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Chunming Yuan

Personal Details

First Name:Chunming
Middle Name:
Last Name:Yuan
Suffix:
RePEc Short-ID:pyu107
[This author has chosen not to make the email address public]
Department of Economics Public Policy 324 1000 HIlltop Circle Baltimore, MD 21250

Affiliation

Economics Department
University of Maryland-Baltimore County

Baltimore, Maryland (United States)
http://www.umbc.edu/economics/

: (410) 455-2160
(410) 455-1054
1000 Hilltop Circle, Baltimore, MD 21250
RePEc:edi:edumbus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
  2. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
  3. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.

Articles

  1. YUAN, Chunming & CHEN, Ruo, 2015. "Policy transmissions, external imbalances, and their impacts: Cross-country evidence from BRICS," China Economic Review, Elsevier, vol. 33(C), pages 1-24.
  2. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  3. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 342-362, April.
  4. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.

Citations

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

Working papers

  1. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.

    Cited by:

    1. Bailliu, Jeannine & Dib, Ali & Kano, Takashi & Schembri, Lawrence, 2014. "Multilateral adjustment, regime switching and real exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 68-87.
    2. Tasadduq Imam & Kevin Tickle & Abdullahi Ahmed & William Guo, 2012. "Linear Relationship Between The Aud/Usd Exchange Rate And The Respective Stock Market Indices: A Computational Finance Perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 19-42, January.
    3. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
    4. Adusei, Michael & Gyapong, Eddie Yaw, 2017. "The impact of macroeconomic variables on exchange rate volatility in Ghana: The Partial Least Squares Structural Equation Modelling approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1428-1444.
    5. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    6. Beckmann, Joscha & Belke, Ansgar & Dobnik, Frauke, 2011. "Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis," Ruhr Economic Papers 252, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015. "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 193-205.
    8. Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
    9. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
    10. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
    11. Corina SAMAN, 2015. "Out-Of-Sample Forecasting Performance Of A Robust Neural Exchange Rate Model Of Ron/Usd," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 93-106, March.
    12. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
    13. Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
    14. Chao, Chi-Chur & Hu, Shih-Wen & Lai, Ching-Chong & Tai, Meng-Yi & Wang, Vey, 2013. "Tariff-tax reform and exchange rate dynamics in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 63-73.
    15. Yu Hsing, 2015. "Determinants of the AUD/USD Exchange Rate and Policy Implications," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(2), pages 326-332, February.

  2. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.

    Cited by:

    1. Mirna Dumičić, 2014. "Financial Stress Indicators for Small, Open, Highly Euroised Countries – the Case of Croatia," Working Papers 41, The Croatian National Bank, Croatia.
    2. Wu, Jyh-Lin & Wang, Yi-Chiuan, 2013. "Fundamentals, forecast combinations and nominal exchange-rate predictability," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 129-145.
    3. Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
    4. Kodongo, Odongo & Ojah, Kalu, 2012. "The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 71-87.
    5. Iván Cárdenas-Gallo & Raha Akhavan-Tabatabaei & Mauricio Sánchez-Silva & Emilio Bastidas-Arteaga, 2016. "A Markov regime-switching framework to forecast El Niño Southern Oscillation patterns," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 81(2), pages 829-843, March.
    6. Iván Cárdenas-Gallo & Raha Akhavan-Tabatabaei & Mauricio Sánchez-Silva & Emilio Bastidas-Arteaga, 2016. "A Markov regime-switching framework to forecast El Niño Southern Oscillation patterns," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 81(2), pages 829-843, March.
    7. Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "On the directional accuracy of forecasts of emerging market exchange rates," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 369-376.
    8. A. ISLAS & Víctor M. GUERRERO & Eliud SILVA, 2019. "Forecasting Remittances to Mexico with a Multi-State Markov-Switching Model Applied to the Trend with Controlled Smoothness," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-56, March.
    9. Mirna Dumicic, 2015. "Financial stress indicators for small, open, highly euroized countries: the case of Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 39(2), pages 171-203.
    10. Shaghayegh KORDNOORI & Hamidreza MOSTAFAEI & Shirin KORDNOORI, 2015. "Applied SCGM(1,1)c Model and Weighted Markov Chain for Exchange Rate Ratios," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 3(4), pages 12-22, December.
    11. Samet Günay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
    12. Yu, Lean & Zhao, Yang & Tang, Ling, 2014. "A compressed sensing based AI learning paradigm for crude oil price forecasting," Energy Economics, Elsevier, vol. 46(C), pages 236-245.

  3. Aaron Tornell & Chunming Yuan, "undated". "Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates," UMBC Economics Department Working Papers 09-116, UMBC Department of Economics, revised 01 Nov 2009.

    Cited by:

    1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
    2. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
    3. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016. "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 793-818, May.
    4. Ji, Qiang & Bahloul, Walid & Geng, Jiang-Bo & Gupta, Rangan, 2020. "Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Chang, Shu-Lien & Chien, Cheng-Yi & Lee, Hsiu-Chuan & Lin, Ching, 2018. "Historical high and stock index returns: Application of the regression kink model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 48-63.
    6. Hossfeld, Oliver & Röthig, Andreas, 2016. "Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market," Finance Research Letters, Elsevier, vol. 18(C), pages 218-225.
    7. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
    8. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
    9. Babajide Fowowe, 2014. "Paper oil and physical oil: has speculative pressure in oil futures increased volatility in spot oil prices?," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 356-372, September.
    10. Nicholas Mulligan & Daan Steenkamp, 2018. "Reassessing the information content of the Commitments of Traders positioning data for exchange rate changes," Reserve Bank of New Zealand Analytical Notes series AN2018/03, Reserve Bank of New Zealand.
    11. Chen, Haojun & Maher, Daniela, 2013. "On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 177-201.
    12. Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.

Articles

  1. YUAN, Chunming & CHEN, Ruo, 2015. "Policy transmissions, external imbalances, and their impacts: Cross-country evidence from BRICS," China Economic Review, Elsevier, vol. 33(C), pages 1-24.

    Cited by:

    1. Bonga-Bonga, Lumengo, 2017. "Fiscal policy, Monetary policy and External imbalances: Cross-country evidence from Africa’s three largest economies (Nigeria, South Africa and Egypt)," MPRA Paper 79490, University Library of Munich, Germany.
    2. Ahmad Zubaidi Baharumshah & Siew-Voon Soon & Mark E. Wohar, 2019. "Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries," Empirical Economics, Springer, vol. 56(2), pages 523-549, February.
    3. Deininger, Sebastian & Maringer, Dietmar, 2017. "Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector," Working papers 2017/07, Faculty of Business and Economics - University of Basel.
    4. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Interrelations Between External and Internal Macroeconomic Factors: Empirical Evidence on Some OECD Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 15(2), pages 147-174.

  2. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
    See citations under working paper version above.
  3. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 342-362, April.
    See citations under working paper version above.
  4. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
    See citations under working paper version above.

More information

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (1) 2010-05-29
  2. NEP-MST: Market Microstructure (1) 2010-05-29

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