Maik Schmeling
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011.
"Currency Momentum Strategies,"
BIS Working Papers
366, Bank for International Settlements.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
Mentioned in:
- Persuasion with statistics
by chris dillow in Stumbling and Mumbling on 2014-10-22 18:39:40 - Coping with unreplicability
by chris in Stumbling and Mumbling on 2015-10-08 17:52:15 - In defence of (some) economics
by chris in Stumbling and Mumbling on 2016-03-08 19:54:17 - Progress in economics
by chris in Stumbling and Mumbling on 2018-05-04 11:43:28 - Ideology for normal people
by chris in Stumbling and Mumbling on 2018-10-02 13:05:42 - My favourite economics papers
by chris in Stumbling and Mumbling on 2019-02-02 12:14:49
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Schmeling, Maik, 2006.
"Institutional and Individual Sentiment: Smart Money and Noise Trader Risk,"
Hannover Economic Papers (HEP)
dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
Mentioned in:
- Sentix in Wikipedia (German)
Working papers
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022.
"Monetary policy expectation errors,"
BIS Working Papers
996, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
Cited by:
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023.
"Perceptions about Monetary Policy,"
Working Paper Series
2023-31, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," CESifo Working Paper Series 10182, CESifo.
- Bauer, Michael D. & Pflueger, Carolin E. & Sunderam, Adi, 2022. "Perceptions about monetary policy," IMFS Working Paper Series 176, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17758, C.E.P.R. Discussion Papers.
- Bauer, Michael & Pflueger, Carolin & Sunderam, Adi, 2022. "Perceptions about Monetary Policy," CEPR Discussion Papers 17574, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," NBER Working Papers 30480, National Bureau of Economic Research, Inc.
- Michael D. Bauer & Eric T. Swanson, 2023.
"An Alternative Explanation for the "Fed Information Effect","
American Economic Review, American Economic Association, vol. 113(3), pages 664-700, March.
- Michael D. Bauer & Eric T. Swanson, 2020. "An Alternative Explanation for the “Fed Information Effect”," NBER Working Papers 27013, National Bureau of Economic Research, Inc.
- Jose Angelo Divino & Carlos Haraguchi, 2023. "Observed and expected interest rate pass-through under remarkably high market rates," Empirical Economics, Springer, vol. 65(1), pages 203-246, July.
- Niu, Xiaoxiao & Harvey, Nigel, 2023. "Are lay expectations of inflation based on recall of specific prices? If so, how and under what conditions?," Journal of Economic Psychology, Elsevier, vol. 98(C).
- De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
- Busetto, Filippo, 2024. "Asymmetric expectations of monetary policy," Bank of England working papers 1058, Bank of England.
- Eric Fischer & Rebecca McCaughrin & Saketh Prazad & Mark Vandergon, 2023. "Fed Transparency and Policy Expectation Errors: A Text Analysis Approach," Staff Reports 1081, Federal Reserve Bank of New York.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Sarno, Lucio & Fratzscher, Marcel & Heidland, Tobias & Menkhoff, Lukas & Schmeling, Maik, 2022.
"Foreign exchange intervention: A new database,"
CEPR Discussion Papers
17558, C.E.P.R. Discussion Papers.
- Marcel Fratzscher & Tobias Heidland & Lukas Menkhoff & Lucio Sarno & Maik Schmeling, 2023. "Foreign Exchange Intervention: A New Database," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(4), pages 852-884, December.
- Marcel Fratzscher & Tobias Heidland & Lukas Menkhoff & Lucio Sarno & Maik Schmeling, 2020. "Foreign Exchange Intervention: A New Database," Discussion Papers of DIW Berlin 1915, DIW Berlin, German Institute for Economic Research.
- Fratzscher, Marcel & Heidland, Tobias & Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik, 2020. "Foreign exchange intervention: A new database," Kiel Working Papers 2171, Kiel Institute for the World Economy (IfW Kiel).
Cited by:
- Rodnyansky, A. & Timmer, Y. & Yago, N., 2023. "Intervening against the Fed," Cambridge Working Papers in Economics 2357, Faculty of Economics, University of Cambridge.
- Kasinger, Johannes & Krahnen, Jan Pieter & Ongena, Steven & Pelizzon, Loriana & Schmeling, Maik & Wahrenburg, Mark, 2021.
"Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises,"
SAFE White Paper Series
84, Leibniz Institute for Financial Research SAFE.
Cited by:
- Sebastian Edwards, 2021. "Macroprudential Policies and The Covid-19 Pandemic: Risks and Challenges For Emerging Markets," NBER Working Papers 29441, National Bureau of Economic Research, Inc.
- Amila Žunić & Kemal Kozarić & Emina Žunić Dželihodžić, 2021. "Non-Performing Loan Determinants and Impact of COVID-19: Case of Bosnia and Herzegovina," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 5-22.
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021.
"Exchange Rates and Sovereign Risk,"
CEPR Discussion Papers
16058, C.E.P.R. Discussion Papers.
- Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
Cited by:
- Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2023. "Deviations from covered interest parity in the emerging markets after the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Reinhold Heinlein & Gabriella D. Legrenzi & Scott M. R. Mahadeo & Gabriella Deborah Legrenzi, 2024. "Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations," CESifo Working Paper Series 11019, CESifo.
- Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
- Schmeling, Maik & Medhat, Mamdouh, 2021.
"Short-term Momentum,"
CEPR Discussion Papers
15857, C.E.P.R. Discussion Papers.
- Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
Cited by:
- Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
- Yue, Tian & Li, Tianjiao & Ruan, Xinfeng, 2023. "Does short-term momentum exist in China?," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Blanco, Ivan & De Jesus, Miguel & Remesal, Alvaro, 2023. "Overlapping momentum portfolios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 1-22.
- Schmeling, Maik & Wagner, Christian, 2019.
"Does Central Bank Tone Move Asset Prices?,"
CEPR Discussion Papers
13490, C.E.P.R. Discussion Papers.
Cited by:
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Andreas Neuhierl & Michael Weber, 2020.
"Monetary Momentum,"
Working Papers
2020-39, Becker Friedman Institute for Research In Economics.
- Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
- Tillmann, Peter, 2021. "Financial markets and dissent in the ECB’s Governing Council," European Economic Review, Elsevier, vol. 139(C).
- Hamza Bennani & Pawel Baranowski & Wirginia Doryn, 2021.
"Do the ECB's Introductory Statements Help Predict Monetary Policy? Evidence from a Tone Analysis,"
Post-Print
hal-02957422, HAL.
- Baranowski, Pawel & Bennani, Hamza & Doryń, Wirginia, 2021. "Do the ECB's introductory statements help predict monetary policy? Evidence from a tone analysis," European Journal of Political Economy, Elsevier, vol. 66(C).
- Pawel Baranowski & Hamza Bennani & Wirginia Doryń, 2020. "Do the ECB's Introductory Statements Help Predict Monetary Policy? Evidence from a Tone Analysis ," Post-Print hal-04205988, HAL.
- Hubert, Paul & Labondance, Fabien, 2021. "The signaling effects of central bank tone," European Economic Review, Elsevier, vol. 133(C).
- Paul Hubert & Fabien Labondance, 2020.
"Central Bank Tone and the Dispersion of Views within Monetary Policy Committees,"
Sciences Po publications
02/2020, Sciences Po.
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Working Papers 2019-08, CRESE.
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Working Papers hal-03403256, HAL.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," SciencePo Working papers Main hal-03403074, HAL.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Documents de Travail de l'OFCE 2020-02, Observatoire Francais des Conjonctures Economiques (OFCE).
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Sciences Po publications 2019 – 08, Sciences Po.
- Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Working Papers hal-03403074, HAL.
- Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," SciencePo Working papers Main hal-03403256, HAL.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021.
"Toothless tiger with claws? Financial stability communication, expectations, and risk-taking,"
Discussion Papers
05/2021, Deutsche Bundesbank.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021. "Toothless tiger with claws? Financial stability communication, expectations, and risk-taking," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
- Klodiana Istrefi & Florens Odendahl & Giulia Sestieri, 2021.
"Fed communication on financial stability concerns and monetary policy decisions: revelations from speeches,"
Working Papers
2110, Banco de España.
- Istrefi, Klodiana & Odendahl, Florens & Sestieri, Giulia, 2022. "Fed Communication on Financial Stability Concerns and Monetary Policy Decisions: Revelations from Speeches," CEPR Discussion Papers 17671, C.E.P.R. Discussion Papers.
