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Paul Söderlind
(Paul Soderlind)

Citations

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

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.

    Mentioned in:

    1. Attention to the tail(s): global financial conditions and exchange rate risks
      by BankUnderground in Bank Underground on 2019-12-17 09:00:00
    2. Safe haven currencies
      by Economic Logician in Economic Logic on 2009-04-29 20:27:00
  2. Söderlind, Paul & Ranaldo, Angelo, 2009. "Safe Haven Currencies," CEPR Discussion Papers 7249, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. Attention to the tail(s): global financial conditions and exchange rate risks
      by BankUnderground in Bank Underground on 2019-12-17 09:00:00
    2. Safe haven currencies
      by Economic Logician in Economic Logic on 2009-04-29 20:27:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Soderlind, Paul & Vredin, Anders, 1996. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 363-381, July-Aug..

    Mentioned in:

    1. Applied cointegration analysis in the mirror of macroeconomic theory (Journal of Applied Econometrics 1996) in ReplicationWiki ()

Working papers

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," Ruhr Economic Papers 1055, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv, Center for Open Science.
    4. Christoph Huber & Christian König-Kersting, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck.
    5. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
    6. Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H. V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 119(44), pages 1-8.
    7. Müller, Isabella & Noth, Felix & Tonzer, Lena, 2022. "A note on the use of syndicated loan data," IWH Discussion Papers 17/2022, Halle Institute for Economic Research (IWH).
    8. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.

  2. Nikola Mirkov & Igor Pozdeev & Paul Söderlind, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers 2016-10, Swiss National Bank.

    Cited by:

    1. Berhold, Kerstin & Stadtmann, Georg, 2017. "Who put the holes in the Swiss cheese? Currency crisis under appreciation pressure," Discussion Papers 391, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    2. Buchholz, Manuel & von Schweinitz, Gregor & Tonzer, Lena, 2018. "Did the Swiss exchange rate shock shock the market?," IWH Discussion Papers 9/2018, Halle Institute for Economic Research (IWH).
    3. Funke, Michael & Loermann, Julius & Tsang, Andrew, 2017. "The information content in the offshore Renminbi foreign-exchange option market: Analytics and implied USD/CNH densities," BOFIT Discussion Papers 15/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
    4. Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," BIS Working Papers 1094, Bank for International Settlements.
    5. Matthias EFING & Rüdiger FAHLENBRACH & Christoph HERPFER & Philipp KRÜGER, 2015. "How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?," Swiss Finance Institute Research Paper Series 15-65, Swiss Finance Institute, revised Jan 2016.
    6. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    7. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    8. Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
    9. Cukierman, Alex, 2018. "Forex intervention and reserve management in Switzerland and Israel since the financial crisis: Comparison and policy lessons," CEPR Discussion Papers 13186, C.E.P.R. Discussion Papers.
    10. Gregor von Schweinitz & Lena Tonzer & Manuel Buchholz, 2021. "Monetary policy through exchange rate pegs: The removal of the Swiss franc‐Euro floor and stock price reactions," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1382-1406, December.
    11. Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.

  3. Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.

    Cited by:

    1. Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
    2. Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin, 2022. "Nonlinear limits to arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1084-1113, June.
    3. Schrimpf, Paul & Kearns, Jonathan & Ferrari, Massimo, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
    4. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
    7. 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.
    8. Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    9. Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    10. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    11. 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.
    12. Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
    13. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    14. Andrey G. Shulgin, 2017. "A Simple Theoretical Setup for the Evaluation of Sterilized Intervention Effectiveness in a Small Open Commodity Exporting Economy," HSE Working papers WP BRP 170/EC/2017, National Research University Higher School of Economics.
    15. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    16. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    17. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    18. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    19. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "Bitcoin unchained: Determinants of cryptocurrency exchange liquidity," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 106-122.
    20. Florian El Mouaaouy, 2018. "Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 24(7-8), pages 565-583, May.
    21. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    22. Scharnowski, Stefan, 2021. "Understanding Bitcoin liquidity," Finance Research Letters, Elsevier, vol. 38(C).
    23. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
    24. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
    25. Fecht, Falko & Reitz, Stefan & Weber, Patrick, 2015. "On the role of market makers for money market liquidity and tensions," Kiel Working Papers 2013, Kiel Institute for the World Economy (IfW Kiel).
    26. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
    27. Andrei Shulgin, 2018. "Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 68-80, June.
    28. Jakree Koosakul & Ilhyock Shim, 2017. "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers 629, Bank for International Settlements.
    29. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
    30. Brauneis, Alexander & Mestel, Roland & Theissen, Erik, 2021. "What drives the liquidity of cryptocurrencies? A long-term analysis," Finance Research Letters, Elsevier, vol. 39(C).
    31. Dr. Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
    32. Noss, Joseph & Pedace, Lucas & Tobek, Ondrej & Linton, Oliver & Crowley-Reidy, Liam, 2017. "The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets," Bank of England working papers 687, Bank of England.
    33. 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).
    34. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    35. Sensoy, Ahmet & Uzun, Sevcan & Lucey, Brian M., 2021. "Commonality in FX liquidity: High-frequency evidence," Finance Research Letters, Elsevier, vol. 39(C).
    36. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    37. Richard M Levich & Frank Packer, 2015. "Development and functioning of FX markets in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 75-132, Bank for International Settlements.
    38. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    39. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    40. Efstathios Panayi & Gareth W. Peters & Ioannis Kosmidis, 2015. "Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1737-1758, October.
    41. Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
    42. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    43. Będowska-Sójka, Barbara, 2019. "The dynamics of low-frequency liquidity measures: The developed versus the emerging market," Journal of Financial Stability, Elsevier, vol. 42(C), pages 136-142.
    44. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
    45. Hoberg, Gerard & Moon, S. Katie, 2017. "Offshore activities and financial vs operational hedging," Journal of Financial Economics, Elsevier, vol. 125(2), pages 217-244.
    46. Matthew Famiglietti & Yuliya Ivanova & Christopher J. Neely & Paul A. Weller, 2014. "Can risk explain the profitability of technical trading in currency markets?," Working Papers 2014-033, Federal Reserve Bank of St. Louis, revised 12 Jun 2020.
    47. Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
    48. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
    49. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
    50. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
    51. David Castañeda-Arévalo & Fredy Gamboa-Estrada, 2021. "Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado," Borradores de Economia 1185, Banco de la Republica de Colombia.
    52. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    53. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
    54. Carlos Cantú, 2017. "Effects of capital controls on foreign exchange liquidity," BIS Working Papers 659, Bank for International Settlements.
    55. Gao, Yang & Li, Yunhai & Wang, Yaojun & Wang, Chao & Liu, Chao, 2019. "Asymptotic comparison of three spread estimators based on Roll’s model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 420-432.
    56. Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017. "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, vol. 21(4), pages 1355-1401.
    57. 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.
    58. Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
    59. Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
    60. Dietrich Domanski & Emanuel Kohlscheen & Ramon Moreno, 2016. "Foreign exchange market intervention in EMEs: what has changed?," BIS Quarterly Review, Bank for International Settlements, September.
    61. Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).
    62. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
    63. Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
    64. 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.
    65. Di Casola, Paola & Habib, Maurizio Michael & Tercero-Lucas, David, 2023. "Global and local drivers of Bitcoin trading vis-à-vis fiat currencies," Working Paper Series 2868, European Central Bank.
    66. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    67. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    68. Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
    69. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022. "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, vol. 44(C).
    70. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    71. Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
    72. Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
    73. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    74. Mohammad Jahan-Parvar & Filip Zikes, 2019. "When do low-frequency measures really measure transaction costs?," Finance and Economics Discussion Series 2019-051, Board of Governors of the Federal Reserve System (U.S.).
    75. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    76. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
    77. Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
    78. Abankwa, Samuel & Blenman, Lloyd P., 2021. "Measuring liquidity risk effects on carry trades across currencies and regimes," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    79. Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
    80. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    81. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    82. Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90.
    83. Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2023. "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series 10728, CESifo.
    84. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
    85. Richter, Thomas Julian, 2022. "Liquidity commonality in sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 501-518.
    86. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).

  4. Söderlind, Paul & Dahlquist, Magnus & Martinez, José Vicente, 2012. "Individual Investor Activity and Performance," CEPR Discussion Papers 8744, C.E.P.R. Discussion Papers.

    Cited by:

    1. Conrado Cuevas & Dan Bernhardt & Mario Sanclemente, 2023. "Followers of the pied piper of pensioners," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(4), pages 1517-1550, November.
    2. Grant, Andrew & Kalev, Petko S. & Subrahmanyam, Avanidhar & Joakim Westerholm, P., 2022. "Retail trading activity and major lifecycle events: The case of divorce," Journal of Banking & Finance, Elsevier, vol. 135(C).
    3. Florian El Mouaaouy, 2018. "Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 24(7-8), pages 565-583, May.
    4. Hagen, Johannes & Malisa, Amedeus, 2022. "Financial fraud and individual investment behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 593-626.
    5. Anders Anderson & David T. Robinson, 2024. "Climate Polarization and Green Investment," NBER Working Papers 32131, National Bureau of Economic Research, Inc.
    6. Agnesens, Julius, 2013. "A statistically robust decomposition of mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3867-3877.
    7. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    8. Lapanan, Nicha, 2018. "The investment behavior of socially responsible individual investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 214-226.
    9. Fung, Scott & Tsai, Shih-Chuan, 2021. "The price discovery role of day traders in futures market: Evidence from different types of day traders," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 53-77.
    10. Baltakys, Kęstutis & Kanniainen, Juho & Saramäki, Jari & Kivelä, Mikko, 2023. "Investor trade allocation patterns in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 191-209.
    11. Alison Preston & Robert E. Wright, 2023. "Gender, Financial Literacy and Pension Savings," The Economic Record, The Economic Society of Australia, vol. 99(324), pages 58-83, March.

  5. Paul Soderlind, 2009. "Reaction of Swiss Term Premia to Monetary Policy Surprises," University of St. Gallen Department of Economics working paper series 2009 2009-33, Department of Economics, University of St. Gallen.

    Cited by:

    1. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2019. "A survey-based estimation of the Swiss franc forward term premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-18, December.

  6. Söderlind, Paul, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," CEPR Discussion Papers 7250, C.E.P.R. Discussion Papers.

    Cited by:

    1. Santiago García-Verdú & Manuel Ramos-Francia, 2016. "On the costs of deflation: a consumption-based approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 247-273, Bank for International Settlements.
    2. 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.
    3. Karahan, Cenk C. & Soykök, Emre, 2023. "On illiquidity of an emerging sovereign bond market," Economic Systems, Elsevier, vol. 47(2).
    4. Nunes, Clemens Vinicius & Doi, Jonas & Fernandes, Marcelo, 2017. "Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
    5. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    6. Flávio de Freitas Val & Gustavo Silva Araujo, 2022. "Breakeven Inflation Rate Estimation: an alternative approach considering indexation lag and seasonality," Working Papers Series 493, Central Bank of Brazil, Research Department.
    7. Felix Geiger & Oliver Sauter & Kai D. Schmid, 2009. "The Camp View of Inflation Forecasts," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 320/2009, Department of Economics, University of Hohenheim, Germany.
    8. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    9. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
    10. Sauter, Oliver, 2012. "Assessing uncertainty in Europe and the US: is there a common uncertainty factor?," MPRA Paper 38031, University Library of Munich, Germany.
    11. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    12. Kurt G. Lunsford, 2020. "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance," American Economic Review, American Economic Association, vol. 110(9), pages 2899-2934, September.
    13. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    14. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    15. Kajuth, Florian & Watzka, Sebastian, 2008. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics 4858, University of Munich, Department of Economics.
    16. Agnieszka M. Chomicz-Grabowska & Lucjan T. Orlowski, 2020. "Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 655-669, October.
    17. Urszula Szcserbowicz, 2011. "Are unconventional monetary policies effective?," Documents de Travail de l'OFCE 2011-15, Observatoire Francais des Conjonctures Economiques (OFCE).
    18. Orlowski, Lucjan T. & Soper, Carolyne, 2019. "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, vol. 66(C).
    19. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    20. Orlowski, Lucjan T., 2017. "Volatility of commodity futures prices and market-implied inflation expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 133-141.

