Details about Yin-Wong Cheung

Homepage:	http://econ.ucsc.edu/faculty/cheung/
Workplace:	Economics Department, University of California-Santa Cruz (UCSC), (more information at EDIRC)

Access statistics for papers by Yin-Wong Cheung.

Last updated 2009-11-04. Update your information in the RePEc Author Service.

Short-id: pch261

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Working Papers

2009

1. A Cross-Country Empirical Analysis of International Reserves
   CESifo Working Paper Series, CESifo Group Munich View citations
2. A Factor Analysis of Trade Integration: The Case of Asian and Oceanic Economies
   Working Papers, Hong Kong Institute for Monetary Research
3. A High-Low Model of Daily Stock Price Ranges
   Working Papers, Hong Kong Institute for Monetary Research
   Also in CESifo Working Paper Series, CESifo Group Munich (2008)
   See also Journal Article in Journal of Forecasting (2009)
4. A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility
   Working Papers, Hong Kong Institute for Monetary Research
5. China's Current Account and Exchange Rate
   Working Papers, Hong Kong Institute for Monetary Research View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations
   CESifo Working Paper Series, CESifo Group Munich (2009) View citations
6. Speculative Attacks: A Laboratory Study in Continuous Time
   Working Papers, Hong Kong Institute for Monetary Research
   Also in CESifo Working Paper Series, CESifo Group Munich (2008) View citations
7. The Empirics of China's Outward Direct Investment
   Working Papers, Hong Kong Institute for Monetary Research
   Also in CESifo Working Paper Series, CESifo Group Munich (2009)

2008

8. Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios
   Working Papers, Hong Kong Institute for Monetary Research
   Also in Economics Discussion Papers, Kiel Institute for the World Economy (2007)
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)
9. Deviations from the Law of One Price in Japan
   CESifo Working Paper Series, CESifo Group Munich
10. Hoarding of International Reserves: A Comparison of the Asian and Latin American Experiences
    Working Papers, Hong Kong Institute for Monetary Research
11. Pitfalls in Measuring Exchange Rate Misalignment: The Yuan and Other Currencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
12. Return, Trading Volume, and Market Depth in Currency Futures Markets
    Working Papers, Hong Kong Institute for Monetary Research

2007

13. Does the Chinese Interest Rate Follow the US Interest Rate?
    CESifo Working Paper Series, CESifo Group Munich View citations
    Also in Working Papers, Hong Kong Institute for Monetary Research (2006) View citations
    See also Journal Article in International Journal of Finance & Economics (2008)
14. Hoarding of International Reserves: Mrs Machlup¡¦s Wardrobe and the Joneses
    Working Papers, Hong Kong Institute for Monetary Research View citations
15. Hoarding of International Reserves: Mrs Machlup’s Wardrobe and the Joneses
    CESifo Working Paper Series, CESifo Group Munich View citations
16. Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries
    Working Papers, Hong Kong Institute for Monetary Research
    See also Journal Article in Japan and the World Economy (2008)
17. The Overvaluation of Renminbi Undervaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2007) View citations
    Working Papers, Hong Kong Institute for Monetary Research (2007) View citations
    See also Journal Article in Journal of International Money and Finance (2007)

2006

18. A Reappraisal of the Border Effect on Relative Price Volatility
    CESifo Working Paper Series, CESifo Group Munich
    Also in Working Papers, Hong Kong Institute for Monetary Research (2006)
19. An Empirical Model of Daily Highs and Lows
    CESifo Working Paper Series, CESifo Group Munich
    Also in Working Papers, Hong Kong Institute for Monetary Research (2006)
    See also Journal Article in International Journal of Finance & Economics (2007)
20. The Illusion of Precision and the Role of the Renminbi in Regional Integration
    Working Papers, Hong Kong Institute for Monetary Research View citations