- Istrefi, Klodiana & Odendahl, Florens & Sestieri, Giulia, 2023. "Fed communication on financial stability concerns and monetary policy decisions: Revelations from speeches," Journal of Banking & Finance, Elsevier, vol. 151(C).
- Istrefi Klodiana & Odendahl Florens & Sestieri Giulia, 2020. "Fed Communication on Financial Stability Concerns and Monetary Policy Decisions: Revelations from Speeches," Working papers 779, Banque de France.
- Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
- Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
- Baranowski, Pawel & Bennani, Hamza & Doryń, Wirginia, 2023.
"Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers,"
Finance Research Letters, Elsevier, vol. 52(C).
- Pawel Baranowski & Hamza Bennani & Wirginia Doryń, 2023. "Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers," Post-Print hal-04145785, HAL.
- Du, Xiuli & Cheng, Jinfeng & Zhu, Degao & Xing, Mengyue, 2023. "Does central bank communication on financial stability work? ——An empirical study based on Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 390-407.
- Frederik Neugebauer, 2020. "ECB Announcements and Stock Market Volatility," WHU Working Paper Series - Economics Group 20-02, WHU - Otto Beisheim School of Management.
- Zahner, Johannes & Baumgärtner, Martin, 2022.
"Whatever it Takes to Understand a Central Banker – Embedding their Words Using Neural Networks,"
VfS Annual Conference 2022 (Basel): Big Data in Economics
264019, Verein für Socialpolitik / German Economic Association.
- Martin Baumgaertner & Johannes Zahner, 2021. "Whatever it takes to understand a central banker - Embedding their words using neural networks," MAGKS Papers on Economics 202130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
- Leombroni, Matteo & Vedolin, Andrea & Venter, Gyuri & Whelan, Paul, 2021. "Central bank communication and the yield curve," Journal of Financial Economics, Elsevier, vol. 141(3), pages 860-880.
- Bernd Hayo & Kai Henseler & Marc Steffen Rapp & Johannes Zahner, 2020.
"Complexity of ECB Communication and Financial Market Trading,"
MAGKS Papers on Economics
201919, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Hayo, Bernd & Henseler, Kai & Steffen Rapp, Marc & Zahner, Johannes, 2022. "Complexity of ECB communication and financial market trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
- Armelius, Hanna & Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2020.
"Spread the Word: International spillovers from central bank communication,"
Journal of International Money and Finance, Elsevier, vol. 103(C).
- Armelius, Hanna & Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2018. "Spread the Word: International Spillovers from Central Bank Communication," Working Paper Series 357, Sveriges Riksbank (Central Bank of Sweden).
- Hanna Armelius & Christoph Bertsch & Isaiah Hull & Xin Zhang, 2019. "Spread the Word: International Spillovers from Central Bank Communication," BIS Working Papers 824, Bank for International Settlements.
- Paweł Baranowski & Hamza Bennani & Wirginia Doryń, 2020. "Do ECB introductory statements help to predict monetary policy: evidence from tone analysis," NBP Working Papers 323, Narodowy Bank Polski.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2021.
"Monetary policy and financial markets: evidence from Twitter traffic,"
BAFFI CAREFIN Working Papers
21160, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2023. "Monetary policy and financial markets: evidence from Twitter traffic," Trinity Economics Papers TEP1023, Trinity College Dublin, Department of Economics.
- Niţoi, Mihai & Pochea, Maria-Miruna & Radu, Ştefan-Constantin, 2023. "Unveiling the sentiment behind central bank narratives: A novel deep learning index," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Donato Masciandaro & Oana Peia & Davide Romelli, 2022.
"Central Bank Communication and Social Media: From Silence to Twitter,"
BAFFI CAREFIN Working Papers
22187, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Donato Masciandaro & Oana Peia & Davide Romelli, 2024. "Central bank communication and social media: From silence to Twitter," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 365-388, April.
- Xuefan, Pan, 2023. "Analysing the response of U.S. financial market to the Federal Open Market Committee statements and minutes based on computational linguistic approaches," Warwick-Monash Economics Student Papers 43, Warwick Monash Economics Student Papers.
- Möller, Rouven & Reichmann, Doron, 2021. "ECB language and stock returns – A textual analysis of ECB press conferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 590-604.
- Dimitrios Kanelis & Pierre L. Siklos, 2022.
"Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era,"
CAMA Working Papers
2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CQE Working Papers 10322, Center for Quantitative Economics (CQE), University of Muenster.
- Johannes Zahner, 2020. "Above, but close to two percent. Evidence on the ECB’s inflation target using text mining," MAGKS Papers on Economics 202046, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Agam Shah & Suvan Paturi & Sudheer Chava, 2023. "Trillion Dollar Words: A New Financial Dataset, Task & Market Analysis," Papers 2305.07972, arXiv.org.
- Dossani, Asad, 2021. "Central bank tone and currency risk premia," Journal of International Money and Finance, Elsevier, vol. 117(C).
- Paloviita, Maritta & Haavio, Markus & Jalasjoki, Pirkka & Kilponen, Juha & Vänni, Ilona, 2020. "Reading between the lines: Using text analysis to estimate the loss function of the ECB," Bank of Finland Research Discussion Papers 12/2020, Bank of Finland.
- Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
- Dridi, Ichrak & Boughrara, Adel, 2023. "Flexible inflation targeting and stock market volatility: Evidence from emerging market economies," Economic Modelling, Elsevier, vol. 126(C).
- Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.
- Peter Tillmann, 2020. "Financial Markets and Dissent in the ECB’s Governing Council," MAGKS Papers on Economics 202048, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Baumgärtner, Martin & Zahner, Johannes, 2023. "Whatever it takes to understand a central banker: Embedding their words using neural networks," IMFS Working Paper Series 194, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Linas Jurkšas & Rokas Kaminskas, 2023. "ECB monetary policy communication: does it move euro area yields?," Bank of Lithuania Discussion Paper Series 29, Bank of Lithuania.
- Fischer, Lion & Rapp, Marc Steffen & Zahner, Johannes, 2024. "Central banks sowing the seeds for a green financial sector? NGFS membership and market reactions," IMFS Working Paper Series 198, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
Cited by:
- Andreas Neuhierl & Michael Weber, 2020.
"Monetary Momentum,"
Working Papers
2020-39, Becker Friedman Institute for Research In Economics.
- Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
- Kyungmin Kim & Thomas Laubach & Min Wei, 2020. "Macroeconomic Effects of Large-Scale Asset Purchases: New Evidence," Finance and Economics Discussion Series 2020-047, Board of Governors of the Federal Reserve System (U.S.).
- Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019.
"Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns,"
NBER Working Papers
25817, National Bureau of Economic Research, Inc.
- Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
- Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
- Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
- Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022.
"Market-Based Monetary Policy Uncertainty,"
The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
- Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
- Lakdawala, Aeimit & Bauer, Michael & Mueller, Philippe, 2019. "Market-Based Monetary Policy Uncertainty," Working Papers 2019-2, Michigan State University, Department of Economics.
- Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021. "Market-Based Monetary Policy Uncertainty," Working Paper Series 2019-12, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Aeimit Lakdawala & Philippe Mueller, 2019. "Market-based monetary policy uncertainty," CESifo Working Paper Series 7621, CESifo.
- Jarociński, Marek, 2022.
"Central bank information effects and transatlantic spillovers,"
Journal of International Economics, Elsevier, vol. 139(C).
- Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
- Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
- Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
- Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
- Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
- Anna Cieslak & Andreas Schrimpf, 2018.
"Non-Monetary News in Central Bank Communication,"
NBER Working Papers
25032, National Bureau of Economic Research, Inc.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315, National Bureau of Economic Research, Inc.
- Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-monetary news in central bank communication," BIS Working Papers 761, Bank for International Settlements.
- Maurer, Tim D. & Nitschka, Thomas, 2023.
"Stock market evidence on the international transmission channels of US monetary policy surprises,"
Journal of International Money and Finance, Elsevier, vol. 136(C).
- Tim D. Maurer & Dr. Thomas Nitschka, 2020. "Stock market evidence on the international transmission channels of US monetary policy surprises," Working Papers 2020-10, Swiss National Bank.
- Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
- Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
- Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
- Schmeling, Maik, 2019.
"What is Libra? Understanding Facebook's currency,"
SAFE Policy Letters
76, Leibniz Institute for Financial Research SAFE.
Cited by:
- Dolata, Ulrich, 2020. "Internet – Platforms – Regulation: Coordination of Markets and Curation of Sociality," Research Contributions to Organizational Sociology and Innovation Studies, SOI Discussion Papers 2020-02, University of Stuttgart, Institute for Social Sciences, Department of Organizational Sociology and Innovation Studies.