  7. Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers 2009-15, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
    2. 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.
    3. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    4. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Makhanya, Kabelo Collen & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2023. "Examining the dependence structure between carry trade and equity market returns in BRICS countries," MPRA Paper 117461, University Library of Munich, Germany.
    7. 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.
    8. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
    9. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
    10. 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.
    11. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
    12. 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.
    13. Mayu Kikuchi & Alfred Wong & Jiayue Zhang, 2019. "Risk of window dressing: quarter-end spikes in the Japanese yen Libor-OIS spread," Journal of Regulatory Economics, Springer, vol. 56(2), pages 149-166, December.
    14. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    15. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
    16. 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.
    17. Hoffmann, Mathias & Studer-Suter, Rahel, 2017. "Systematic consumption risk in currency returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 187-208.
    18. 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.
    19. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    20. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    21. 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.
    22. Philipp Matros & Enzo Weber, 2014. "Non-stationary Interest Rate Differentials and the Role of Monetary Policy," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 497-512, September.
    23. Victoria Dobrynskaya, 2014. "Downside Market Risk of Carry Trades," Review of Finance, European Finance Association, vol. 18(5), pages 1885-1913.
    24. Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022. "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    25. Geert Bekaert & George Panayotov, 2019. "Good Carry, Bad Carry," NBER Working Papers 25420, National Bureau of Economic Research, Inc.
    26. Berg, Kimberly A. & Mark, Nelson C., 2018. "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
    27. Ece D. Erol & Ibrahim Erol, 2015. "Sanayi Ulkelerindeki Kuresel Doviz Kuru Savaslarinin Gelisme Yolundaki Ulkelere Etkisi," EconWorld Working Papers 15001, WERI-World Economic Research Institute, revised Dec 2015.
    28. Shehadeh, Ali & Erdős, Péter & Li, Youwei & Moore, Michael, 2016. "US Dollar Carry Trades in the Era of “Cheap Money”," MPRA Paper 70770, University Library of Munich, Germany.
    29. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
    30. Das, Sougata & Kadapakkam, Palani-Rajan & Tse, Yiuman, 2013. "Is carry-trade a viable alternative asset class?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 247-257.
    31. Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016. "Carry Trades, Order Flow, and the Forward Bias Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
    32. Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2014.
    33. Lee, Kyuseok, 2018. "Systematic exchange rate variation: Where does the dollar factor come from?," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 288-307.
    34. Yiuman Tse & Lin Zhao, 2011. "The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September ," Working Papers 0005, College of Business, University of Texas at San Antonio.
    35. Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
    36. Vistesen, Claus, 2008. "Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges," MPRA Paper 9952, University Library of Munich, Germany.
    37. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    38. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2012. "Optimal and Naive Diversification in Currency Markets," Swiss Finance Institute Research Paper Series 12-36, Swiss Finance Institute.
    39. Chang‐Che Wu & MeiChi Huang & Chih‐Chiang Wu, 2021. "The role of asymmetry and dynamics in carry trade and general financial markets," The Financial Review, Eastern Finance Association, vol. 56(2), pages 331-353, May.
    40. Lee, Hsiu-Chuan & Lee, Yun-Huan & Lu, Yang-Cheng & Wang, Yu-Chun, 2020. "States of psychological anchors and price behavior of Japanese yen futures," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    41. Kim, Suk-Joong, 2015. "Australian Dollar carry trades: Time varying probabilities and determinants," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 64-75.
    42. Maake, Tebogo & Bonga-Bonga, Lumengo, 2019. "The relationship between carry trade and asset markets in South Africa," MPRA Paper 96667, University Library of Munich, Germany.
    43. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    44. Emilio Colombo & Gianfranco Forte & Roberto Rossignoli, 2017. "Carry trade returns with Support Vector Machines," DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo dis1705, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS).
    45. Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
    46. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    47. Ulm, M. & Hambuckers, J., 2022. "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 125-148.
    48. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    49. Claus VISTESEN, 2009. "Carry Trade Fundamentals And The Financial Crisis 2007-2010," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
    50. Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 321-331.
    51. Cepni, Oguzhan & Emirmahmutoglu, Furkan & Guney, Ibrahim Ethem & Yilmaz, Muhammed Hasan, 2023. "Do the carry trades respond to geopolitical risks? Evidence from BRICS countries," Economic Systems, Elsevier, vol. 47(2).
    52. Du, Ding & Hu, Ou, 2014. "The long-run component of foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 268-284.
    53. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
    54. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    55. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
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    57. Dr. Christian Grisse & Dr. Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
    58. Aydanur GACENER-ATIŞ & Deniz ERER, 2019. "Effects of Capital Flows on Carry Trade Activities: The Case of TurkeyAbstract: Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative chang," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).
    59. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    60. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
    61. Miikka Kaurijoki & Jussi Nikkinen & Janne Äijö, 2015. "Return‐Implied Volatility Dynamics of High and Low Yielding Currencies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1026-1041, November.
    62. Lu, Wenna & Copeland, Laurence & Xu, Yongdeng, 2021. "The Pricing of Unexpected Volatility in the Currency Market," Cardiff Economics Working Papers E2021/16, Cardiff University, Cardiff Business School, Economics Section.
    63. Beber, Alessandro & Brandt, Michael, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
    64. Ivelina Pavlova & Maria E. de Boyrie, 2015. "Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1067-1087, November.
    65. Copeland, Laurence & Lu, Wenna, 2016. "Dodging the steamroller: Fundamentals versus the carry trade," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 115-131.
    66. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
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    69. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
    70. Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R., 2017. "Funding liquidity, market liquidity and TED spread: A two-regime model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 143-158.
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    84. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
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    86. Shehadeh, Ali & Li, Youwei & Moore, Michael, 2016. "The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity," MPRA Paper 71709, University Library of Munich, Germany.
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    130. Thomas Chuffart & Cyril Dell'Eva, 2020. "The role of carry trades on the effectiveness of Japan's quantitative easing," Post-Print hal-03157207, HAL.
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    134. Najaf Iqbal & Elie Bouri & Guangrui Liu & Ashish Kumar, 2024. "Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 975-995, January.
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    175. Dr. Fabian Fink & Dr. Lukas Frei & Dr. Oliver Gloede, 2020. "Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc," Working Papers 2020-21, Swiss National Bank.
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    177. Ji, Qiang & Zhang, Dayong & Zhao, Yuqian, 2020. "Searching for safe-haven assets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 71(C).
    178. Masao Kumamoto & Juanjuan Zhuo, 2021. "Hedge and safe haven status of Bitcoin: copula-DCC approach," Economics Bulletin, AccessEcon, vol. 41(1), pages 125-136.
    179. Yousaf, Imran & Plakandaras, Vasilios & Bouri, Elie & Gupta, Rangan, 2023. "Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    180. Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016. "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 453-482, November.
    181. Pami Dua & Ritu Suri, 2019. "Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 102-136, April.
    182. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
    183. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    184. Cho, Dooyeon & Han, Heejoon & Lee, Na Kyeong, 2019. "Carry trades and endogenous regime switches in exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 255-268.
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    186. Johannes Eugster & Giovanni Donato, 2022. "The exchange rate elasticity of the Swiss current account," Working Papers 2022-14, Swiss National Bank.
    187. Sensoy, Ahmet, 2015. "An alternative way to track the hot money in turbulent times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 215-220.
    188. Iwata, Kiyonori, 2021. "Are High-Quality Earnings Useful for Voting Shareholders? Evidence from the Top Executive Director Election in Japan," Working Paper Series g-1-26, Hitotsubashi University Center for Financial Research.
    189. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
    190. Hasan, Md. Bokhtiar & Hassan, M. Kabir & Rashid, Md. Mamunur & Alhenawi, Yasser, 2021. "Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?," Global Finance Journal, Elsevier, vol. 50(C).
    191. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
    192. Streit, Daniel, 2016. "Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 289-312.
    193. Erik Schlogl & Yang Chang, 2012. "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series 310, Quantitative Finance Research Centre, University of Technology, Sydney.
    194. Cho-Hoi Hui & Tom Fong, 2011. "Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011," Working Papers 402011, Hong Kong Institute for Monetary Research.
    195. MacDonald, Ronald & Nagayasu, Jun, 2015. "Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 1-19.
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    197. Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
    198. Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
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    202. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    203. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
    204. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
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  9. Thomas Jordan & Angelo Ranaldo & Paul Soderlind, 2009. "The Implementation of SNB Monetary Policy," University of St. Gallen Department of Economics working paper series 2009 2009-08, Department of Economics, University of St. Gallen.

    Cited by:

    1. Edward Nelson & Alexander K. Swoboda & Charles Wyplosz, 2010. "Panel Discussion: The SNB's Monetary Policy Framework Ten Years On," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 409-423, March.
    2. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
    3. Gebhard Kirchgassner, 2009. "Die Krise der Wirtschaft: Auch eine Krise der Wirtschaftswissenschaften?," CREMA Working Paper Series 2009-15, Center for Research in Economics, Management and the Arts (CREMA).
    4. Hüning, Hendrik, 2016. "Asset market response to monetary policy news from SNB press releases," HWWI Research Papers 177, Hamburg Institute of International Economics (HWWI).
    5. Puriya Abbassi & Dieter Nautz & Christian J. Offermanns, 2009. "Interest Rate Dynamics and Monetary Policy Implementation in Switzerland," SFB 649 Discussion Papers SFB649DP2009-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Joël Vonlanthen, 2023. "Interest rates and real estate prices: a panel study," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-25, December.
    7. Hüning, Hendrik, 2017. "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 160-177.

  10. Paul Söderlind, 2008. "Why Disagreement May Not Matter (much) for Asset Prices," University of St. Gallen Department of Economics working paper series 2008 2008-11, Department of Economics, University of St. Gallen.

    Cited by:

    1. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    2. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    3. 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.
    4. Ng, Alex & Zheng, Di, 2018. "Let's agree to disagree! On payoffs and green tastes in green energy investments," Energy Economics, Elsevier, vol. 69(C), pages 155-169.

  11. Paul Söderlind, 2007. "Predicting Stock Price Movements: Regressions versus Economists," University of St. Gallen Department of Economics working paper series 2007 2007-23, Department of Economics, University of St. Gallen.

    Cited by:

    1. Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    2. A. Belenky & L. Egorova, 2016. "Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques," Papers 1610.05703, arXiv.org.
    3. 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.
    4. Pierdzioch, Christian & Rülke, Jan-Christoph, 2012. "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, vol. 116(3), pages 326-329.
    5. Björn Fastrich & Peter Winker, 2014. "Combining Forecasts with Missing Data: Making Use of Portfolio Theory," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 127-152, August.

  12. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.

    Cited by:

    1. Yacine Hammami, 2014. "An empirical investigation of asset pricing models under divergent lending and borrowing rates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 263-279, August.
    2. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
    3. Thomas Nitschka, 2010. "Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(1), pages 49-65, March.

  13. Paul Söderlind, 2006. "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006 2006-26, Department of Economics, University of St. Gallen.

    Cited by:

    1. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.

  14. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.

    Cited by:

    1. Nir Jaimovich & Sergio Rebelo, 2006. "Behavioral Theories of the Business Cycle," Discussion Papers 07-015, Stanford Institute for Economic Policy Research.
    2. Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series 09-17, Department of Economics at the University of Luxembourg.
    3. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    4. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.

  15. Vredin, Anders & Söderlind, Paul & Söderström, Ulf, 2003. "Taylor Rules and the Predictability of Interest Rates," CEPR Discussion Papers 3934, C.E.P.R. Discussion Papers.

