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Liquidity and Exchange Rates

  • Rossi, José Luiz Júnior

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File URL: http://www.insper.edu.br/wp-content/uploads/2013/11/2013_wpe325.pdf
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Paper provided by Insper Working Paper, Insper Instituto de Ensino e Pesquisa in its series Insper Working Papers with number wpe_325.

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Date of creation: Oct 2013
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Handle: RePEc:ibm:ibmecp:wpe_325
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  1. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  2. Barbara Rossi & Raffaella Giacomini, 2010. "Model Comparisons in Unstable Environments," Working Papers 10-29, Duke University, Department of Economics.
  3. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
  4. Viral V. Acharya & S. Viswanathan, 2011. "Leverage, Moral Hazard, and Liquidity," Journal of Finance, American Finance Association, vol. 66(1), pages 99-138, 02.
  5. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank, Research Centre.
  6. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
  7. Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
  8. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Journal of Finance, American Finance Association, vol. 68(5), pages 1805-1841, October.
  9. Dietrich Domanski & Ingo Fender & Patrick McGuire, 2011. "Assessing global liquidity," BIS Quarterly Review, Bank for International Settlements, December.
  10. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  11. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data 0503001, EconWPA.
  12. Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 08-03, Duke University, Department of Economics.
  13. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  14. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2015. "Can Oil Prices Forecast Exchange Rates?," Working Papers 803, Barcelona Graduate School of Economics.
  15. Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Paper Series 2012-12, Federal Reserve Bank of San Francisco.
  16. Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
  17. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  18. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  19. D'Agostino, A & Surico, P, 2007. "Does global liquidity help to forecast US inflation?," MPRA Paper 6283, University Library of Munich, Germany.
  20. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
  21. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
  22. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  23. Rossi, Barbara, 2002. "Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle," Working Papers 02-10, Duke University, Department of Economics.
  24. Claudio Borio & Robert McCauley & Patrick McGuire, 2011. "Global credit and domestic credit booms," BIS Quarterly Review, Bank for International Settlements, September.
  25. Jean-Philippe Cayen & Donald Coletti & Rene Lalonde & Philipp Maier, 2010. "What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates," Staff Working Papers 10-5, Bank of Canada.
  26. Valentina Bruno & Hyun Song Shin, 2013. "Capital Flows, Cross-Border Banking and Global Liquidity," Working Papers 1468, Princeton University, Department of Economics, Center for Economic Policy Studies..
  27. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  28. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  29. Gerdesmeier, Dieter & Roffia, Barbara & Reimers, Hans-Eggert, 2009. "Asset price misalignments and the role of money and credit," Working Paper Series 1068, European Central Bank.
  30. Valentina Bruno & Hyun Song Shin, 2012. "Capital Flows and the Risk-Taking Channel of Monetary Policy," BIS Working Papers 400, Bank for International Settlements.
  31. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  32. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
  33. Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
  34. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
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