- Philipp Schuster & Erik Theissen & Marliese Uhrig-Homburg, 2020. "Finanzwirtschaftliche Anwendungen der Blockchain-Technologie [Applications of Blockchain Technology in Finance]," Schmalenbach Journal of Business Research, Springer, vol. 72(2), pages 125-147, June.
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"Currency Value,"
CEPR Discussion Papers
11324, C.E.P.R. Discussion Papers.
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Cited by:
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"Asset Prices and Macroeconomic Outcomes: A Survey,"
CEPR Discussion Papers
12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
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"Investment funds, monetary policy, and the global financial cycle,"
ESRB Working Paper Series
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"Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand,"
MPRA Paper
61784, University Library of Munich, Germany.
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"Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk,"
NBER Working Papers
27927, National Bureau of Economic Research, Inc.
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509, Bank for International Settlements.
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"The portfolio of euro area fund investors and ECB monetary policy announcements,"
Journal of International Money and Finance, Elsevier, vol. 89(C), pages 103-126.
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Bank of England working papers
705, Bank of England.
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"Investment funds, monetary policy, and the global financial cycle,"
ESRB Working Paper Series
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"Information flows in foreign exchange markets: dissecting customer currency trades,"
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Cited by:
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"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
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"Informed trading in government bond markets,"
LSE Research Online Documents on Economics
118857, London School of Economics and Political Science, LSE Library.
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- Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 108504, London School of Economics and Political Science, LSE Library.
- Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
- Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020.
"Business cycles and currency returns,"
Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
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- Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
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"The Non-U.S. Bank Demand for U.S. Dollar Assets,"
CEPR Discussion Papers
14437, C.E.P.R. Discussion Papers.
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"The role of education in equity portfolios during the recent financial crisis,"
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- Ingomar Krohn & Vladyslav Sushko, 2020.
"FX spot and swap market liquidity spillovers,"
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836, Bank for International Settlements.
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"An Auction-Based Test of Private Information in an Interdealer FX Market,"
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"Foreign Exchange Order Flow as a Risk Factor,"
NBER Working Papers
27199, National Bureau of Economic Research, Inc.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, "undated". "Foreign exchange order flow as a risk factor," Working Papers 2023-03, Business School - Economics, University of Glasgow.
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"Can Time-Varying Currency Risk Hedging Explain Exchange Rates?,"
CESifo Working Paper Series
10065, CESifo.
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"The evolution of price discovery in an electronic market,"
Journal of Banking & Finance, Elsevier, vol. 130(C).
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"Asymmetric Information Risk in FX Markets,"
Working Papers on Finance
1820, University of St. Gallen, School of Finance, revised Apr 2020.
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"Heterogeneous agents, the financial crisis and exchange rate predictability,"
Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
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"On the Performance of Cryptocurrency Funds,"
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- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
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- Kose, M. Ayhan & Claessens, Stijn, 2017.
"Asset Prices and Macroeconomic Outcomes: A Survey,"
CEPR Discussion Papers
12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
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"Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective,"
CEPR Discussion Papers
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Cited by:
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
- Joscha Beckmann & Robert L. Czudaj, 2022.
"Exchange rate expectation, abnormal returns, and the COVID-19 pandemic,"
Chemnitz Economic Papers
054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.
- Beckmann, Joscha & Czudaj, Robert L., 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 1-25.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020.
"Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data,"
Working Papers
202083, University of Pretoria, Department of Economics.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," School of Economics Macroeconomic Discussion Paper Series 2020-01, School of Economics, University of Cape Town.
- Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
- Mitchener, Kris James & Pina, Gonçalo, 2020. "Pegxit pressure," Journal of International Money and Finance, Elsevier, vol. 107(C).
- Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
- Claire Giordano, 2019.
"How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation,"
Questioni di Economia e Finanza (Occasional Papers)
522, Bank of Italy, Economic Research and International Relations Area.
- Claire Giordano, 2021. "How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 365-404, July.
- Cécile Couharde & Carl Grekou & Valérie Mignon, 2020.
"MULTIPRIL, a new database on multilateral price levels and currency misalignments,"
Working Papers
2020-12, CEPII research center.
- Valérie Mignon & Cécile Couharde & Carl Grekou, 2021. "MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments," Post-Print hal-03089716, HAL.
- Couharde, Cécile & Grekou, Carl & Mignon, Valérie, 2021. "MULTIPRIL, a new database on multilateral price levels and currency misalignments," International Economics, Elsevier, vol. 165(C), pages 94-117.
- Cécile Couharde & Carl Grekou & Valérie Mignon, 2021. "MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments," International Economics, CEPII research center, issue 165, pages 94-117.
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019.
"Carry trades and commodity risk factors,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
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- Douglas Kai Tim Wong, 2020. "The forward‐looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return," The World Economy, Wiley Blackwell, vol. 43(10), pages 2723-2741, October.
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"Identifying Exchange Rate Common Factors,"
NBER Working Papers
23726, National Bureau of Economic Research, Inc.
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- Delis, Manthos & Politsidis, Panagiotis & Sarno, Lucio, 2018. "Foreign currency lending," MPRA Paper 88197, University Library of Munich, Germany.
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"Exchange Rates and Fundamentals: A General Equilibrium Exploration,"
Discussion paper series
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"Currency Volatility and Global Technological Innovation,"
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CEPR Discussion Papers
12460, C.E.P.R. Discussion Papers.
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- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
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- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
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"Carry Trades and Global Foreign Exchange Volatility,"
CEPR Discussion Papers
8291, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
Cited by:
- Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
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"Monetary policy's rising FX impact in the era of ultra-low rates,"
CEPR Discussion Papers
11918, C.E.P.R. Discussion Papers.
- Massimo Ferrari & Jonathan Kearns & Andreas Schrimpf, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," BIS Working Papers 626, Bank for International Settlements.
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- Coakley, Jerry & Marzano, Michele & Nankervis, John, 2016. "How profitable are FX technical trading rules?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 273-282.
- Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
- Wang, Wenhao & Lin, Zhitao & Hu, Bing, 2023. "Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies," Finance Research Letters, Elsevier, vol. 53(C).
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012.
"Currency momentum strategies,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
- Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
- Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
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- Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
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- Du, Ding & Hu, Ou, 2012. "Foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1202-1216.
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
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"Exchange rates, expected returns and risk: UIP unbound,"
CAMA Working Papers
2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
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"Business cycles and currency returns,"
Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
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"The Term Structure of Currency Futures' Risk Premia,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
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CEPR Discussion Papers
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"The cost of foreign-currency lending,"
Journal of Banking & Finance, Elsevier, vol. 136(C).
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"International correlation risk,"
LSE Research Online Documents on Economics
60955, London School of Economics and Political Science, LSE Library.
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- Yiuman Tse & John K. Wald, 2013. "Insured Uncovered Interest Parity," Working Papers 0172fin, College of Business, University of Texas at San Antonio.
- Dagfinn Rime & Hans Jørgen Tranvåg, 2012.
"The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence,"
Working Paper
2012/01, Norges Bank.
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- Hans Jørgen Tranvåg & Dagfinn Rime, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper Series 12412, Department of Economics, Norwegian University of Science and Technology.
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"Are Intermediary Constraints Priced?,"
Research Papers
3770, Stanford University, Graduate School of Business.
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- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
- Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
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"Exchange Rates and Interest Parity,"
NBER Working Papers
19336, National Bureau of Economic Research, Inc.
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- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015.
"Not so disconnected: exchange rates and the capital stock,"
Working Paper Series
2015-21, Federal Reserve Bank of San Francisco.
- Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," CEPR Discussion Papers 10744, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "Not So Disconnected: Exchange Rates and the Capital Stock," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
- Tarek Alexander Hassan & Thomas Mertens & Tony Zhang, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," NBER Working Papers 21445, National Bureau of Economic Research, Inc.
- Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
- Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
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"A Comprehensive Look at Financial Volatility Prediction by Economic Variables,"
BIS Working Papers
374, Bank for International Settlements.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
- Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
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"Currency excess returns and global downside market risk,"
Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
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- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
CREATES Research Papers
2011-10, Department of Economics and Business Economics, Aarhus University.
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- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
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- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
- Stocker, Marshall L., 2016. "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, vol. 38(C), pages 312-325.
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- Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014.
"Common Factors and the Exchange Rate: Results From the Brazilian Case,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
- Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2013. "An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 109-120.
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"Systematic consumption risk in currency returns,"
Journal of International Money and Finance, Elsevier, vol. 74(C), pages 187-208.
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- Riza Demirer & Rangan Gupta & Hossein Hassani & Xu Huang, 2020.
"Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram,"
Economies, MDPI, vol. 8(1), pages 1-12, March.
- Riza Demirer & Rangan Gupta & Hossein Hassani & Xu Huang, 2019. "Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram," Working Papers 201979, University of Pretoria, Department of Economics.
- Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
- Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017.
"When the Walk Is Not Random: Commodity Prices and Exchange Rates,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2016. "When the walk is not random: commodity prices and exchange rates," BIS Working Papers 551, Bank for International Settlements.
- Lumengo Bonga-Bonga & Sefora Motena Rangoanana, 2022.
"Carry Trade and Capital Market Returns in South Africa,"
JRFM, MDPI, vol. 15(11), pages 1-13, October.
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- Özmen, M. Utku & Yılmaz, Erdal, 2017. "Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”," Emerging Markets Review, Elsevier, vol. 33(C), pages 173-188.
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"Prudence and preference for flexibility gain,"
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- Daniel Danau, 2017. "Prudence and preference for flexibility gain," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-05, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS, revised Nov 2017.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016.
"Risk and Return Spillovers among the G10 Currencies,"
Melbourne Institute Working Paper Series
wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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"Good Carry, Bad Carry,"
NBER Working Papers
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"Measures of global uncertainty and carry-trade excess returns,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
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"US Dollar Carry Trades in the Era of “Cheap Money”,"
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"Currency Manipulation,"
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"The Forward Premium Puzzle and The Euro,"
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- Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013.
"Common factors and the exchange rate: results from the Brazilian case,"
Insper Working Papers
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- Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
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ZEW Discussion Papers
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"Price Discovery in Currency Markets,"
Working Papers
03, Brandeis University, Department of Economics and International Business School.
- Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
- Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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- Marvin Wee & Joey W. Yang, 2016. "The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market," European Financial Management, European Financial Management Association, vol. 22(5), pages 882-915, November.
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"Predictibilidad del mercado accionario colombiano,"
Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
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"What moves international stock and bond markets?,"
Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
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- Gino Cenedese & Enrico Mallucci, 2015. "What moves international stock and bond markets?," Working Paper series 15-23, Rimini Centre for Economic Analysis.
- Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," LSE Research Online Documents on Economics 86296, London School of Economics and Political Science, LSE Library.
- Cenedese, Gino & Mallucci, Enrico, 2015. "What moves international stock and bond markets?," Bank of England working papers 534, Bank of England.
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"What do stock markets tell us about exchange rates?,"
Bank of England working papers
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"Consumption, wealth, stock and housing returns: Evidence from emerging markets,"
Research in International Business and Finance, Elsevier, vol. 36(C), pages 562-578.
- Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers 32/2011, NIPE - Universidade do Minho.
- Guglielmo Maria Caporale & Ricardo M. Souza, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," Discussion Papers of DIW Berlin 1159, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," CESifo Working Paper Series 3601, CESifo.
- Ruey-Shii Chen & Tai-Wei Zhang, 2018. "Dividend cuts and predictability," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 249-267, April.
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"International Stock Return Predictability: Evidence from New Statistical Tests,"
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- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.
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"The Risky Capital of Emerging Markets,"
NBER Working Papers
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- Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014.
"Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework,"
Working papers
2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
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- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
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"The term structure of returns: Facts and theory,"
Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
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- David G. McMillan, 2016. "Stock return predictability and market integration: The role of global and local information," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1178363-117, December.
- Yang Bai, 2022. "150 Years of Return Predictability Around the World: A Holistic View," Papers 2209.00121, arXiv.org.
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- Ali, Heba, 2022. "Corporate dividend policy in the time of COVID-19: Evidence from the G-12 countries," Finance Research Letters, Elsevier, vol. 46(PB).
- Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
- Joe, Denis Yongmin & Oh, Frederick Dongchuhl & Park, Cheolbeom, 2018. "Control-ownership disparity and stock market Predictability: Evidence from Korean chaebols," Finance Research Letters, Elsevier, vol. 27(C), pages 6-11.
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- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010.
"Macro Expectations, Aggregate Uncertainty, and Expected Term Premia,"
CREATES Research Papers
2010-49, Department of Economics and Business Economics, Aarhus University.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
Cited by:
- Alves, Paulo & Silva, Paulo, 2017.
"Abnormal Retained Earnings Around The World,"
MPRA Paper
80243, University Library of Munich, Germany.
- Paulo, Alves, 2018. "Abnormal retained earnings around the world," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 63-74.
- Alves, Paulo, 2018. "Abnormal Retained Earnings Around the World," MPRA Paper 86660, University Library of Munich, Germany.
- Bredin, Don & Fountas, Stilianos, 2018.
"US inflation and inflation uncertainty over 200 years,"
Financial History Review, Cambridge University Press, vol. 25(2), pages 141-159, August.
- Don Bredin & Stilianos Fountas, 2018. "US Inflation and Inflation Uncertainty Over 200 Years," Discussion Paper Series 2018_04, Department of Economics, University of Macedonia, revised Apr 2018.
- Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "What factors influence the yield curve?," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 9(1), pages 28-39, March.
- Vodwal, Sandeep & Bansal, Vishakha & Sinha, Pankaj, 2019. "Impact of Financial Crisis on Determinants of Capital Structure of Indian Non-financial Firms: Estimating Dynamic Panel Data Model using Two-Step System GMM," MPRA Paper 95482, University Library of Munich, Germany.
- Albert Danso & Samuel Fosu & Samuel Owusu‐Agyei & Collins G. Ntim & Emmanuel Adegbite, 2021. "Capital structure revisited. Do crisis and competition matter in a Keiretsu corporate structure?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5073-5092, October.
- Ewan Rankin & Muhummed Shah Idil, 2014. "A Century of Stock-Bond Correlations," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 67-74, September.
- Conrad, Christian & Hartmann, Matthias, 2014.
"Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty,"
Working Papers
0574, University of Heidelberg, Department of Economics.
- Hartmann, Matthias & Conrad, Christian, 2014. "Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100477, Verein für Socialpolitik / German Economic Association.
- De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
- Dorine Boumans & Klaus Gründler & Niklas Potrafke & Fabian Ruthardt, 2021.
"The Global Economic Impact of Politicians: Evidence from an International Survey RCT,"
CESifo Working Paper Series
8833, CESifo.
- Dorine Boumans & Klaus Gründler & Niklas Potrafke & Fabian Ruthardt, 2021. "The Global Economic Impact of Politicians: Evidence from an International Survey RCT," EconPol Working Paper 56, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
- Gaus, Eric & Sinha, Arunima, 2018.
"What does the yield curve imply about investor expectations?,"
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- Eric Gaus & Arunima Sinha, 2014. "What does the Yield Curve imply about Investor Expectations?," Working Papers 14-02, Ursinus College, Department of Economics.
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"How do Experts Forecast Sovereign Spreads?,"
IMF Working Papers
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- Demirgüç-Kunt, Asli & Martinez Peria, Maria Soledad & Tressel, Thierry, 2020. "The global financial crisis and the capital structure of firms: Was the impact more severe among SMEs and non-listed firms?," Journal of Corporate Finance, Elsevier, vol. 60(C).
- Pankaj Sinha & Sandeep Vodwal, 2022. "Impact of size and earnings on speed of partial adjustment to target leverage: a study of Indian companies using two-step system GMM," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(2), pages 957-977, April.
- Montes, Gabriel Caldas & Curi, Alexandre, 2017. "Disagreement in expectations about public debt, monetary policy credibility and inflation risk premium," Journal of Economics and Business, Elsevier, vol. 93(C), pages 46-61.
- Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017.
"Measuring uncertainty in the stock market,"
International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
- Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "“Measuaring Uncertainty in the Stock Market”," IREA Working Papers 201524, University of Barcelona, Research Institute of Applied Economics, revised Nov 2015.
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- Selcuk Bayraci & Sercan Demiralay & Hatice Gaye Gencer, 2018. "Stock†Bond Co†Movements And Flight†To†Quality In G7 Countries: A Time†Frequency Analysis," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 29-49, January.
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"Financial Professionals' Overconfidence: Is It Experience, Function, or Attitude?,"
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"Foreign Exchange Intervention: A New Database,"
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"The Dynamic Impact of FX Interventions on Financial Markets,"
Discussion Papers of DIW Berlin
1854, DIW Berlin, German Institute for Economic Research.