    Cited by:

    1. Pierre L. Siklos & Diana N. Weymark, 2011. "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers 1110, Vanderbilt University Department of Economics.
    2. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series 2007:18, Uppsala University, Department of Economics.
    3. Favero, Carlo A. & Consolo, Agostino, 2009. "Monetary Policy Inertia: More a Fiction than a fact?," CEPR Discussion Papers 7341, C.E.P.R. Discussion Papers.
    4. Pär Österholm, 2005. "The Taylor Rule: A Spurious Regression?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
    5. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," Working Papers 1116, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Hidi, János, 2006. "A magyar monetáris politikai reakciófüggvény becslése [Estimating the reaction function for Hungarian monetary policy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1178-1199.
    7. John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," WEF Working Papers 0032, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
    8. Alex Isakov & Petr Grishin & Oleg Gorlinsky, 2018. "Fear of Forward Guidance," Russian Journal of Money and Finance, Bank of Russia, vol. 77(4), pages 84-106, December.
    9. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
    10. Par Osterholm, 2005. "The Taylor rule and real-time data - a critical appraisal," Applied Economics Letters, Taylor & Francis Journals, vol. 12(11), pages 679-685.
    11. Jiri Podpiera, 2008. "Policy Rate Decisions and Unbiased Parameter Estimation in Conventionally Estimated Monetary Policy Rules," Working Papers 2008/2, Czech National Bank.
    12. Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.
    13. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.
    14. Julio Carrillo & Patrick Fève & Julien Matheron, 2007. "Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 1-38, June.
    15. Hayat, Aziz & Mishra, Sagarika, 2010. "Federal reserve monetary policy and the non-linearity of the Taylor rule," Economic Modelling, Elsevier, vol. 27(5), pages 1292-1301, September.
    16. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    17. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.

  16. Söderlind, Paul & Giordani, Paolo, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," CEPR Discussion Papers 4068, C.E.P.R. Discussion Papers.

    Cited by:

    1. Joseph Engelberg & Charles F. Manski & Jared Williams, 2006. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," NBER Working Papers 11978, National Bureau of Economic Research, Inc.
    2. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
    3. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
    4. Hermalin, Benjamin E. & Weisbach, Michael S., 2009. "Information Disclosure and Corporate Governance," Working Paper Series 2008-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    5. Dreber, Anna & Rand, David G. & Garcia, Justin R. & Wernerfelt, Nils & Lum, J. Koji & Zeckhauser, Richard, 2010. "Dopamine and Risk Preferences in Different Domains," Working Paper Series rwp10-012, Harvard University, John F. Kennedy School of Government.
    6. Elyès Jouini & Clotilde Napp, 2008. "On Abel's Concept of Doubt and Pessimism," Post-Print halshs-00176611, HAL.
    7. Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series 70, Institute for Financial Research.
    8. Olivier Armantier & Nicolas Treich, 2006. "Overbidding in Independant Private-Values Auctions and Misperception of Probabilities," CIRANO Working Papers 2006s-15, CIRANO.

  17. Giordani, Paolo & Söderlind, Paul, 2002. "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance 499, Stockholm School of Economics, revised 15 May 2003.

    Cited by:

    1. Kwon, Hyosung & Miao, Jianjun, 2019. "Woodford'S Approach To Robust Policy Analysis In A Linear-Quadratic Framework," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1895-1920, July.
    2. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    3. Marine Charlotte André & Meixing Dai, 2016. "Learning, robust monetray policy and the merit of precaution," Working Papers of BETA 2016-54, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    4. Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
    5. Leitemo, Kai & Söderström, Ulf, 2005. "Robust monetary policy in a small open economy," Bank of Finland Research Discussion Papers 20/2005, Bank of Finland.
    6. Tetlow, Robert J. & von zur Muehlen, Peter, 2006. "Robustifying learnability," Working Paper Series 593, European Central Bank.
    7. Adam – Nelu ALTĂR – SAMUEL, 2008. "Robust Monetary Policy," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(2), pages 475-486, November.
    8. Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2009. "Methods for robust control," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1604-1616, August.
    9. Li Qin & Moïse SIDIROPOULOS & Eleftherios Spyromitros, 2009. "Robust Monetary Policy under Model Uncertainty and Inflation Persistence," Working Papers of BETA 2009-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    10. Juha Kilponen, 2004. "A positive theory of monetary policy and robust control," Macroeconomics 0404036, University Library of Munich, Germany.
    11. Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
    12. Jean-Bernard Chatelain & Kirsten Ralf, 2020. "Policy Maker's Credibility with Predetermined Instruments for Forward-Looking Targets," Papers 2012.02806, arXiv.org.
    13. Chatelain, Jean-Bernard & Ralf, Kirsten, 2021. "Hopf Bifurcation From New-Keynesian Taylor Rule To Ramsey Optimal Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2204-2236, December.
    14. Richhild Moessner, 2006. "Optimal discretionary policy in rational expectations models with regime switching," Bank of England working papers 299, Bank of England.
    15. Kwon, Hyosung & Miao, Jianjun, 2017. "Three types of robust Ramsey problems in a linear-quadratic framework," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 211-231.
    16. Roberto M. Billi, 2006. "The Optimal Long-Run Inflation Rate for the U.S. Economy," Computing in Economics and Finance 2006 72, Society for Computational Economics.
    17. Roberto M. Billi, 2005. "The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates," Computing in Economics and Finance 2005 25, Society for Computational Economics.
    18. Li Qin & Moïse Sidiropoulos & Eleftherios Spyromitros, 2010. "Robust Monetary Policy Under Uncertainty About Central Bank Preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 62(2), pages 197-208, April.
    19. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2015. "Monetary Policy and the Natural Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 383-414, March.
    20. Dai, Meixing & Spyromitros, Eleftherios, 2012. "A Note On Monetary Policy, Asset Prices, And Model Uncertainty," Macroeconomic Dynamics, Cambridge University Press, vol. 16(5), pages 777-790, November.
    21. Levine, Paul & Pearlman, Joseph, 2010. "Robust monetary rules under unstructured model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 456-471, March.
    22. Kilponen, Juha & Leitemo, Kai, 2006. "Robustness in monetary policymaking: a case for the Friedman rule," Bank of Finland Research Discussion Papers 4/2006, Bank of Finland.
    23. Burkhard Heer & Stefan Rohrbacher & Christian Scharrer, 2014. "Aging, the Great Moderation and Business-Cycle Volatility in a Life-Cycle Model," CESifo Working Paper Series 4584, CESifo.
    24. Kohei Hasui, 2021. "How robustness can change the desirability of speed limit policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(5), pages 553-570, November.
    25. A. Hakan Kara, 2003. "Optimal Monetary Policy, Commitment, and Imperfect Credibility," Working Papers 0301, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    26. Jean-Bernard Chatelain & Kirsten Ralf, 2018. "The Indeterminacy of Determinacy with Fiscal, Macro-prudential or Taylor Rules," PSE Working Papers halshs-01877766, HAL.
    27. Arnulfo Rodriguez & Pedro N. Rodriguez, 2006. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Computing in Economics and Finance 2006 30, Society for Computational Economics.
    28. Araújo, Eurilton, 2013. "Robust monetary policy with the consumption-wealth channel," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 296-311.
    29. Eleftherios SPYROMITROS & Li QIN, 2006. "Central bank transparency about model uncertainty and wage setters," Economics Bulletin, AccessEcon, vol. 5(18), pages 1-5.
    30. Meixing Dai, 2020. "La réponse de la BCE face à la pandémie de Covid-19," Post-Print hal-04080460, HAL.
    31. Ida, Daisuke & Okano, Mitsuhiro, 2023. "Optimal monetary policy delegation in a small-open new Keynesian model with robust control," Economic Modelling, Elsevier, vol. 120(C).
    32. Kai Leitemo & Ulf Soderstrom, 2004. "Robust Monetary Policy in the New-Keynesian Framework," Working Papers 273, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    33. Richard Dennis, 2013. "Imperfect Credibility and Robust Monetary Policy," Working Papers 2013_14, Business School - Economics, University of Glasgow.
    34. Peter Tillmann, 2009. "Robust Monetary Policy with the Cost Channel," Economica, London School of Economics and Political Science, vol. 76(303), pages 486-504, July.
    35. Traficante, Guido, 2013. "Monetary policy, parameter uncertainty and welfare," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 73-80.
    36. Gino Cateau, 2017. "Price‐level versus inflation targeting under model uncertainty," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 522-540, May.
    37. Paulo Vieira & Celsa Machado & Ana Paula Ribeiro, 2016. "Optimal Fiscal Simple Rules for Small and Large Countries of a Monetary Union," EcoMod2016 9685, EcoMod.
    38. Amélie Barbier-Gauchard & Meixing Dai & Claire Mainguy & Jamel Saadaoui & Moïse Sidiropoulos & Isabelle Terraz & Jamel Trabelsi, 2020. "Towards a more resilient European Union after the COVID-19 crisis," Working Papers of BETA 2020-33, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    39. Kantur, Zeynep & Özcan, Gülserim, 2019. "Optimal Policy Implications of Financial Uncertainty," MPRA Paper 95920, University Library of Munich, Germany.
    40. Fatemeh Labafi Feriz & Saeed Samadi & khadijeh Nasrollahi & Rasul Bakhshi Dastjerdi, 2018. "Robust Discretionary Monetary Policy under Cost-Push Shock Uncertainty of Iran’s Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 503-526, Spring.
    41. Bursian Dirk & Roth Markus, 2014. "Optimal policy and Taylor rule cross-checking under parameter uncertainty," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 1-24, January.
    42. Rodríguez Arnulfo & González Fidel & González García Jesús R., 2007. "Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority," Working Papers 2007-05, Banco de México.
    43. Abhijit Sen Gupta, 2010. "Robust monetary policies in small open economies," Oxford Economic Papers, Oxford University Press, vol. 62(2), pages 350-373, April.
    44. Jean-Guillaume Sahuc, 2003. "Robust European Monetary Policy Rules," Documents de recherche 03-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    45. Dai, Meixing & Spyromitros, Eleftherios, 2012. "Inflation contract, central bank transparency and model uncertainty," Economic Modelling, Elsevier, vol. 29(6), pages 2371-2381.
    46. Richard Dennis, 2007. "Model uncertainty and monetary policy," Working Paper Series 2007-09, Federal Reserve Bank of San Francisco.
    47. Matthew Canzoneri & Robert Cumby, 2014. "Optimal Exchange Intervention in an Inflation Targeting Regime: Some Cautionary Tales," Open Economies Review, Springer, vol. 25(3), pages 429-450, July.
    48. Moisă ALTĂR & Alexie ALUPOAIEI & Adam ALTĂR-SAMUEL, 2017. "Dynamics in a New-Keynesian Model with Financial Accelerator and Uncertainty," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(2), pages 5-22.
    49. Richard Dennis, 2005. "Robust control with commitment: a modification to Hansen-Sargent," Working Paper Series 2005-20, Federal Reserve Bank of San Francisco.
    50. Tillmann Peter, 2009. "Does Model Uncertainty Justify Conservatism? Robustness and the Delegation of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
    51. Kilponen, Juha, 2004. "Robust expectations and uncertain models: a robust contol approach with application to the new Keynesian economy," Bank of Finland Research Discussion Papers 5/2004, Bank of Finland.
    52. Hasui, Kohei, 2020. "A Note On Robust Monetary Policy And Non-Zero Trend Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1574-1594, September.
    53. Giuseppe Diana & Moise Sidiropoulos, 2006. "Robust Control and Monetary Policy Delegation," Working Papers of BETA 2006-26, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    54. Heer, Burkhard & Scharrer, Christian, 2018. "The age-specific burdens of short-run fluctuations in government spending," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 45-75.
    55. André Marine Charlotte & Medina Espidio Sebastián, 2022. "Optimal Robust Monetary Policy in a Small Open Economy," Working Papers 2022-17, Banco de México.
    56. Juha Kilponen & Kai Leitemo, 2008. "Model Uncertainty and Delegation: A Case for Friedman's k‐Percent Money Growth Rule?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 547-556, March.
    57. Li Qin & Elefterios Spyromitros & Moïse Sidiropoulos, 2006. "Does Model Uncertainty Lead to Less Central Bank Transparency?," Working Papers of BETA 2006-22, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    58. Adam Altar-Samuel, 2008. "Robust Monetary Policy," Advances in Economic and Financial Research - DOFIN Working Paper Series 21, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    59. Taro Ikeda, 2013. "Asymmetric forecasting and commitment policy in a robust control problem," Discussion Papers 1306, Graduate School of Economics, Kobe University.
    60. Vitale, Paolo, 2018. "Optimal monetary policy for a pessimistic central bank," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 39-59.
    61. Francesco Giuli, 2007. "Robust control in a Sticky information economy," Working Papers in Public Economics 98, University of Rome La Sapienza, Department of Economics and Law.
    62. Hansen, Lars Peter & Sargent, Thomas J., 2012. "Three types of ambiguity," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 422-445.
    63. van der Ploeg, Frederick, 2009. "Prudent monetary policy and prediction of the output gap," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 217-230, June.
    64. Gerke, Rafael & Hammermann, Felix & Lewis, Vivien, 2012. "Robust monetary policy in a model with financial distress," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 318-325.
    65. Kirdan Lees, 2006. "What do robust policies look like for open economy inflation targeters?," Reserve Bank of New Zealand Discussion Paper Series DP2006/08, Reserve Bank of New Zealand.
    66. Adam – Nelu Altăr-Samuel, 2008. "Robust Monetary Policy," Romanian Economic Business Review, Romanian-American University, vol. 3(2), pages 19-28, June.
    67. Hasui Kohei, 2021. "Trend Growth and Robust Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 449-472, June.
    68. Sánchez, Marcelo, 2011. "Robust central banking under wage bargaining: Is monetary policy transparency beneficial?," Economic Modelling, Elsevier, vol. 28(1-2), pages 432-438, January.
    69. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.
    70. Marcelo Sánchez, 2013. "On the Limits of Transparency: The Role of Imperfect Central Bank Knowledge," International Finance, Wiley Blackwell, vol. 16(2), pages 245-271, June.
    71. André Marine Charlotte & Dai Meixing, 2020. "The limits to robust monetary policy in a small open economy with learning agents," Working Papers 2020-12, Banco de México.
    72. Sánchez, Marcelo, 2011. "Robust central banking under wage bargaining: Is monetary policy transparency beneficial?," Economic Modelling, Elsevier, vol. 28(1), pages 432-438.
    73. Meixing DAI & Eleftherios SPYROMITROS, 2008. "Monetary policy, asset prices and model uncertainty," Working Papers of BETA 2008-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    74. Olalla, Myriam García & Gómez, Alejandro Ruiz, 2011. "Robust control and central banking behaviour," Economic Modelling, Elsevier, vol. 28(3), pages 1265-1278, May.
    75. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.

