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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. 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.
  2. Barbara Rossi & Atsushi Inoue, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
  3. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank, Research Centre.
  4. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  5. Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003. "Exchange rate forecasting: the errors we've really made," Journal of International Economics, Elsevier, vol. 60(1), pages 35-59, May.
  6. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2015. "Can Oil Prices Forecast Exchange Rates?," Working Papers 803, Barcelona Graduate School of Economics.
  7. Yin-Wong Cheung & Antonio Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?," IMF Working Papers 04/73, International Monetary Fund.
  8. 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.
  9. 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..
  10. 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.
  11. 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.
  12. Viral V. Acharya & S. Viswanathan, 2010. "Leverage, Moral Hazard and Liquidity," NBER Working Papers 15837, National Bureau of Economic Research, Inc.
  13. Kenneth Rogoff & Barbara Rossi & Yu-chin Chen, 2008. "Can Exchange Rates Forecast Commodity Prices?," 2008 Meeting Papers 540, Society for Economic Dynamics.
  14. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  15. D'Agostino, Antonello & Surico, Paolo, 2007. "Does global liquidity help to forecast US inflation?," Research Technical Papers 10/RT/07, Central Bank of Ireland.
  16. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
  17. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  18. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data 0503001, EconWPA.
  19. Valentina Bruno & Hyun Song Shin, 2013. "Capital Flows and the Risk-Taking Channel of Monetary Policy," NBER Working Papers 18942, National Bureau of Economic Research, Inc.
  20. Raffaella Giacomini & Barbara Rossi, 2009. "Model Comparisons in Unstable Environments," Working Papers 09-10, Duke University, Department of Economics.
  21. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  22. 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.
  23. Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Papers 2012-028, Federal Reserve Bank of St. Louis.
  24. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
  25. 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.
  26. 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.
  27. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
  28. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  29. Barbara Rossi, 2005. "Testing Long-Horizon Predictive Ability With High Persistence, And The Meese-Rogoff Puzzle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(1), pages 61-92, 02.
  30. Dietrich Domanski & Ingo Fender & Patrick McGuire, 2011. "Assessing global liquidity," BIS Quarterly Review, Bank for International Settlements, December.
  31. 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.
  32. 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.
  33. Claudio Borio & Robert McCauley & Patrick McGuire, 2011. "Global credit and domestic credit booms," BIS Quarterly Review, Bank for International Settlements, September.
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