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Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
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Hannover Economic Papers (HEP)
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- Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
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"Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan,"
MAGKS Papers on Economics
201917, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Bernd Hayo & Ken Iwatsubo, 2019. "Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan," GRU Working Paper Series GRU_2019_026, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
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"Asymmetric Information Risk in FX Markets,"
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- Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
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"The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward,"
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54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Dennis, Patrick J. & Sandås, Patrik, 2020. "Does Trading Anonymously Enhance Liquidity?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2372-2396, November.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009.
"Carry Trades and Global FX Volatility,"
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Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
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"High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?,"
CESifo Working Paper Series
2473, CESifo.
- Lukas Menkhoff, 2010. "High‐Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 85-112, February.
- Andreas M. Fischer & Ulan Termechikov, 2007.
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- Schmeling, Maik, 2008.
"Investor sentiment and stock returns: Some international evidence,"
Hannover Economic Papers (HEP)
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- Yi, Shangkun & Wang, Jian & Wang, Xiaoting & Feng, Hongrui, 2022. "CEO political connection and stock sentiment beta: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
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"Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?,"
SFB 649 Discussion Papers
SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
Cited by:
- Aviral Kumar Tiwari & Adeolu O. Adewuyi & Olabanji B. Awodumi & David Roubaud, 2022. "Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4515-4540, October.
- Oscar Claveria & Enric Monte & Salvador Torra, 2018. "A Data-Driven Approach to Construct Survey-Based Indicators by Means of Evolutionary Algorithms," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(1), pages 1-14, January.
- Oscar Claveria & Enric Monte & Salvador Torra, 2017.
"“Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming”,"
AQR Working Papers
201706, University of Barcelona, Regional Quantitative Analysis Group, revised May 2017.
- Oscar Claveria & Enric Monte & Salvador Torra, 2017. "Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming," IREA Working Papers 201711, University of Barcelona, Research Institute of Applied Economics, revised May 2017.
- Steven D. Silver & Marko Raseta, 2021. "An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data," Empirical Economics, Springer, vol. 60(2), pages 683-699, February.
- Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
- Grundmann, Susanna & Giamattei, Marcus & Lambsdorff, Johann Graf, 2019. "Intentions rather than money illusion – Why nominal changes induce real effects," European Economic Review, Elsevier, vol. 119(C), pages 166-178.
- Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
- Puah, Chin-Hong & Chong, Lucy Lee-Yun & Jais, Mohamad, 2011. "Testing the Rational Expectations Hypothesis on the Retail Trade Sector Using Survey Data from Malaysia," MPRA Paper 36699, University Library of Munich, Germany.
- Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Empirical modelling of survey-based expectations for the design of economic indicators in five European regions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 205-227, May.
- Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014.
"Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market,"
FinMaP-Working Papers
11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
- Oscar Claveria & Enric Monte & Salvador Torra, 2017. "A new approach for the quantification of qualitative measures of economic expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(6), pages 2685-2706, November.
- Brückbauer Frank & Schröder Michael, 2023. "The ZEW Financial Market Survey Panel," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 243(3-4), pages 451-469, June.
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"Money Illusion and Household Finance,"
CEPR Discussion Papers
11643, C.E.P.R. Discussion Papers.
- Thomas A. Stephens & Jean-Robert Tyran, 2016. "Money Illusion and Household Finance," Discussion Papers 16-14, University of Copenhagen. Department of Economics.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015.
"Exchange rate forecasts and expected fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2014. "Exchange rate forecasts and expected fundamentals," Kiel Working Papers 1974, Kiel Institute for the World Economy (IfW Kiel).
- Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
- Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022.
"Extreme inflation and time-varying expected consumption growth,"
SAFE Working Paper Series
334, Leibniz Institute for Financial Research SAFE.
- Ilya Dergunov & Christoph Meinerding & Christian Schlag, 2023. "Extreme Inflation and Time-Varying Expected Consumption Growth," Management Science, INFORMS, vol. 69(5), pages 2972-3002, May.
- Mokinski, Frieder, 2016. "Using time-stamped survey responses to measure expectations at a daily frequency," International Journal of Forecasting, Elsevier, vol. 32(2), pages 271-282.
- Oscar Claveria & Enric Monte & Salvador Torra, 2018.
"“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”,"
IREA Working Papers
201801, University of Barcelona, Research Institute of Applied Economics, revised Jan 2018.
- Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”," AQR Working Papers 201801, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2018.
- Oscar Claveria & Enric Monte & Salvador Torra, 2018. "Tracking economic growth by evolving expectations via genetic programming: A two-step approach," Working Papers XREAP2018-4, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2018.
- Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
- Lawal Isola ADEDOYIN & Frank AWONUSI & Martins I. OLOYE, 2015. "All share price and inflation volatility in Nigeria. An application of the EGARCH model," EuroEconomica, Danubius University of Galati, issue 1(34), pages 75-82, May.
- Brückbauer, Frank & Schröder, Michael, 2021. "Data resource profile: The ZEW FMS dataset," ZEW Discussion Papers 21-100, ZEW - Leibniz Centre for European Economic Research.
- Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Evolutionary Computation for Macroeconomic Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 833-849, February.
- Ryu‐ichiro Murota, 2018. "Aggregate demand deficiency, labor unions, and long‐run stagnation," Metroeconomica, Wiley Blackwell, vol. 69(4), pages 868-888, November.
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"Expected Business Conditions and Bond Risk Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1667-1703, August.
- Jonas Nygaard Eriksen, 2015. "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers 2015-44, Department of Economics and Business Economics, Aarhus University.
- Anwar Khayat, 2015. "Negative Policy Rates, Banking Flows and Exchange Rates," AMSE Working Papers 1538, Aix-Marseille School of Economics, France, revised Sep 2015.
- David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
- Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
- Alin OPREANA & Simona VINEREAN, 2015. "Analysis of the Economic Research Context after the Outbreak of the Economic Crisis of 2007-2009," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 77-92.
- 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.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Charles N. Noussair & Gregers Richter & Jean-Robert Tyran, 2008. "Money Illusion and Nominal Inertia in Experimental Asset Markets," Discussion Papers 08-29, University of Copenhagen. Department of Economics.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Leibniz Centre for European Economic Research.
- Menkhoff, Lukas & Schmeling, Maik & Schmidt, Ulrich, 2008.
"Are all professional investors sophisticated?,"
Hannover Economic Papers (HEP)
dp-397, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Lukas Menkhoff & Maik Schmeling & Ulrich Schmidt, 2010. "Are All Professional Investors Sophisticated?," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 418-440, November.
- Menkhoff Lukas & Schmeling Maik & Schmidt Ulrich, 2010. "Are All Professional Investors Sophisticated?," German Economic Review, De Gruyter, vol. 11(4), pages 418-440, December.
Cited by:
- Walter Krämer & Michael Bücker, 2011. "Probleme des Qualitätsvergleichs von Kreditausfallprognosen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(1), pages 39-58, March.
- Rafał Wolski & Monika Bolek & Jerzy Gajdka & Janusz Brzeszczyński & Ali M. Kutan, 2023. "Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(5), pages 757-794, February.
- D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
- Tian, Geran & Wang, Xiaowen & Wu, Weixing, 2021. "Borrow low, lend high: Credit arbitrage by sophisticated investors," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
- Roshani Chamalka Gunathilaka & J. M. Ruwani Fernando, 2021. "Do behavioral biases differ among institutional and individual investors?," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 61-73, June.
- Menkhoff, Lukas & Schmeling, Maik, 2007.
"Whose trades convey information? Evidence from a cross-section of traders,"
Hannover Economic Papers (HEP)
dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
Cited by:
- Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
- Kitamura, Yoshihiro, 2017. "Simple measures of market efficiency: A study in foreign exchange markets," Japan and the World Economy, Elsevier, vol. 41(C), pages 1-16.
- 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.
- Elaut, Gert & Frömmel, Michael & Lampaert, Kevin, 2018. "Intraday momentum in FX markets: Disentangling informed trading from liquidity provision," Journal of Financial Markets, Elsevier, vol. 37(C), pages 35-51.
- Schreiber, Ben Z., 2014. "Identifying speculators in the FX market: A microstructure approach," Journal of Economics and Business, Elsevier, vol. 73(C), pages 97-119.
- M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2017.
"Informativeness of trade size in foreign exchange markets,"
Post-Print
hal-01745281, HAL.
- Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2017. "Informativeness of trade size in foreign exchange markets," Economics Letters, Elsevier, vol. 150(C), pages 27-33.
- M. Frömmel & N. Kiss M & K. Pintér & -, 2009.
"Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
09/626, Ghent University, Faculty of Economics and Business Administration.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2011. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(2), pages 172-188, April.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers 2009/3, Magyar Nemzeti Bank (Central Bank of Hungary).
- Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
- Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
- Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
- Le, Anh Tu & Le, Thai-Ha & Liu, Wai-Man & Fong, Kingsley Y., 2020. "Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Gençay, Ramazan & Gradojevic, Nikola, 2013. "Private information and its origins in an electronic foreign exchange market," Economic Modelling, Elsevier, vol. 33(C), pages 86-93.
- Lin, Hui Ling & Pukthuanthong, Kuntara & Walker, Thomas John, 2013. "An international look at the lawsuit avoidance hypothesis of IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 56-77.
- Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010.
"Limit-order submission strategies under asymmetric information,"
Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
- Lukas Menkhoff & Carol L. Osler & Maik Schmeling, 2010. "Limit-Order Submission Strategies under Asymmetric Information," CESifo Working Paper Series 3054, CESifo.
- Anh Tu Le & Thai-Ha Le & Wai-Man Liu & Kingsley Y. Fong, 2021. "Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model," Annals of Operations Research, Springer, vol. 297(1), pages 241-275, February.
- Alexis Stenfors & Masayuki Susai, 2021. "Stealth Trading in FX Markets," Working Papers in Economics & Finance 2021-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
- Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015.
"Informed traders' arrival in foreign exchange markets: Does geography matter?,"
Post-Print
hal-01563055, HAL.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders’ arrival in foreign exchange markets: Does geography matter?," Empirical Economics, Springer, vol. 49(4), pages 1431-1462, December.
- Abad, David & Pascual, Roberto, 2015. "The friction-free weighted price contribution," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 226-239.
- Panagiotis Anagnostidis & Patrice Fontaine & Christos Varsakelis, 2020. "Are high–frequency traders informed?," Post-Print hal-03062831, HAL.
- Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
- Fricke, Christoph & Menkhoff, Lukas, 2010.
"Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares,"
Hannover Economic Papers (HEP)
dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
- Michael King & Carol Osler & Dagfinn Rime, 2012.
"The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward,"
Working Papers
54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
- Brooks, Robert & Harris, Edwyna, 2014. "Price leadership and information transmission in Australian water allocation markets," Agricultural Water Management, Elsevier, vol. 145(C), pages 83-91.
- Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
- Nikola Gradojevic, 2014. "Informativeness of the Trade Size in an Electronic Foreign Exchange Market," Working Papers 2014-ACF-02, IESEG School of Management.
- Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013.
"Information flows in foreign exchange markets: dissecting customer currency trades,"
BIS Working Papers
405, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016. "Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades," Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, April.
- Menkhoff, Lukas & Schmeling, Maik, 2006.
"Local Information in Foreign Exchange Markets,"
Hannover Economic Papers (HEP)
dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2008. "Local information in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
Cited by:
- Carol Osler & Alexander Mende & Lukas Menkhoff, 2010.
"Price Discovery in Currency Markets,"
Working Papers
03, Brandeis University, Department of Economics and International Business School.
- Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
- Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Whose trades convey information? Evidence from a cross-section of traders,"
Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
- Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets: The Case of Brazil in 2002," Economic Research Papers 271181, University of Warwick - Department of Economics.
- Sandro C. Andrade & Emanuel Kohlscheen, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets: the case of Brazil in 2002," Working Papers Series 211, Central Bank of Brazil, Research Department.
- Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009.
"Exchange rate management in emerging markets: Intervention via an electronic limit order book,"
Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
- Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2009. "Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2656, CESifo.
- Piccotti, Louis R., 2016. "Pricing errors and the geography of trade in the foreign exchange market," Journal of Financial Markets, Elsevier, vol. 28(C), pages 46-69.
- Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010.
"Limit-order submission strategies under asymmetric information,"
Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
- Lukas Menkhoff & Carol L. Osler & Maik Schmeling, 2010. "Limit-Order Submission Strategies under Asymmetric Information," CESifo Working Paper Series 3054, CESifo.
- Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
- Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
- Martin D. D. Evans & Dagfinn Rime, 2011.
"Micro approaches to foreign exchange determination,"
Working Paper
2011/05, Norges Bank.
- Martin Evans and Dagfinn Rime, 2010. "Micro Approaches to foreign Exchange Determination," Working Papers gueconwpa~10-10-04, Georgetown University, Department of Economics.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015.
"Informed traders' arrival in foreign exchange markets: Does geography matter?,"
Post-Print
hal-01563055, HAL.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders’ arrival in foreign exchange markets: Does geography matter?," Empirical Economics, Springer, vol. 49(4), pages 1431-1462, December.
- Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
- Michael King & Carol Osler & Dagfinn Rime, 2012.
"The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward,"
Working Papers
54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
- Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
- Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
- Schmeling, Maik, 2006.
"Institutional and Individual Sentiment: Smart Money and Noise Trader Risk,"
Hannover Economic Papers (HEP)
dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
Cited by:
- Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013.
"Market Response to Investor Sentiment,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, September.
- Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011. "Market response to investor sentiment," CFS Working Paper Series 2011/02, Center for Financial Studies (CFS).
- Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011. "Market response to investor sentiment," CFR Working Papers 11-01, University of Cologne, Centre for Financial Research (CFR).
- Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).
- Gric, Zuzana & Bajzík, Josef & Badura, Ondřej, 2023. "Does sentiment affect stock returns? A meta-analysis across survey-based measures," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Ülkü, Numan & Ali, Fahad & Saydumarov, Saidgozi & İkizlerli, Deniz, 2023. "COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
- Goodfellow, Christiane & Bohl, Martin T. & Gebka, Bartosz, 2009. "Together we invest? Individual and institutional investors' trading behaviour in Poland," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 212-221, September.
- Leonel Arango Vásquez & Eduardo Alexander Duque Grisales, 2016. "Capital riesgo y dinero inteligente: aportes de valor no monetario," Contexto (Artículos Sobre Economía), Universidad Externado de Colombia, February.
- Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
- Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
- Lux, Thomas, 2008. "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers 1470, Kiel Institute for the World Economy (IfW Kiel).
- Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
- Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han, 2016. "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 47-65.
- Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011.
"The impact of investor sentiment on the German stock market,"
CFR Working Papers
10-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03, University of Cologne, Centre for Financial Research (CFR).
- Menkhoff, Lukas & Rebitzky, Rafael R., 2008.
"Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP,"
Journal of Empirical Finance, Elsevier, vol. 15(3), pages 455-467, June.
- Menkhoff, Lukas & Rebitzky, Rafael, 2007. "Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP," Hannover Economic Papers (HEP) dp-376, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Aviral Kumar Tiwari & Deven Bathia & Elie Bouri & Rangan Gupta, 2021.
"Investor Sentiment Connectedness: Evidence From Linear And Nonlinear Causality Approaches,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-29, December.
- Aviral Kumar Tiwari & Deven Bathia & Elie Bouri & Rangan Gupta, 2018. "Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches," Working Papers 201814, University of Pretoria, Department of Economics.
- Ahmed, Bouteska, 2020. "Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Chen, Haojun & Maher, Daniela, 2013. "On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 177-201.
- Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Thomas Lux, 2011. "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, vol. 41(3), pages 663-679, December.
- Guo, Jiaqi & Holmes, Phil & Altanlar, Ali, 2020. "Is herding spurious or intentional? Evidence from analyst recommendation revisions and sentiment," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Han, Xing & Li, Youwei, 2017.
"Can investor sentiment be a momentum time-series predictor? Evidence from China,"
Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
- Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
- Zuzana Rakovska, 2020.
"Composite Survey Sentiment as a Predictor of Future Market Returns: Evidence for German Equity Indices,"
Working Papers
2020/13, Czech National Bank.
- Rakovská, Zuzana, 2021. "Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 473-495.
- Mbarki, Imen & Omri, Abdelwahed & Naeem, Muhammad Abubakr, 2022. "From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
- Alturki, Sultan & Olson, Eric, 2022. "Oil sentiment and the U.S. inflation premium," Energy Economics, Elsevier, vol. 114(C).
- Shah Saeed Hassan Chowdhury, 2023. "Spillover of Sentiments Between the GCC Stock Markets," Global Business Review, International Management Institute, vol. 24(6), pages 1434-1453, December.
- Zuzana Gric & Josef Bajzik & Ondrej Badura, 2021. "Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures," Working Papers 2021/10, Czech National Bank.
- Menkhoff, Lukas & Suwanaporn, Chodechai, 2007.
"10 Years after the crisis: Thailand's financial system reform,"
Journal of Asian Economics, Elsevier, vol. 18(1), pages 4-20, February.