  18. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts," SSE/EFI Working Paper Series in Economics and Finance 511, Stockholm School of Economics, revised 01 Oct 2003.

    Cited by:

    1. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    2. Richard T. Froyen & Alfred V Guender, 2016. "The Real Exchange Rate in Open-Economy Taylor Rules: A Re-Assessment," Working Papers in Economics 16/10, University of Canterbury, Department of Economics and Finance.
    3. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Luca Bindelli, 2005. "Systematic monetary policy and persistence," Cahiers de Recherches Economiques du Département d'économie 05.07, Université de Lausanne, Faculté des HEC, Département d’économie.
    5. Liu, Ding & Zhang, Yue & Sun, Weihong, 2020. "Commitment or discretion? An empirical investigation of monetary policy preferences in China," Economic Modelling, Elsevier, vol. 85(C), pages 409-419.
    6. Mark Crosby & Tim Kam & Kirdan Lees, 2006. "How costly is exchange rate stabilisation for an inflation targeter? The case of Australia," Reserve Bank of New Zealand Discussion Paper Series DP2006/07, Reserve Bank of New Zealand.
    7. Aeimit Lakdawala & Davide Debortoli, 2013. "How credible is the Federal Reserve?:A structural estimation of policy re-optimizations," 2013 Meeting Papers 1333, Society for Economic Dynamics.
    8. Givens, Gregory & Salemi, Michael, 2012. "Inferring monetary policy objectives with a partially observed state," MPRA Paper 39353, University Library of Munich, Germany.
    9. Araújo, Eurilton, 2013. "Robust monetary policy with the consumption-wealth channel," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 296-311.
    10. Gary S. Anderson & Jinill Kim & Tack Yun, 2010. "Using a projection method to analyze inflation bias in a micro-founded model," Finance and Economics Discussion Series 2010-18, Board of Governors of the Federal Reserve System (U.S.).
    11. Jensen, Christian, 2016. "Discretion Rather than Rules? Binding Commitments versus Discretionary Policymaking," MPRA Paper 76838, University Library of Munich, Germany.
    12. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
    13. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
    14. Moreira, Ricardo Ramalhete & Monte, Edson Zambon, 2020. "Reviewing monetary policy inertia and its effects: The fractional integration approach for an emerging economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 34-41.
    15. Alvaro Aguiar & Manuel M.F. Martins, 2005. "The Preferences of the Euro Area Monetary Policy‐maker," Journal of Common Market Studies, Wiley Blackwell, vol. 43(2), pages 221-250, June.
    16. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, University Library of Munich, Germany.
    17. P Arestis & A Mihailov, 2009. "Flexible Rules cum Constrained Discretion: A New Consensus in Monetary Policy," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 27-54, September.
    18. Flamini, Alessandro & Fracasso, Andrea, 2011. "Household's preferences and monetary policy inertia," Economics Letters, Elsevier, vol. 111(1), pages 64-67, April.
    19. Castelnuovo Efrem, 2006. "The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-22, August.
    20. Bas van Aarle & Bas Van Aarle, 2012. "Macroeconomic Fluctuations in a Stylized DSGE Model with Disequilibrium Dynamics," CESifo Working Paper Series 4017, CESifo.
    21. Givens, Gregory E. & Salemi, Michael K., 2008. "Generalized method of moments and inverse control," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3113-3147, October.
    22. Kienzler, Daniel, 2012. "Long-term Unemployment over the Business Cycle, Skill Loss, and Monetary Policy," Working Papers on Finance 1205, University of St. Gallen, School of Finance.
    23. Gregory E. Givens, 2012. "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
    24. Ben Ali, Samir, 2010. "A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity," MPRA Paper 29624, University Library of Munich, Germany.
    25. Kirdan Lees, 2006. "What do robust policies look like for open economy inflation targeters?," Reserve Bank of New Zealand Discussion Paper Series DP2006/08, Reserve Bank of New Zealand.
    26. Felix Geiger & Oliver Sauter, 2009. "Deflationary vs. Inflationary Expectations - A New-Keynesian Perspective with Heterogeneous Agents and Monetary Believes," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 312/2009, Department of Economics, University of Hohenheim, Germany.
    27. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
    28. Juan Páez‐Farrell, 2007. "Output And Inflation In Models Of The Business Cycle With Nominal Rigidities: Further Counterfactual Implications," Scottish Journal of Political Economy, Scottish Economic Society, vol. 54(4), pages 475-491, September.
    29. Froyen, Richard T. & Guender, Alfred V., 2018. "The real exchange rate in Taylor rules: A Re-Assessment," Economic Modelling, Elsevier, vol. 73(C), pages 140-151.

  19. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "Can a Calibrated New-Keynesian Model of Monetary Policy Fit the Facts?," Working Paper Series 140, Sveriges Riksbank (Central Bank of Sweden).

    Cited by:

    1. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts," SSE/EFI Working Paper Series in Economics and Finance 511, Stockholm School of Economics, revised 01 Oct 2003.
    2. Richard Mash, 2002. "New Keynesian Microfundations Revisited: A Generalised Calvo-Taylor Model and the Desirability of Inflation vs. Price Level Targeting," Economics Series Working Papers 109, University of Oxford, Department of Economics.
    3. Teruyoshi Kobayashi, 2004. "On the Relationship Between Short‐ and Long‐term Interest Rates," International Finance, Wiley Blackwell, vol. 7(2), pages 261-286, July.
    4. Lansing, Kevin J. & Trehan, Bharat, 2003. "Forward-looking behavior and optimal discretionary monetary policy," Economics Letters, Elsevier, vol. 81(2), pages 249-256, November.
    5. Richard Mash, 2003. "New Keynesian Microfoundations Revisited: A Calvo-Taylor-Rule-of-Thumb Model and Optimal Monetary Policy Delegation," Economics Series Working Papers 174, University of Oxford, Department of Economics.
    6. Zhao, Mingjun, 2007. "Monetary policy under misspecified expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1278-1299, April.

  20. Söderlind, Paul, 2001. "What if the Fed Had Been an Inflation Nutter?," SSE/EFI Working Paper Series in Economics and Finance 0443, Stockholm School of Economics.

    Cited by:

    1. Martha Misas & Carlos Esteban Posada & Diego Mauricio Vásquez, 2001. "¿Está Determinado el Nivel de Precios por las Expectativas de Dinero y Producto en Colombia?," Borradores de Economia 191, Banco de la Republica de Colombia.
    2. Bergvall, Anders, 2002. "The Stabilizing Properties of Floating Exchange Rates: Some International Evidence," Working Paper Series 2002:14, Uppsala University, Department of Economics.
    3. Klaeffling, Matt, 2003. "Macroeconomic modelling of monetary policy," Working Paper Series 257, European Central Bank.
    4. Anders Bergvall, 2005. "Exchange rate regimes and macroeconomic stability: the case of Sweden," Oxford Economic Papers, Oxford University Press, vol. 57(3), pages 422-446, July.

  21. Söderlind, Paul, 2001. "Monetary Policy and Bond Option Pricing in an Analytical RBC Model," SSE/EFI Working Paper Series in Economics and Finance 0447, Stockholm School of Economics, revised 03 Jan 2003.

    Cited by:

    1. Paul Söderlind, 2006. "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006 2006-26, Department of Economics, University of St. Gallen.
    2. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.

  22. Söderlind, Paul, 2000. "Inflation Forecast Uncertainty," CEPR Discussion Papers 2499, C.E.P.R. Discussion Papers.

    Cited by:

