange-Rates Forecasting: Exponential Smoothing Techniques And Arima Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 499-508, July.
    14. Mary Thomson & Andrew Pollock & Karen Henriksen & Alex Macaulay, 2004. "The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 290-307.
    15. Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers 49, Bank of Greece.

  23. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.

    Cited by:

    1. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers 2014-235, Department of Research, Ipag Business School.
    2. Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007. "The impact of Central Bank intervention on exchange rate forecasts heterogeneity," ULB Institutional Repository 2013/10423, ULB -- Universite Libre de Bruxelles.
    3. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters," Discussion Papers 311, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    4. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    5. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
    6. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
    7. Reitz Stefan & Rülke Jan-Christoph & Stadtmann Georg, 2010. "Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(4), pages 454-466, August.
    8. Schmitt, Noemi, 2018. "Heterogeneous expectations and asset price dynamics," BERG Working Paper Series 134, Bamberg University, Bamberg Economic Research Group.
    9. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
    10. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    11. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
    12. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2011. "Forecasting U.S. car sales and car registrations in Japan: Rationality, accuracy and herding," Japan and the World Economy, Elsevier, vol. 23(4), pages 253-258.
    13. Zhang, Qian & Li, Zeguang, 2021. "Time-varying risk attitude and the foreign exchange market behavior," Research in International Business and Finance, Elsevier, vol. 57(C).
    14. Chionis, Dionysios & MacDonald, Ronald, 2002. "Aggregate and disaggregate measures of the foreign exchange risk premium," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 57-84, April.
    15. Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2012. "Housing starts in Canada, Japan, and the United States: Do forecasters herd?," Discussion Papers 320, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    16. Frenkel, Michael & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Two currencies, one model? Evidence from the Wall Street Journal forecast poll," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 588-596, October.
    17. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, February.
    18. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets : The Case of Brazil in 2002," The Warwick Economics Research Paper Series (TWERPS) 926, University of Warwick, Department of Economics.
    19. Francesca Pancotto & Giuseppe Pignataro & Davide Raggi, 2015. "Social Learning and Higher Order Beliefs: A Structural Model of Exchange Rates Dynamics," LEM Papers Series 2015/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    20. Reitz, Stefan & Stadtmann, Georg & Taylor, Mark P., 2010. "The effects of Japanese interventions on FX-forecast heterogeneity," Economics Letters, Elsevier, vol. 108(1), pages 62-64, July.
    21. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
    22. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
    23. 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.
    24. Fritsche, Ulrich & Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015. "Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding," International Journal of Forecasting, Elsevier, vol. 31(1), pages 130-139.
    25. Roy Batchelor, 2007. "Forecaster Behaviour and Bias in Macroeconomic Forecasts," ifo Working Paper Series 39, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    26. MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
    27. Ronald MacDonald & Ian W. Marsh, 1996. "Hétérogénéité des prévisionnistes : une exploration des anticipations sur le marché des changes," Économie et Prévision, Programme National Persée, vol. 125(4), pages 109-115.
    28. A. Bénassy-Quéré & S. Larribeau & R. MacDonald, 1999. "Models of exchange rate expectations : heterogeneous evidence from Panel data," THEMA Working Papers 99-05, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    29. 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.
    30. Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "Exchange-rate forecasts and asymmetric loss: empirical evidence for the yen/dollar exchange rate," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1759-1763, December.
    31. Jan Marc Berk & Klaas Knot, 2001. "The term structure of UIP: evidence from survey data," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 459-462.
    32. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," Working Papers hal-04140866, HAL.
    33. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers hal-04141348, HAL.
    34. Michael Frenkel & Jan Christoph Rülke & Lilli Zimmermann, 2011. "Do Current Account Forecasters Herd? – Evidence from the Euro Area and the G7 Countries," WHU Working Paper Series - Economics Group 11-01, WHU - Otto Beisheim School of Management.
    35. Jan-Christoph Rülke, 2012. "Are central bank projections rational?," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1257-1263, September.
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Chapters

  1. Ian Marsh, 2002. "What central banks can learn about default risk from credit markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 329-339, Bank for International Settlements.

    Cited by:

    1. Martin Scheicher, 2003. "Credit Derivatives - Overview and Implications for Monetary Policy and Financial Stability," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 5, pages 96-111.
    2. Mr. Jorge A Chan-Lau, 2003. "Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises," IMF Working Papers 2003/106, International Monetary Fund.

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