- Menkhoff, Lukas & Suwanaporn, Chodechai, 2007. "10 Years after the Crisis: Thailand's Financial System Reform," Hannover Economic Papers (HEP) dp-356, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- N. Banholzer & S. Heiden & D. Schneller, 2019. "Exploiting investor sentiment for portfolio optimization," Business Research, Springer;German Academic Association for Business Research, vol. 12(2), pages 671-702, December.
- Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-25.
- Hilary Tinotenda Muguto & Lorraine Rupande & Paul-Francois Muzindutsi, 2019. "Investor sentiment and foreign financial flows: Evidence from South Africa," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 473-498.
- Singer, Nico & Dreher, Frank & Laser, Saskia, 2012. "Published stock recommendations as institutional investor sentiment in the near-term stock market," Thuenen-Series of Applied Economic Theory 121, University of Rostock, Institute of Economics.
- Kim, Soo-Hyun & Kang, Hyoung-Goo, 2015. "Tactical Asset Allocation Using Investors' Sentiment," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(2), pages 177-195, December.
- Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
- Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
- Gehde-Trapp, Monika & Klingler, Linda, 2022. "The effect of sentiment on institutional investors: A gender analysis," CFR Working Papers 22-08, University of Cologne, Centre for Financial Research (CFR).
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Jasman Tuyon & Zamri Ahmad & Hylmee Matahir, 2016. "The Roles of Investor Sentiment in Malaysian Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(Suppl. 1), pages 43-75.
- D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
- S., Glogger & S., Heiden & D., Schneller, 2019. "Bearing the bear: Sentiment-based disagreement in multi-criteria portfolio optimization," Finance Research Letters, Elsevier, vol. 31(C), pages 47-53.
- Zhen Peng & Changsheng Hu, 2020. "Leveraged Trading, Irrational Sentiment and Sustainability in the Stock Market: Evidence from China," Sustainability, MDPI, vol. 12(4), pages 1-18, February.
- Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016. "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 221-232.
- Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
- Roshani Chamalka Gunathilaka & J. M. Ruwani Fernando, 2021. "Do behavioral biases differ among institutional and individual investors?," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 61-73, June.
- Bormann, Sven-Kristjan, 2013. "Sentiment indices on financial markets: What do they measure?," Economics Discussion Papers 2013-58, Kiel Institute for the World Economy (IfW Kiel).
- Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
- Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Sebastian Heiden & Christian Klein & Bernhard Zwergel, 2013. "Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting," European Financial Management, European Financial Management Association, vol. 19(3), pages 558-578, June.
- David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
- Gębka, Bartosz & Wohar, Mark E., 2013. "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 55-84.
- Joseph, Kissan & Babajide Wintoki, M. & Zhang, Zelin, 2011. "Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1116-1127, October.
- Nico Singer & Saskia Laser & Frank Dreher, 2013. "Published stock recommendations as investor sentiment in the near-term stock market," Empirical Economics, Springer, vol. 45(3), pages 1233-1249, December.
- Menkhoff, Lukas & Schmeling, Maik, 2006.
"A Prospect-Theoretical Interpretation of Momentum Returns,"
Hannover Economic Papers (HEP)
dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2006. "A prospect-theoretical interpretation of momentum returns," Economics Letters, Elsevier, vol. 93(3), pages 360-366, December.
Cited by:
- Wang, Junbo & Wu, Chunchi & Zhong, Xiaoling, 2021. "Prospect theory and stock returns: Evidence from foreign share markets," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- Zhong, Xiaoling & Wang, Junbo, 2018. "Prospect theory and corporate bond returns: An empirical study," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 25-48.
- Maik Schmeling, 2011. "Consumption, money and excess returns," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2559-2563.
- Gregory-Allen, Russell & Lu, Helen & Stork, Philip, 2012. "Asymmetric extreme tails and prospective utility of momentum returns," Economics Letters, Elsevier, vol. 117(1), pages 295-297.
- Mouna Abdelhédi-Zouch & Mouna Boujelbène Abbes & Younès Boujelbène, 2015. "Volatility Spillover And Investor Sentiment: Subprime Crisis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 83-101.
Articles
- Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022.
"Exchange Rates and Sovereign Risk,"
Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
See citations under working paper version above.
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021. "Exchange Rates and Sovereign Risk," CEPR Discussion Papers 16058, C.E.P.R. Discussion Papers.
- Mamdouh Medhat & Maik Schmeling, 2022.
"Short-term Momentum,"
The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
See citations under working paper version above.
- Schmeling, Maik & Medhat, Mamdouh, 2021. "Short-term Momentum," CEPR Discussion Papers 15857, C.E.P.R. Discussion Papers.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022.
"Monetary policy expectation errors,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
See citations under working paper version above.
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022. "Monetary policy expectation errors," BIS Working Papers 996, Bank for International Settlements.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021.
"The FOMC Risk Shift,"
Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
See citations under working paper version above.
- Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017.
"Currency Value,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
See citations under working paper version above.
- Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016. "Currency Value," CEPR Discussion Papers 11324, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016.
"Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades,"
Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, April.
See citations under working paper version above.
- Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
- Rangvid, Jesper & Santa-Clara, Pedro & Schmeling, Maik, 2016.
"Capital market integration and consumption risk sharing over the long run,"
Journal of International Economics, Elsevier, vol. 103(C), pages 27-43.
Cited by:
- Helena Chulià & Jorge M. Uribe, 2018. "“Together forever? Good and bad market volatility shocks and international consumption risk sharing: A tale of a sign”," IREA Working Papers 201809, University of Barcelona, Research Institute of Applied Economics, revised May 2018.
- Franziska Bremus & Malte Rieth, 2023. "Integrating Out Natural Disaster Shocks," Discussion Papers of DIW Berlin 2063, DIW Berlin, German Institute for Economic Research.
- Manuel Ramos-Francia & Santiago García-Verdú, 2018. "Globalisation and consumption risk-sharing in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and deglobalisation, volume 100, pages 231-244, Bank for International Settlements.
- Parsley, David & Popper, Helen, 2019. "GDP Synchronicity and Risk Sharing Channels in a Monetary Union: Blue State and Red States," MPRA Paper 98981, University Library of Munich, Germany.
- Cimadomo, Jacopo & Furtuna, Oana & Giuliodori, Massimo, 2018.
"Private and public risk sharing in the euro area,"
Working Paper Series
2148, European Central Bank.
- Jacopo Cimadomo & Oana Furtuna & Massimo Giuliodori, 2017. "Private and Public Risk Sharing in the Euro Area," Tinbergen Institute Discussion Papers 17-064/VI, Tinbergen Institute.
- Cimadomo, Jacopo & Ciminelli, Gabriele & Furtuna, Oana & Giuliodori, Massimo, 2020. "Private and public risk sharing in the euro area," European Economic Review, Elsevier, vol. 121(C).
- Gerdie Everaert & Lorenzo Pozzi, 2022. "Encompassing measures of international consumption risk sharing and their link with trade and financial globalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 433-449, March.
- Aidi Tang, 2023. "Financial Integration and International Dynamics: The Role of Volatility Shocks," Mathematics, MDPI, vol. 11(23), pages 1-27, November.
- Ergys Islamaj & M. Ayhan Kose, 2021.
"What types of capital flows help improve international risk sharing?,"
CAMA Working Papers
2021-96, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ergys Islamaj & M. Ayhan Kose, 2021. "What Types of Capital Flows Help Improve International Risk Sharing?," Koç University-TUSIAD Economic Research Forum Working Papers 2122, Koc University-TUSIAD Economic Research Forum.
- Islamaj, Ergys & Kose, M. Ayhan, 2022. "What types of capital flows help improve international risk sharing?," Journal of International Money and Finance, Elsevier, vol. 122(C).
- Islamaj,Ergys & Kose,Ayhan, 2021. "What Types of Capital Flows Help Improve International Risk Sharing ?," Policy Research Working Paper Series 9846, The World Bank.
- Kose, M. Ayhan & Islamaj, Ergys, 2021. "What Types of Capital Flows Help Improve International Risk Sharing?," CEPR Discussion Papers 16749, C.E.P.R. Discussion Papers.
- António Afonso & José Alves & Krzysztof Beck & Karen Jackson, 2022.
"Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows,"
Working Papers REM
2022/0235, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & José Alves & Krzysztof Beck & Karen Jackson, 2022. "Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows," CESifo Working Paper Series 9872, CESifo.
- John Cotter & Stuart Gabriel & Richard Roll, 2016.
"Nowhere to run, nowhere to hide: asset diversification in a flat world,"
Working Papers
201612, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2019. "Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World," Working Papers 201909, Geary Institute, University College Dublin.
- Francesco Caselli & Miklos Koren & Milan Lisicky & Silvana Tenreyro, 2015.