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    1. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
    2. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    3. Artamonov, Nikita & Voronina, Anna & Emelyanov, Nikita & Kurbatskii, Aleksei, 2020. "Estimation of interest rates’ impact on mutual funds’ performance in the USA," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 55-75.
    4. Jank, Stephan & Wedow, Michael, 2015. "Sturm und Drang in money market funds: When money market funds cease to be narrow," Journal of Financial Stability, Elsevier, vol. 16(C), pages 59-70.
    5. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    6. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2012. "Decomposing Performance," Working Papers on Finance 1216, University of St. Gallen, School of Finance, revised Nov 2015.
    7. Sofi Mohd Fikri & Mohamed Hisham Yahya & Taufiq Hassan, 2017. "A Review on Agency Cost of Shariah Governance in Mutual Fund," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 530-538.
    8. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2010. "Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences," Review of Finance, European Finance Association, vol. 15(2), pages 441-474.
    9. Meena Sharma & Manish Didwania & D. Suresh Kumar, 2019. "Performance Evaluation of Banks Sponsored Mutual Funds: An Analytical Study," Paradigm, , vol. 23(2), pages 197-218, December.
    10. Soo-Wah Low, 2008. "A cross-sectional analysis of Malaysian unit trust fund expense ratios," Journal of Asset Management, Palgrave Macmillan, vol. 9(4), pages 270-277, October.
    11. Seçkin Arslan & Mehmet Sinan ÇELÝK, 2018. "Türkiye’deki Emeklilik Yatýrým Fonlarýnýn Performanslarýnýn BIST-100 Endeksinin Performansý Ýle Karþýlaþtýrýlmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(4), pages 61-73.
    12. Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
    13. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016. "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance 1621, University of St. Gallen, School of Finance.
    14. Feng Dong & John A. Doukas, 2019. "The payback of mutual fund selectivity in European markets," European Financial Management, European Financial Management Association, vol. 25(1), pages 160-180, January.
    15. Angelidis, Timotheos & Babalos, Vassilios & Fessas, Michalis, 2021. "The economic gain of being small in the mutual fund industry: U.S. and international evidence," International Review of Financial Analysis, Elsevier, vol. 77(C).
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    20. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
    21. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2016. "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, Elsevier, vol. 31(C), pages 75-82.
    22. Ibert, Markus, 2023. "What do mutual fund managers’ private portfolios tell us about their skills?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    23. Linn K. Aasheim & António F. Miguel & Sofia B. Ramos, 2022. "Star rating, fund flows and performance predictability: evidence from Norway," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 29-56, March.
    24. Dariusz Filip, 2017. "Mutual Funds: Does the Performance Erosion Effect Exist? Evidence from the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 512-538, October.
    25. Soo-Wah Low, 2012. "Market Timing and Selectivity Performance: A Cross-Sectional Analysis of Malaysian Unit Trust Funds," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(2), pages 205-219.
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    28. Farah Naz & Hafsa Khan & Muhammad Ishfaq Ahmad & Ramiz Ur Rehman & Muhammad Akram Naseem, 2019. "Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-21, September.
    29. Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance 554, Stockholm School of Economics.
    30. Harry Flam & Roine Vestman, 2017. "Swedish Equity Mutual Funds 1993-2013: Performance, Persistence and Presence of Skill," CESifo Working Paper Series 6713, CESifo.
    31. Simone Brands & David R. Gallagher & Adrian Looi, 2006. "Active investment manager portfolios and preferences for stock characteristics," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 169-190, June.
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    34. Ying-Fen Fu, 2014. "Individual Fund Manager Sentiment, Fund Performance and Performance Persistence," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 870-885.
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    36. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
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    39. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
    40. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
    41. Anchada Charoenrook & Pantisa Pavabutr, 2017. "A Window into Thai Mutual Fund Managers’ Perception and Decision-Making Process," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-43, September.
    42. Amaral, Fatima & Reis, Pedro & Pinto, Pedro, 2019. "Evaluating investment fund performance in Portugal," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 15(2).
    43. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    44. Mamatzakis, Emmanuel & Xu, Bingrun, 2016. "Managerial attributes and equity mutual fund performance: evidence from china," MPRA Paper 76139, University Library of Munich, Germany.
    45. Ferreira, Miguel A. & Keswani, Aneel & Miguel, Antonio F. & Ramos, Sofia B., 2012. "The flow-performance relationship around the world," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1759-1780.
    46. Sonal Babbar & Sanjay Sehgal, 2018. "Mutual Fund Characteristics and Investment Performance in India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 43(1-2), pages 1-30, February.
    47. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
    48. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
    49. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.
    50. Babalos, Vassilios & Kostakis, Alexandros & Philippas, Nikolaos, 2009. "Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 256-272, October.
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    60. Khorana, Ajay & Servaes, Henri & Tufano, Peter, 2005. "Explaining the size of the mutual fund industry around the world," Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.
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    Cited by:

    1. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank.
    2. Timo WOLLMERSHAEUSER & Robert SCHMIDT, 2010. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," EcoMod2004 330600162, EcoMod.
    3. Michael S. Hanson & Kwanghee Nam, 2005. "Inflation Targeting in an Emerging Market: the Case of Korea," Wesleyan Economics Working Papers 2005-007, Wesleyan University, Department of Economics.
    4. Dennis, Richard, 2010. "When is discretion superior to timeless perspective policymaking?," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 266-277, April.
    5. Mellár, Tamás, 2010. "Válaszút előtt a makroökonómia? [Does macroeconomics face a dilemma?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 591-611.
    6. Brad E. Strum, 2010. "Inflation persistence, backward-looking firms, and monetary policy in an input-output economy," Finance and Economics Discussion Series 2010-55, Board of Governors of the Federal Reserve System (U.S.).
    7. Leitemo, Kai & Soderstrom, Ulf, 2005. "Simple monetary policy rules and exchange rate uncertainty," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 481-507, April.
    8. Benigno, Pierpaolo & Woodford, Michael, 2012. "Linear-quadratic approximation of optimal policy problems," Journal of Economic Theory, Elsevier, vol. 147(1), pages 1-42.
    9. Adolfson, Malin, 2001. "Monetary Policy with Incomplete Exchange Rate Pass-Through," Working Paper Series 127, Sveriges Riksbank (Central Bank of Sweden).
    10. Vlieghe, Gertjan, 2010. "Imperfect credit markets: implications for monetary policy," Bank of England working papers 385, Bank of England.
    11. Lars E.O. Svensson, 2002. "What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules," Working Papers 118, Princeton University, Department of Economics, Center for Economic Policy Studies..
    12. Pelin Ilbas, 2007. "Optimal Monetary Policy Rules for the Euro Area in a DSGE Framework," Money Macro and Finance (MMF) Research Group Conference 2006 59, Money Macro and Finance Research Group.
    13. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    14. Bas Aarle & Harry Garretsen & Cindy Moons, 2008. "Accession to the euro-area: a stylized analysis using a NK model," International Economics and Economic Policy, Springer, vol. 5(1), pages 5-24, July.
    15. Oviedo, P. Marcelo, 2005. "A Toolbox for the Numerical Study of Linear Dynamic Rational Expectations Models," Staff General Research Papers Archive 12235, Iowa State University, Department of Economics.
    16. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
    17. Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2005. "Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses," ifo Working Paper Series No.14, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    18. Leitemo, Kai, 2006. "Targeting inflation by forecast feedback rules in small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 393-413, March.
    19. Campbell Leith & Simon Wren-Lewis, 2008. "Electoral uncertainty and the deficit bias in a New Keynesian Economy," Working Papers 2009_11, Business School - Economics, University of Glasgow, revised Feb 2009.
    20. Michael Ehrmann and Frank Smets, 2001. "Uncertain Potential Output: Implications for Monetary Policy," Computing in Economics and Finance 2001 8, Society for Computational Economics.
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    22. Luca Bindelli, 2005. "Systematic monetary policy and persistence," Cahiers de Recherches Economiques du Département d'économie 05.07, Université de Lausanne, Faculté des HEC, Département d’économie.
    23. Mayer, Eric & Grimm, Oliver, 2008. "Countercyclical taxation and price dispersion," W.E.P. - Würzburg Economic Papers 78, University of Würzburg, Department of Economics.
    24. Adam, Klaus & Billi, Roberto M., 2007. "Discretionary monetary policy and the zero lower bound on nominal interest rates," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 728-752, April.
    25. Carlsson, Mikael & Westermark, Andreas, 2011. "The New Keynesian Phillips Curve and staggered price and wage determination in a model with firm-specific labor," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 579-603, April.
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    182. Várpalotai, Viktor, 2006. "Az inflációs cél követésének optimális horizontja Magyarországon [The optimal horizon for inflation targeting in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1135-1154.
    183. Rodríguez Arnulfo & Rodríguez Pedro N., 2007. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Working Papers 2007-04, Banco de México.
    184. Gómez, Marcos & Medina, Juan Pablo & Valenzuela, Gonzalo, 2019. "Unveiling the objectives of central banks: Tales of four Latin American countries," Economic Modelling, Elsevier, vol. 76(C), pages 81-100.
    185. Gerke, Rafael & Hammermann, Felix & Lewis, Vivien, 2012. "Robust monetary policy in a model with financial distress," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 318-325.
    186. Kirdan Lees, 2006. "What do robust policies look like for open economy inflation targeters?," Reserve Bank of New Zealand Discussion Paper Series DP2006/08, Reserve Bank of New Zealand.
    187. Sánchez, Marcelo, 2009. "Characterising the inflation targeting regime in South Korea," Working Paper Series 1004, European Central Bank.
    188. Adolfson, Malin, 2007. "Incomplete exchange rate pass-through and simple monetary policy rules," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 468-494, April.
    189. Michel Juillard & Florian Pelgrin, 2007. "Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy," Staff Working Papers 07-32, Bank of Canada.
    190. Cavoli, Tony, 2008. "The exchange rate and optimal monetary policy rules in open and developing economies: Some simple analytics," Economic Modelling, Elsevier, vol. 25(5), pages 1011-1021, September.
    191. Antoine Bouveret, 2010. "Economic policies, long run equilibrium and exchange rate dynamics [Politiques économiques, dynamique et équilibre de long terme du taux de change]," SciencePo Working papers Main tel-04097866, HAL.
    192. Hughes Hallett, Andrew & Di Bartolomeo, Giovanni & Acocella, Nicola, 2012. "A general theory of controllability and expectations anchoring for small-open economies," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 397-411.
    193. Richard Mash, 2003. "New Keynesian Microfoundations Revisited: A Calvo-Taylor-Rule-of-Thumb Model and Optimal Monetary Policy Delegation," Economics Series Working Papers 174, University of Oxford, Department of Economics.
    194. Ozlale, Umit, 2003. "Price stability vs. output stability: tales of federal reserve administrations," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1595-1610, July.
    195. Winkelried, Diego, 2013. "Modelo de Proyección Trimestral del BCRP: Actualización y novedades," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 9-60.
    196. Jean-Paul Lam, 2003. "Alternative Targeting Regimes, Transmission Lags, and the Exchange Rate Channel," Staff Working Papers 03-39, Bank of Canada.
    197. Felix Geiger & Oliver Sauter, 2009. "Deflationary vs. Inflationary Expectations - A New-Keynesian Perspective with Heterogeneous Agents and Monetary Believes," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 312/2009, Department of Economics, University of Hohenheim, Germany.
    198. Campbell Leith & Simon Wren-lewis, 2006. "The Costs of Fiscal Inflexibility," WEF Working Papers 0005, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
    199. Gregory Erin Givens, 2006. "Revisiting the Delegation Problem in a Sticky Price and Wage Economy," Working Papers 200601, Middle Tennessee State University, Department of Economics and Finance.
    200. Söderström, Ulf, 2001. "Targeting Inflation with a Prominent Role for Money," Working Paper Series 123, Sveriges Riksbank (Central Bank of Sweden).
    201. Yuting Bai, 2014. "Price level targeting with strategic fiscal policy and the value of fiscal leadership," Working Papers 66983487, Lancaster University Management School, Economics Department.
    202. Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2167-2185.
    203. Holmberg, Karolina, 2006. "Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy," Working Paper Series 197, Sveriges Riksbank (Central Bank of Sweden).
    204. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "Can a Calibrated New-Keynesian Model of Monetary Policy Fit the Facts?," Working Paper Series 140, Sveriges Riksbank (Central Bank of Sweden).
    205. Olalla, Myriam García & Gómez, Alejandro Ruiz, 2011. "Robust control and central banking behaviour," Economic Modelling, Elsevier, vol. 28(3), pages 1265-1278, May.
    206. Kirsanova Tatiana & Vines David & Wren-Lewis Simon, 2009. "Inflation Bias with Dynamic Phillips Curves and Impatient Policy Makers," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-26, August.
    207. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
    208. Alexandre, Fernando & Bacao, Pedro, 2005. "Monetary policy, asset prices, and uncertainty," Economics Letters, Elsevier, vol. 86(1), pages 37-42, January.
    209. Okano, Eiji, 2007. "The choice of the inflation rate as a target in an economy with pricing-to-market," Japan and the World Economy, Elsevier, vol. 19(1), pages 48-67, January.
    210. Ulf Söderström, 2005. "Targeting Inflation with a Role for Money," Economica, London School of Economics and Political Science, vol. 72(288), pages 577-596, November.
    211. Blake, Andrew P. & Zampolli, Fabrizio, 2011. "Optimal policy in Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1626-1651, October.
    212. Mayer, Eric, 2003. "The mechanics of a reasonably fitted quarterly New Keynesian macro model," W.E.P. - Würzburg Economic Papers 41, University of Würzburg, Department of Economics.

  25. Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," CEPR Discussion Papers 1610, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jesper Lindé, 2001. "Fiscal policy and interest rates in a small open economy," Finnish Economic Papers, Finnish Economic Association, vol. 14(2), pages 65-83, Autumn.
    2. Massa, Massimo & Locarno, Alberto, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
    3. Tibor Hlédik, 2004. "Quantifying the Second-Round Effects of Supply-Side Shocks on Inflation," Prague Economic Papers, Prague University of Economics and Business, vol. 2004(2), pages 121-141.
    4. Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.
    5. Paul Soderlind, 2004. "What if the Fed had been an inflation nutter?," Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1471-1473.
    6. Bill Dupor, 2002. "The Natural Rate of Q," American Economic Review, American Economic Association, vol. 92(2), pages 96-101, May.
    7. 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.
    8. Kafayat Amusa & Rangan Gupta & Shaakira Karolia & Beatrice D. Simo Kengne, 2010. "The Long-Run Impact of Inflation in South Africa," Working Papers 201029, University of Pretoria, Department of Economics.
    9. Kam, Timothy, 2007. "Interest-rate smoothing in a two-sector small open economy," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 283-304, June.
    10. Dupor, Bill, 2005. "Stabilizing non-fundamental asset price movements under discretion and limited information," Journal of Monetary Economics, Elsevier, vol. 52(4), pages 727-747, May.
    11. Söderlind, Paul, 1998. "Solution and Estimation of RE Macromodels with Optimal Policy," SSE/EFI Working Paper Series in Economics and Finance 256, Stockholm School of Economics.
    12. Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes, 2017. "Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries," Econometrics, MDPI, vol. 5(1), pages 1-17, February.
    13. Morys, Matthias, 2003. "Was the Bundesbank’s credibility undermined during the process of German reunification?," Economic History Working Papers 22355, London School of Economics and Political Science, Department of Economic History.
    14. H.a. Mitchell‐innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.

  26. Söderlind, Paul, 1997. "Market Expectations in the UK Before and After the ERM Crisis," SSE/EFI Working Paper Series in Economics and Finance 210, Stockholm School of Economics, revised 19 Mar 1999.

    Cited by:

    1. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
    2. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.

  27. Dahlquist, Magnus & Söderlind, Paul, 1997. "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers 1663, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    2. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, February.
    3. Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
    4. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    5. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
    6. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
    7. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    8. Keith Pilbeam & Hamish Preston, 2019. "An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?," IJFS, MDPI, vol. 7(1), pages 1-16, January.
    9. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
    10. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
    11. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
    12. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
    13. Potì, Valerio & Wang, DengLi, 2010. "The coskewness puzzle," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1827-1838, August.
    14. Jonathan Fletcher & Andrew Marshall, 2005. "The Performance of UK International Unit Trusts," European Financial Management, European Financial Management Association, vol. 11(3), pages 365-386, June.
    15. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
    16. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
    17. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
    18. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    19. Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    20. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
    21. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers 2166, C.E.P.R. Discussion Papers.
    22. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    23. Gutierrez, Roberto Jr. & Prinsky, Christo A., 2007. "Momentum, reversal, and the trading behaviors of institutions," Journal of Financial Markets, Elsevier, vol. 10(1), pages 48-75, February.

  28. Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.

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    1. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    2. Allan M. Malz, 1998. "Interbank interest rates as term structure indicators," Research Paper 9803, Federal Reserve Bank of New York.
    3. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato.
    4. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    5. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
    6. Svensson, Lars E O, 1996. "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets," CEPR Discussion Papers 1511, C.E.P.R. Discussion Papers.
    7. Norrbin, Stefan, 2001. "What Have We Learned from Empirical Tests of the Monetary Transmission Effect," Working Paper Series 121, Sveriges Riksbank (Central Bank of Sweden).
    8. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
    9. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
    10. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
    11. Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu, 2010. "Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)," Working Papers 1003, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    12. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 874, European Central Bank.
    13. Frederic S. Mishkin, 2000. "International Experiences with Different Monetary Policy Regimes," NBER Working Papers 7044, National Bureau of Economic Research, Inc.
    14. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    15. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
    16. Lars E.O. Svensson, 2000. "The First Year of the Eurosystem: Inflation Targeting or Not?," NBER Working Papers 7598, National Bureau of Economic Research, Inc.
    17. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
    18. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
    19. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997. "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers 1676, C.E.P.R. Discussion Papers.
    20. Sónia Costa & Ana Beatriz Galvão, 2007. "The Forward Premium of Euro Interest Rates," Working Papers w200702, Banco de Portugal, Economics and Research Department.
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    22. Boes, M.J., 2006. "Index options : Pricing, implied densities and returns," Other publications TiSEM e9ed8a9f-2472-430a-b666-9, Tilburg University, School of Economics and Management.
    23. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.
    24. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
    25. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
    26. Fabio Fornari & Roberto Violi, 1998. "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers) 339, Bank of Italy, Economic Research and International Relations Area.
    27. M. Isabel Campos & Zenón Jiménez-Ridruejo, "undated". "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
    28. Prasanna Gai & Sherry X. Wu, 2023. "On Market‐Friendly Central Bankers," The Economic Record, The Economic Society of Australia, vol. 99(325), pages 238-252, June.
    29. Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
    30. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    31. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    32. Pérez Quirós, Gabriel & Sicilia, Jorge & Gaspar, Ví­tor, 2001. "The ECB monetary policy strategy and the money market," Working Paper Series 69, European Central Bank.
    33. Pongsak Luangaram & Yuthana Sethapramote, 2016. "Central Bank Communication and Monetary Policy Effectiveness: Evidence from Thailand," PIER Discussion Papers 20, Puey Ungphakorn Institute for Economic Research.
    34. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    35. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
    36. Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    37. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, European Finance Association, vol. 9(1), pages 97-137.
    38. Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin, 2003. "The Forecasting Performance of German Stock Option Densities," Discussion Paper Series 1: Economic Studies 2003,17, Deutsche Bundesbank.
    39. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November.
    40. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-.
    41. Takami, Marcelo Yoshio & Tabak, Benjamin Miranda, 2008. "Interest rate option pricing and volatility forecasting: An application to Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 755-763.
    42. Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
    43. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017. "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, vol. 64(C), pages 440-457.
    44. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    45. Lindbeck, Assar, 2001. "Pensions and Contemporary Socioeconomic Change," Working Paper Series 548, Research Institute of Industrial Economics.
    46. Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2012. "The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate," SIRE Discussion Papers 2012-36, Scottish Institute for Research in Economics (SIRE).
    47. Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance 1614, University of St. Gallen, School of Finance.
    48. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
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    5. Robert P. Flood & Andrew K. Rose, 1993. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," NBER Working Papers 4503, National Bureau of Economic Research, Inc.
    6. Miller, Marcus & corrado, luisa, 2002. "Exchange Rate Monitoring Bands: Theory and Policy," CEPR Discussion Papers 3337, C.E.P.R. Discussion Papers.
    7. Lars E.O. Svensson, 1992. "Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates," NBER Working Papers 4207, National Bureau of Economic Research, Inc.
    8. Dumas, B. & Svensson, L.E.O., 1994. "How Long Do Unilateral Target Zones Last?," DELTA Working Papers 94-06, DELTA (Ecole normale supérieure).
    9. Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
    10. Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003. "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper 8, Tor Vergata University, CEIS.
    11. Jorgensen, Bjorn N. & Mikkelsen, Hans Ole ae, 1996. "An arbitrage free trilateral target zone model," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 117-134, February.
    12. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 1-15.
    13. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF, Faculty of Economics, University of Coimbra.
    14. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.

  32. John Hassler & Petter Lundvik & Torsten Persson & Paul Soderlind, 1992. "The Swedish business cycle: stylized facts over 130 years," Discussion Paper / Institute for Empirical Macroeconomics 63, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Ravn, Morten & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
    2. Peter Brandner & Klaus Neusser, 1990. "Business Cycles in Open Economies. Stylized Facts for Austria and Germany," WIFO Working Papers 40, WIFO.
    3. Daniel Levy, 2000. "Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Post-Print hal-02385594, HAL.
    4. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
    5. David Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the Trade Balance and the Terms of Trade: The S-Curve," NBER Working Papers 4242, National Bureau of Economic Research, Inc.
    6. Amado Peiro, 2004. "Are business cycles asymmetric? Some European evidence," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 335-342.
    7. Daniel Levy, 1994. "Output, Capital, and Labor in the Short, and Long-Run," Post-Print hal-02382783, HAL.
    8. Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
    9. Cage, Julia & Gadenne, Lucie, 2016. "Tax Revenues, Development, and the Fiscal Cost of Trade Liberalization, 1792-2006," Economic Research Papers 269314, University of Warwick - Department of Economics.
    10. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    11. Julia Cage & Lucie Gadenne, 2018. "Tax Revenues and the Fiscal Cost of Trade Liberalization, 1792-2006," SciencePo Working papers Main hal-03391923, HAL.
    12. Jonsson, G. & Klein, P., 1995. "Stochastic Fiscal Policy and the Swedish Business Cycle," Papers 592, Stockholm - International Economic Studies.
    13. Katsuyuki Shibayama, 2008. "On the Periodicity of Inventories," Studies in Economics 0806, School of Economics, University of Kent.
    14. Persson, Joakim, 1997. "Convergence in Per Capita Income and Migration Across the Swedish Counties 1906-1990," Seminar Papers 601, Stockholm University, Institute for International Economic Studies.
    15. John Y. Campbell, 1996. "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers 1763, Harvard - Institute of Economic Research.
    16. Persson, Joakim, 1997. "Convergence across the Swedish counties, 1911-1993," European Economic Review, Elsevier, vol. 41(9), pages 1835-1852, December.
    17. Bertil Holmlund, 2012. "Wage and Employment Determination in Volatile Times: Sweden 1913-1939," CESifo Working Paper Series 3799, CESifo.
    18. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
    19. Louise Holm, 2016. "The Swedish business cycle, 1969-2013," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-22.
    20. Julia Cage & Lucie Gadenne, 2014. "The Fiscal Cost of Trade Liberalization," PSE Working Papers halshs-00705354, HAL.
    21. Urbina, Jilber, 2014. "Producto Potencial y Brecha del Producto en Nicaragua [Potential output and output gap in Nicaragua]," MPRA Paper 75592, University Library of Munich, Germany, revised Dec 2015.
    22. Alain Guay & Pierre St-Amant, 1997. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Cahiers de recherche CREFE / CREFE Working Papers 53, CREFE, Université du Québec à Montréal.
    23. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International Evidence on Output Fluctuation and Shock Persistence," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 50(7), pages 1499-1530.
    24. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
    25. David K. Backus & Patrick Kehoe & Finn Kydland, 1992. "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve Revisited," Working Papers 92-6, New York University, Leonard N. Stern School of Business, Department of Economics.
    26. Urbina, Jilber, 2016. "Crecimiento del crédito en Nicaragua, ¿Crecimiento natural o boom crediticio? [Credit growth in Nicaragua: Natural growth or credit boom?]," MPRA Paper 75577, University Library of Munich, Germany, revised Nov 2016.
    27. Lindstrom, Tomas, 1998. "A fuzzy design of the willingness to invest in Sweden," Journal of Economic Behavior & Organization, Elsevier, vol. 36(1), pages 1-17, July.

  33. Lindberg, H. & Soderlind, P., 1991. "Testing the Basic Target Zone Model on Swedish Data," Papers 488, Stockholm - International Economic Studies.