"Diversification through Trade,"
CEP Discussion Papers
dp1388, Centre for Economic Performance, LSE.
- Francesco Caselli & Miklós Koren & Milan Lisicky & Silvana Tenreyro, 2020. "Diversification Through Trade," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(1), pages 449-502.
- Caselli, Francesco & Koren, Miklos & Lisicky, Milan & Tenreyro, Silvana, 2015. "Diversification through trade," LSE Research Online Documents on Economics 65009, London School of Economics and Political Science, LSE Library.
- Francesco Caselli & Miklós Koren & Milan Lisicky & Silvana Tenreyro, 2015. "Diversification through Trade," Discussion Papers 1518, Centre for Macroeconomics (CFM).
- Francesco Caselli & Miklós Koren & Milan Lisicky & Silvana Tenreyro, 2015. "Diversification through Trade," NBER Working Papers 21498, National Bureau of Economic Research, Inc.
- Caselli, Francesco & Koren, Miklós & Tenreyro, Silvana & Lisicky, Milan, 2015. "Diversification through Trade," CEPR Discussion Papers 10775, C.E.P.R. Discussion Papers.
- Silvana Tenreyro & Miklos Koren & Francesco Caselli, 2012. "Diversification through Trade," 2012 Meeting Papers 539, Society for Economic Dynamics.
- Caselli, Francesco & Koren, Miklos & Lisicky, Milan & Tenreyro, Silvana, 2020. "Diversification through trade," LSE Research Online Documents on Economics 101615, London School of Economics and Political Science, LSE Library.
- Caselli, Francesco & Koren, Miklos & Lisicky, Milan & Tenreyroy, Silvana, 2015. "Diversification through trade," LSE Research Online Documents on Economics 86293, London School of Economics and Political Science, LSE Library.
- David Parsley & Helen Popper, 2021. "Risk Sharing in a Politically Divided Monetary Union," Open Economies Review, Springer, vol. 32(4), pages 649-669, September.
- Cimadomo, Jacopo & Giuliodori, Massimo & Lengyel, Andras & Mumtaz, Haroon, 2023. "Changing patterns of risk-sharing channels in the United States and the euro area," Working Paper Series 2849, European Central Bank.
- Bekaert, Geert & Mehl, Arnaud, 2019.
"On the global financial market integration “swoosh” and the trilemma,"
Journal of International Money and Finance, Elsevier, vol. 94(C), pages 227-245.
- Geert Bekaert & Arnaud Mehl, 2017. "On the Global Financial Market Integration “Swoosh” and the Trilemma," NBER Working Papers 23124, National Bureau of Economic Research, Inc.
- Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
- Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo Maria & Poncela, Pilar, 2023. "Risk sharing channels in OECD countries: A heterogeneous panel VAR approach," Journal of International Money and Finance, Elsevier, vol. 131(C).
- Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
- Lake, Alfred & Maurin, Laurent & Minnella, Enrico, 2022. "Estimating financial integration in Europe: How to separate structural trends from cyclical fluctuations," EIB Working Papers 2022/15, European Investment Bank (EIB).
- Olivier ACCOMINOTTI & Marie BRIERE & Aurore BURIETZ & Kim OOSTERLINCK & Ariane SZAFARZ, 2020.
"Did Globalization Kill Contagion?,"
Working Papers
2020-ACF-01, IESEG School of Management.
- Oosterlinck, Kim & Accominotti, Olivier & BRIERE, Marie & Burietz, Aurore & Szafarz, Ariane, 2020. "Did Globalization Kill Contagion?," CEPR Discussion Papers 14395, C.E.P.R. Discussion Papers.
- Uribe, Jorge M. & Mosquera-López, Stephania & Arenas, Oscar J., 2022.
"Assessing the relationship between electricity and natural gas prices in European markets in times of distress,"
Energy Policy, Elsevier, vol. 166(C).
- Jorge M. Uribe & Stephania Mosquera-López & Oscar J. Arenas, 2021. ""Assessing the relationship between electricity and natural gas prices in European markets in times of distress"," IREA Working Papers 202117, University of Barcelona, Research Institute of Applied Economics, revised Nov 2021.
- Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo & Poncela, Pilar, 2018. "New Risk Sharing Channels in OECD Countries: a Heterogeneous Panel VAR," Working Papers 2018-13, Joint Research Centre, European Commission.
- Qiu, Yue & Ren, Yu & Xie, Tian, 2022. "Global factors and stock market integration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 526-551.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014.
"Dividend Predictability Around the World,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
See citations under working paper version above.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, Department of Economics and Business Economics, Aarhus University.
- Lucio Sarno & Maik Schmeling, 2014.
"Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 267-292, March.
See citations under working paper version above.
- Sarno, Lucio & Schmeling, Maik, 2013. "Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective," CEPR Discussion Papers 9472, C.E.P.R. Discussion Papers.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013.
"Macro-expectations, aggregate uncertainty, and expected term premia,"
European Economic Review, Elsevier, vol. 58(C), pages 58-80.
See citations under working paper version above.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010. "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers 2010-49, Department of Economics and Business Economics, Aarhus University.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2013.
"What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?,"
Journal of Empirical Finance, Elsevier, vol. 20(C), pages 109-129.
Cited by:
- Dan Zhu & Qingwei Wang & John Goddard, 2022. "A new hedging hypothesis regarding prediction interval formation in stock price forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 697-717, July.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019.
"Five Facts about Beliefs and Portfolios,"
NBER Working Papers
25744, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021. "Five Facts about Beliefs and Portfolios," American Economic Review, American Economic Association, vol. 111(5), pages 1481-1522, May.
- Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019. "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers 13657, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five facts about beliefs and portfolios," CESifo Working Paper Series 7666, CESifo.
- Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
- Henning Hermes & Daniel Schunk, 2022.
"If you could read my mind–an experimental beauty-contest game with children,"
Experimental Economics, Springer;Economic Science Association, vol. 25(1), pages 229-253, February.
- Hermes, Henning & Schunk, Daniel, 2019. "If You Could Read My Mind—An Experimental Beauty-Contest Game with Children," Discussion Paper Series in Economics 23/2019, Norwegian School of Economics, Department of Economics.
- Henning Hermes & Daniel Schunk, 2019. "If You Could Read My Mind—An Experimental Beauty-Contest Game with Children," Working Papers 1913, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
- Silver, Steven D. & Raseta, Marko & Bazarova, Alina, 2023. "Stochastic resonance in the recovery of signal from agent price expectations," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
- Caylor, Marcus & Hong, Duanping & Park, Hyungshin & Qu, Hong, 2023. "Do analysts anchor on public signals in forecasting the target price of disruptive technology firms?," Economics Letters, Elsevier, vol. 228(C).
- Schanne, Norbert, 2012. "The formation of experts' expectations on labour markets : do they run with the pack?," IAB-Discussion Paper 201225, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Hagenhoff, Tim & Lustenhouwer, Joep, 2023. "The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
- Breitung, Jörg & Schmeling, Maik, 2013.
"Quantifying survey expectations: What’s wrong with the probability approach?,"
International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
See citations under working paper version above.
- Breitung, Jörg & Schmeling, Maik, 2011. "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP) dp-485, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012.
"Currency momentum strategies,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
See citations under working paper version above.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012.
"Carry Trades and Global Foreign Exchange Volatility,"
Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
See citations under working paper version above.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012.
"A comprehensive look at financial volatility prediction by economic variables,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
See citations under working paper version above.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas, 2011.
"Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?,"
European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
See citations under working paper version above.
- Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010.
"Limit-order submission strategies under asymmetric information,"
Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
See citations under working paper version above.
- Lukas Menkhoff & Carol L. Osler & Maik Schmeling, 2010. "Limit-Order Submission Strategies under Asymmetric Information," CESifo Working Paper Series 3054, CESifo.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Whose trades convey information? Evidence from a cross-section of traders,"
Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
See citations under working paper version above.
- Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
See citations under working paper version above.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009.
"Exchange rate management in emerging markets: Intervention via an electronic limit order book,"
Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
See citations under working paper version above.
- Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2009. "Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2656, CESifo.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
See citations under working paper version above.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2008.
"Local information in foreign exchange markets,"
Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
See citations under working paper version above.
- Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2007.
"Institutional and individual sentiment: Smart money and noise trader risk?,"
International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
See citations under working paper version above.
- Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP) dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Schmeling, Maik, 2006.
"A prospect-theoretical interpretation of momentum returns,"
Economics Letters, Elsevier, vol. 93(3), pages 360-366, December.
See citations under working paper version above.
- Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP) dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.