    Cited by:

    1. Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Currency Option Pricing in Credible Target Zones," Weiss Center Working Papers 93-7, Wharton School - Weiss Center for International Financial Research.
    2. Lindberg, H. & Svensson, L.E. & Soderlind, P., 1991. "Devaluation Expectations: the Swedish Krona 1982-1991," Papers 495, Stockholm - International Economic Studies.
    3. José Torres, 2007. "A non-parametric analysis of ERM exchange rate fundamentals," Empirical Economics, Springer, vol. 32(1), pages 67-84, April.
    4. Vasco Curdia & Daria Finocchiaro, 2012. "Monetary Regime Change and Business Cycles," Working Paper Series 2013-02, Federal Reserve Bank of San Francisco.
    5. Bernard Dumas & Peter Jennergren & Bertil Näslund, 1993. "Realignment risk and currency option pricing in target zones," Working Papers hal-00610767, HAL.
    6. Darvas, Zsolt, 1999. "Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége [Empirical models of exchange rate target zones]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 507-529.
    7. Arturo José Galindo, 1998. "Estimating Credibility In Colombia'S Exchange Rate Target Zone," Borradores de Economia 2604, Banco de la Republica.
    8. Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, vol. 104(3), pages 87-113.
    9. Lehmussaari, Olli-Pekka & Suvanto, Antti & Vajanne, Laura, 1992. "The currency band and credibility: The Finnish experience," Bank of Finland Research Discussion Papers 37/1992, Bank of Finland.
    10. Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
    11. Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.
    12. Jorgensen, Bjorn N. & Mikkelsen, Hans Ole ae, 1996. "An arbitrage free trilateral target zone model," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 117-134, February.
    13. Marc Flandreau & John Komlos, 2005. "Target zones in History and Theory : efficiency, credibility and policy autonomy," Working Papers hal-01065605, HAL.
    14. Elias Belessakos & Michael Papaioannou, 1996. "Simple credibility tests of the ERM bands for the pound sterling and the Italian lira," Open Economies Review, Springer, vol. 7(3), pages 219-236, July.
    15. Joao Sousa Andrade & António Portugal Duarte & Adelaide Duarte, 2013. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," EcoMod2013 5305, EcoMod.
    16. Consuelo Gámez Amián & José L. Torres, 2004. "A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate," Economic Working Papers at Centro de Estudios Andaluces E2004/73, Centro de Estudios Andaluces.
    17. Elias D. Belessakos & Christos I. Giannikos, 2002. "The "Lack" of Volatility Trade-Offs in Exchange Rate Zones with Sticky Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 69-78, April.
    18. BESSEC Marie, 2010. "The Asymmetric Exchange Rate Dynamics in the EMS: a Time-Varying Threshold Test," EcoMod2003 330700015, EcoMod.

  34. Lindberg, H. & Svensson, L.E. & Soderlind, P., 1991. "Devaluation Expectations: the Swedish Krona 1982-1991," Papers 495, Stockholm - International Economic Studies.

    Cited by:

    1. Cukierman, Alex & Spiegel, Yossi & Leiderman, Leonardo, 2004. "The choice of exchange rate bands: balancing credibility and flexibility," Journal of International Economics, Elsevier, vol. 62(2), pages 379-408, March.
    2. Bernard Dumas & Peter Jennergren & Bertil Näslund, 1993. "Realignment risk and currency option pricing in target zones," Working Papers hal-00610767, HAL.
    3. Lars E.O. Svensson, 1992. "Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates," NBER Working Papers 4207, National Bureau of Economic Research, Inc.
    4. Lehmussaari, Olli-Pekka & Suvanto, Antti & Vajanne, Laura, 1992. "The currency band and credibility: The Finnish experience," Bank of Finland Research Discussion Papers 37/1992, Bank of Finland.
    5. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16.
    6. Ribeiro de Castro, Claudia, 1999. "Inside and Outside the Band Exchange Rate Fluctuations for Brazil," LIDAM Discussion Papers IRES 2000004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    7. Rose, Andrew K & Svensson, Lars E O, 1993. "European Exchange Rate Credibility Before the Fall," CEPR Discussion Papers 852, C.E.P.R. Discussion Papers.
    8. Marianne Nessen, 1997. "Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones," Open Economies Review, Springer, vol. 8(2), pages 99-136, April.
    9. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc.
    10. Zhaohui Chen & Alberto Giovannini, 1992. "Estimating Expected Exchange Rates Under Target Zones," NBER Working Papers 3955, National Bureau of Economic Research, Inc.

Articles

  1. Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019. "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 42-54.

    Cited by:

    1. Bertsch, Christoph & Hull, Isaiah & Lumsdaine, Robin L. & Zhang, Xin, 2024. "Four Facts about International Central Bank Communication," Working Paper Series 432, Sveriges Riksbank (Central Bank of Sweden).
    2. Alex Oktay, 2022. "Heterogeneity in the exchange rate pass-through to consumer prices: the Swiss franc appreciation of 2015," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-20, December.
    3. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
    4. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    5. Yin Germaschewski & Jaroslav Horvath & Jiansheng Zhong, 2022. "Oral interventions in the foreign exchange market: evidence from Australia," Empirical Economics, Springer, vol. 62(6), pages 2713-2737, June.
    6. Guo, Junjie & Guo, Yumei & Miao, Shan & Pang, Xin, 2021. "An investigation of semantic similarity in PBOC’s communication on RMB volatility," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 441-455.
    7. Wenbo Wang & Dieu Thanh Le & Hail Park, 2020. "Is Foreign Exchange Intervention a Panacea in Diversified Circumstances? The Perspectives of Asymmetric Effects," Sustainability, MDPI, vol. 12(7), pages 1-20, April.
    8. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert, 2021. "Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period," International Review of Financial Analysis, Elsevier, vol. 77(C).
    9. Jinzhao Chen, 2023. "The "real" exchange rate regime in China since 2015's exchange rate reform," Post-Print hal-04402467, HAL.

  2. Magnus Dahlquist & José Vicente Martinez & Paul Söderlind, 2017. "Individual Investor Activity and Performance," The Review of Financial Studies, Society for Financial Studies, vol. 30(3), pages 866-899.
    See citations under working paper version above.
  3. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    See citations under working paper version above.
  4. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    See citations under working paper version above.
  5. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
    See citations under working paper version above.
  6. Paul Soderlind, 2010. "Predicting stock price movements: regressions versus economists," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 869-874.
    See citations under working paper version above.
  7. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
    See citations under working paper version above.
  8. Paul Söderlind, 2010. "Reaction of Swiss Term Premia to Monetary Policy Surprises," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 385-404, March.
    See citations under working paper version above.
  9. Thomas Jordan & Angelo Ranaldo & Paul Söderlind, 2009. "The implementation of SNB monetary policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(4), pages 349-359, December.
    See citations under working paper version above.
  10. Söderlind, Paul, 2009. "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
    See citations under working paper version above.
  11. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
    See citations under working paper version above.
  12. Paul Söderlind, 2008. "Monetary Policy Effects On Financial Risk Premia," Manchester School, University of Manchester, vol. 76(6), pages 690-707, December.
    See citations under working paper version above.
  13. Marten Palme & Annika Sundén & Paul Söderlind, 2007. "How Do Individual Accounts Work in the Swedish Pension System?," Journal of the European Economic Association, MIT Press, vol. 5(2-3), pages 636-646, 04-05.

    Cited by:

    1. Hagen, Johannes, 2013. "A History of the Swedish Pension System," Working Paper Series, Center for Fiscal Studies 2013:7, Uppsala University, Department of Economics.
    2. Lisa Laun & Mårten Palme, 2023. "Pension Reform, Incentives to Retire and Retirement Behavior: Empirical Evidence from Swedish Micro-data," NBER Working Papers 31800, National Bureau of Economic Research, Inc.
    3. Karen A. Tumanyants & Eugenia V. Gulyaeva, 2016. "Individual Choice of a Pension Fund in Russia: Are the Investment Results of the Fund Important?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1328-1337.
    4. Anders Anderson & David T Robinson, 2022. "Financial Literacy in the Age of Green Investment [Evaluating behaviorally motivated policy: experimental evidence from the lightbulb market]," Review of Finance, European Finance Association, vol. 26(6), pages 1551-1584.
    5. Söderlind, Paul & Dahlquist, Magnus & Martinez, José Vicente, 2012. "Individual Investor Activity and Performance," CEPR Discussion Papers 8744, C.E.P.R. Discussion Papers.
    6. Anders Anderson & David T. Robinson, 2024. "Climate Polarization and Green Investment," NBER Working Papers 32131, National Bureau of Economic Research, Inc.
    7. Nicholas Apergis & Tasawar Hayat & Tareq Saeed, 2019. "The Role of Happiness in Financial Decisions: Evidence from Financial Portfolio Choice and Five European Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(3), pages 343-360, September.
    8. Magnus Dahlquist & José Vicente Martinez, 2015. "Investor Inattention: A Hidden Cost of Choice in Pension Plans?," European Financial Management, European Financial Management Association, vol. 21(1), pages 1-19, January.
    9. Elinder, Mikael & Hagen, Johannes & Nordin, Mattias & Säve-Söderbergh, Jenny, 2020. "Who lacks pension knowledge, why and does it matter?," Working Paper Series 2020:24, IFAU - Institute for Evaluation of Labour Market and Education Policy.
    10. Anders Anderson & David T. Robinson, 2018. "Who Feels the Nudge? Knowledge, Self-Awareness and Retirement Savings Decisions," NBER Working Papers 25061, National Bureau of Economic Research, Inc.

  14. Giordani, Paolo & Soderlind, Paul, 2006. "Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1027-1043, June.

    Cited by:

    1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    2. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    3. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006 2006-07, Department of Economics, University of St. Gallen.
    4. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2006. "Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters," Economic Research Papers 269751, University of Warwick - Department of Economics.
    5. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," 2019 Meeting Papers 641, Society for Economic Dynamics.
    7. Clements, Michael P., 2012. "Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth," Economic Research Papers 270629, University of Warwick - Department of Economics.
    8. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
    9. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    10. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Density characteristics and density forecast performance: a panel analysis," Empirical Economics, Springer, vol. 48(3), pages 1203-1231, May.
    11. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010.
    12. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
    13. Pfajfar, Damjan & Žakelj, Blaž, 2016. "Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory," International Journal of Forecasting, Elsevier, vol. 32(3), pages 849-864.
    14. Casey, Eddie, 2021. "Are professional forecasters overconfident?," International Journal of Forecasting, Elsevier, vol. 37(2), pages 716-732.
    15. Elyes Jouini & Clotilde Napp, 2015. "Gurus and belief manipulation," Post-Print halshs-01250251, HAL.
    16. Minwook Kang & Lei Sandy Ye, 2021. "Can Optimism be a Remedy for Present Bias?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 201-231, February.
    17. Alfranseder, Emanuel & zhang, Xiang, 2015. "The Effect of Pessimism and Doubt on the Equity Premium," Knut Wicksell Working Paper Series 2015/5, Lund University, Knut Wicksell Centre for Financial Studies.
    18. Alexander Ludwig & Alexander Zimper, 2013. "Biased Bayesian learning with an application to the risk-free rate puzzle," Working Papers 201366, University of Pretoria, Department of Economics.
    19. Alexander Glas & Matthias Hartmann, 2020. "Uncertainty measures from partially rounded probabilistic forecast surveys," Working Papers 427, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
    20. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    21. Wolfgang Breuer & Michael Riesener & Astrid Juliane Salzmann, 2014. "Risk aversion vs. individualism: what drives risk taking in household finance?," The European Journal of Finance, Taylor & Francis Journals, vol. 20(5), pages 446-462, May.
    22. Selima Mansour & Elyès Jouini & Clotilde Napp, 2006. "Is There a “Pessimisticâ€\x9D Bias in Individual Beliefs? Evidence from a Simple Survey," Theory and Decision, Springer, vol. 61(4), pages 345-362, December.
    23. Elyès Jouini & Clotilde Napp, 2008. "On Abel's Concept of Doubt and Pessimism," Post-Print halshs-00176611, HAL.
    24. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
    25. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 1-46, December.
    26. Elyès Jouini & Selima Ben Mansour & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2008. "Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach," Post-Print halshs-00176629, HAL.
    27. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    28. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
    29. Goudarzi, Fatemeh (Sahar) & Olaru, Doina & Bergey, Paul, 2023. "Beyond risk attitude: Unpacking behavioral drivers of supply chain contracts," International Journal of Production Economics, Elsevier, vol. 255(C).
    30. Víctor Alberto Pena & Alina Gómez-Mejía, 2019. "Effect of the anchoring and adjustment heuristic and optimism bias in stock market forecasts," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 11(2), pages 389-409, November.
    31. P. Schanbacher, 2014. "Measuring and adjusting for overconfidence," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 423-452, October.

  15. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 49-73, April.
    See citations under working paper version above.
  16. Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2005. "Dynamic Taylor Rules And The Predictability Of Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 9(3), pages 412-428, June.

    Cited by:

    1. Kasimir Kaliva, 2008. "The Fisher effect, survey data and time-varying volatility," Empirical Economics, Springer, vol. 35(1), pages 1-10, August.
    2. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series 2007:18, Uppsala University, Department of Economics.
    3. Favero, Carlo A. & Consolo, Agostino, 2009. "Monetary Policy Inertia: More a Fiction than a fact?," CEPR Discussion Papers 7341, C.E.P.R. Discussion Papers.
    4. Hakan Danis, 2017. "Nonlinearity and asymmetry in the monetary policy reaction function: a partially generalized ordered probit approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 161-178, August.
    5. Pär Österholm, 2005. "The Taylor Rule: A Spurious Regression?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
    6. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," Working Papers 1116, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    7. Nucci, Francesco & Riggi, Marianna, 2013. "Performance pay and changes in U.S. labor market dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2796-2813.
    8. Mr. Martin Cihak & Ms. Katerina Smídková & Mr. Ales Bulir, 2008. "Writing Clearly: ECB’s Monetary Policy Communication," IMF Working Papers 2008/252, International Monetary Fund.
    9. 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.
    10. Jiri Podpiera, 2008. "Policy Rate Decisions and Unbiased Parameter Estimation in Conventionally Estimated Monetary Policy Rules," Working Papers 2008/2, Czech National Bank.
    11. Glenn D. Rudebusch, 2006. "Monetary Policy Inertia: Fact or Fiction?," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    12. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
    13. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. Nicolas Pinkwart, 2013. "Quantifying The European Central Bank'S Interest Rate Smoothing Behavior," Manchester School, University of Manchester, vol. 81(4), pages 470-492, July.
    15. Julio Carrillo & Patrick Fève & Julien Matheron, 2007. "Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 1-38, June.
    16. Gomes, Orlando & Mendes, Diana A. & Mendes, Vivaldo M., 2008. "Bounded rational expectations and the stability of interest rate policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3882-3890.
    17. Podpiera, Jirí, 2008. "The role of ad hoc factors in policy rate settings," Economic Modelling, Elsevier, vol. 25(5), pages 1003-1010, September.
    18. Yu-Hsi Chou, 2017. "Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks," Review of International Economics, Wiley Blackwell, vol. 25(1), pages 165-194, February.
    19. Moccero, Diego & Gnabo, Jean-Yves, 2015. "The risk management approach to monetary policy, nonlinearity and aggressiveness: the case of the US Fed," Working Paper Series 1792, European Central Bank.
    20. Podpiera, Jiri­, 2008. "Monetary policy inertia reconsidered: Evidence from endogenous interest rate trajectory," Economics Letters, Elsevier, vol. 100(2), pages 238-240, August.
    21. Gnabo, Jean-Yves & Moccero, Diego Nicolas, 2015. "Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 281-294.
    22. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    23. Hayat, Aziz & Mishra, Sagarika, 2010. "Federal reserve monetary policy and the non-linearity of the Taylor rule," Economic Modelling, Elsevier, vol. 27(5), pages 1292-1301, September.
    24. Yu Guo And Wei Ma, 2016. "Time-Varying Coefficient Taylor Rule and Chinese Monetary Policy: Evidence from the Time-Varying Cointegration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 41(4), pages 27-44, December.

  17. Ulf Söderström & Paul Söderlind & Anders Vredin, 2005. "New‐Keynesian Models and Monetary Policy: A Re‐examination of the Stylized Facts," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(3), pages 521-546, September.
    See citations under working paper version above.
  18. Giordani, Paolo & Soderlind, Paul, 2004. "Solution of macromodels with Hansen-Sargent robust policies: some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2367-2397, December.
    See citations under working paper version above.
  19. Paul Soderlind, 2004. "What if the Fed had been an inflation nutter?," Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1471-1473.
    See citations under working paper version above.
  20. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
    See citations under working paper version above.
  21. Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.
    See citations under working paper version above.
  22. Soderlind, Paul, 2001. "Monetary policy and the Fisher effect," Journal of Policy Modeling, Elsevier, vol. 23(5), pages 491-495, July.
    See citations under working paper version above.
  23. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000. "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 409-423, September.
    See citations under working paper version above.
  24. Dahlquist, Magnus & Soderlind, Paul, 1999. "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, vol. 72(3), pages 347-383, July.
    See citations under working paper version above.
  25. Paul Söderlind, 1999. "An Interpretation of SDF Based Performance Measures," Review of Finance, European Finance Association, vol. 3(2), pages 233-237.

    Cited by:

    1. Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
    2. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.

  26. Soderlind, Paul, 1999. "Solution and estimation of RE macromodels with optimal policy," European Economic Review, Elsevier, vol. 43(4-6), pages 813-823, April.
    See citations under working paper version above.
  27. Paul Söderlind, 1998. "Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(2), pages 457-472, June.

    Cited by:

    1. Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
    2. Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," SSE/EFI Working Paper Series in Economics and Finance 159, Stockholm School of Economics, revised 04 Mar 1999.
    3. Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.

  28. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
    See citations under working paper version above.
  29. Soderlind, Paul & Vredin, Anders, 1996. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 363-381, July-Aug..
    See citations under working paper version above.
  30. Lindberg, Hans & Soderlind, Paul, 1994. "Testing the basic target zone model on Swedish data 1982-1990," European Economic Review, Elsevier, vol. 38(7), pages 1441-1469, August.

    Cited by:

    1. Flandreau, Marc & Komlos, John, 2005. "Target Zones in Theory and History: Credibility, Efficiency, and Policy Autonomy," CEPR Discussion Papers 5199, C.E.P.R. Discussion Papers.
    2. Ma, Yue & Kanas, Angelos, 2000. "Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 69-82, January.
    3. José Torres, 2007. "A non-parametric analysis of ERM exchange rate fundamentals," Empirical Economics, Springer, vol. 32(1), pages 67-84, April.
    4. Vasco Curdia & Daria Finocchiaro, 2012. "Monetary Regime Change and Business Cycles," Working Paper Series 2013-02, Federal Reserve Bank of San Francisco.
    5. Darvas, Zsolt, 1999. "Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége [Empirical models of exchange rate target zones]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 507-529.
    6. Arturo José Galindo, 1998. "Estimating Credibility In Colombia'S Exchange Rate Target Zone," Borradores de Economia 2604, Banco de la Republica.
    7. Wilfling Bernd, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, vol. 4(4), pages 433-457, December.
    8. Bekiros, Stelios, 2014. "Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 336-348.
    9. Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
    10. Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
    11. Marc Flandreau & John Komlos, 2005. "Target zones in History and Theory : efficiency, credibility and policy autonomy," Working Papers hal-01065605, HAL.
    12. Joao Sousa Andrade & António Portugal Duarte & Adelaide Duarte, 2013. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," EcoMod2013 5305, EcoMod.
    13. Esaka, Taro, 2000. "The Louvre Accord and central bank intervention: was there a target zone?," Japan and the World Economy, Elsevier, vol. 12(2), pages 107-126, May.
    14. Lera, Sandro Claudio & Sornette, Didier, 2016. "Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 28-47.
    15. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
    16. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
    17. Consuelo Gámez Amián & José L. Torres, 2004. "A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate," Economic Working Papers at Centro de Estudios Andaluces E2004/73, Centro de Estudios Andaluces.
    18. Taylor, Mark P. & Iannizzotto, Matteo, 2001. "On the mean-reverting properties of target zone exchange rates: a cautionary note," Economics Letters, Elsevier, vol. 71(1), pages 117-129, April.
    19. Dahlquist, Magnus & Gray, Stephen F., 2000. "Regime-switching and interest rates in the European monetary system," Journal of International Economics, Elsevier, vol. 50(2), pages 399-419, April.
    20. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 1998. "An Empirical Reassessment of Target-zone Nonlinearities," Cambridge Working Papers in Economics 9825, Faculty of Economics, University of Cambridge.
    21. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," Working Papers 87, Barcelona School of Economics.
    22. BESSEC Marie, 2010. "The Asymmetric Exchange Rate Dynamics in the EMS: a Time-Varying Threshold Test," EcoMod2003 330700015, EcoMod.
    23. Yum K. Kwan & Francis T. Lui & Leonard K. Cheng, 2001. "Credibility of Hong Kong's Currency Board: The Role of Institutional Arrangements," NBER Chapters, in: Regional and Global Capital Flows: Macroeconomic Causes and Consequences, pages 233-259, National Bureau of Economic Research, Inc.

  31. Soderlind, Paul, 1994. "Cyclical Properties of a Real Business Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages 113-122, Suppl. De.

    Cited by:

    1. Ravn, Morten & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
    2. Fabio Canova & Eva Ortega, 1996. "Testing calibrated general equilibrium models," Economics Working Papers 166, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Robert G. King & Mark W. Watson, 1995. "Money, prices, interest rates and the business cycle," Working Paper Series, Macroeconomic Issues 95-10, Federal Reserve Bank of Chicago.
    4. Sussmuth, Bernd, 2003. "Modeling the synchronization of sectoral investment cycles on the base of informational externalities," Structural Change and Economic Dynamics, Elsevier, vol. 14(1), pages 35-54, March.
    5. Patrick Minford & Konstantinos Theodoridis & David Meenagh, 2009. "Testing a Model of the UK by the Method of Indirect Inference," Open Economies Review, Springer, vol. 20(2), pages 265-291, April.
    6. Allan Gregory & Gregor W. Smith, 1994. "Measuring Business Cycles With Business-cycle Models," Working Paper 901, Economics Department, Queen's University.
    7. Zimmermann, Tobias, 2007. "Reale Konjunkturzyklen, Effizienzlöhne und die Rolle von Ölpreisschocks: Eine theoretische und empirische Analyse für Deutschland," RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung, volume 81, number 81.
    8. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
    9. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany.
    10. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.

  32. Lindberg, Hans & Soderlind, Paul & Svensson, Lars E O, 1993. "Devaluation Expectations: The Swedish Krona 1985-92," Economic Journal, Royal Economic Society, vol. 103(420), pages 1170-1179, September.

    Cited by:

    1. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86, March.
    2. Vasco Curdia & Daria Finocchiaro, 2012. "Monetary Regime Change and Business Cycles," Working Paper Series 2013-02, Federal Reserve Bank of San Francisco.
    3. Viktors Ajevskis & Armands Pogulis, 2005. "Repegging of the Lats to the Euro: Implications for the Financial Sector," Working Papers 2005/01, Latvijas Banka.
    4. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2000. "On the Credibility of the Irish Pound in the EMS," The Economic and Social Review, Economic and Social Studies, vol. 31(2), pages 151-172.
    5. Francisco Ledesma Rodríguez & Manuel Navarro Ibáñez & Jorge Pérez Rodríguez & Simón Sosvilla Rivero, 2008. "The Credibility of the European monetary System:A Review," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 31(86), pages 005-034, Mayo-Agos.
    6. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
    7. M. Isabel Campos & M. Araceli Rodríguez, "undated". "Crises and Credibility in a Target Zone: A Logit From a Markov-Switching Model," Working Papers on International Economics and Finance 00-05, FEDEA.
    8. M. Isabel Campos López & M. Araceli Rodríguez López, 2001. "Business Cycle and Speculative Pressures in a Target Zone," Working Papers 01-04, Asociación Española de Economía y Finanzas Internacionales.
    9. Gabauer, David, 2021. "Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    10. Yum K. Kwan & Francis T. Lui & Leonard K. Cheng, 2001. "Credibility of Hong Kong's Currency Board: The Role of Institutional Arrangements," NBER Chapters, in: Regional and Global Capital Flows: Macroeconomic Causes and Consequences, pages 233-259, National Bureau of Economic Research, Inc.

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