2005

21. An Output Perspective on a Northeast Asia Currency Union
    Working Papers, Hong Kong Institute for Monetary Research View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2004)
22. Cross-Country Relative Price Volatility: Effects of Market Structure
    Working Papers, Hong Kong Institute for Monetary Research View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) View citations
    See also Journal Article in Review of International Economics (2006)
23. Exchange Rates and Markov Switching Dynamics
    Working Papers, Hong Kong Institute for Monetary Research View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2004) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2005)
24. Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries
    CESifo Working Paper Series, CESifo Group Munich
25. The Chinese Economies in Global Context: The Integration Process and Its Determinants
    Working Papers, Hong Kong Institute for Monetary Research
    Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations
    See also Journal Article in Journal of the Japanese and International Economies (2006)
26. The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit

2004

27. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?
    IMF Working Papers, International Monetary Fund View citations
    Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
    Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations
    See also Journal Article in Journal of International Money and Finance (2005)
28. Exchange Rate Dynamics: Where is the Saddle Path?
    CESifo Working Paper Series, CESifo Group Munich
29. Testing for Output Convergence: A Re-examination
    Working Papers, Hong Kong Institute for Monetary Research View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2000) View citations
    See also Journal Article in Oxford Economic Papers (2004)
30. The Suitability of A Greater China Currency Union
    Working Papers, Hong Kong Institute for Monetary Research View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2004) View citations
    See also Journal Article in Pacific Economic Review (2005)

2003

31. An Analysis of Hong Kong Export Performance
    Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz View citations
    Also in Working Papers, Hong Kong Institute for Monetary Research (2003) View citations
    See also Journal Article in Pacific Economic Review (2005)
32. China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration
    Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz View citations
    Also in Working Papers, Hong Kong Institute for Monetary Research (2003) View citations
    Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations
    CESifo Working Paper Series, CESifo Group Munich (2003)
    See also Journal Article in China Economic Review (2003)
33. Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment
    CESifo Working Paper Series, CESifo Group Munich View citations
    Also in Working Papers, Hong Kong Institute for Monetary Research (2003)
    See also Journal Article in Journal of International Economics (2004)
34. East Asian Equity Markets, Financial Crises, and the Japanese Currency
    Working Papers, Hong Kong Institute for Monetary Research
    See also Journal Article in Journal of the Japanese and International Economies (2007)
35. What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated
    Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2003)
    Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations

2002

36. Effects of U.S. Inflation on Hong Kong and Singapore
    CESifo Working Paper Series, CESifo Group Munich View citations
    Also in Working Papers, Hong Kong Institute for Monetary Research (2001)
    See also Journal Article in Journal of Comparative Economics (2002)

2001

37. Equity Price Dynamics Before and After the Introduction of the Euro
    Discussion Papers in Economics, University of Munich, Department of Economics View citations
38. Equity Price Dynamics Before and After the Introduction of the Euro: A Note
    CESifo Working Paper Series, CESifo Group Munich View citations
39. Hong Kong Output Dynamics: An Empirical Analysis
    CESifo Working Paper Series, CESifo Group Munich
    Also in Working Papers, Hong Kong Institute for Monetary Research (2000)
40. Market Structure, Technology Spillovers, and Persistence in Productivity Differentials
    CESifo Working Paper Series, CESifo Group Munich
    See also Journal Article in The International Journal of Applied Economics (2004)
41. Sectoral Trends and Cycles in Germany
    CESifo Working Paper Series, CESifo Group Munich
    See also Journal Article in Empirical Economics (2003)

2000

42. Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market
    CESifo Working Paper Series, CESifo Group Munich View citations
    See also Journal Article in Journal of International Money and Finance (2001)
43. How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (1999) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations
    See also Journal Article in International Journal of Finance & Economics (2004)
44. Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices
    Working Papers, Lund University, Department of Economics

1999

45. Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
46. Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
47. Market Structure and the Persistence of Sectoral Real Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in International Journal of Finance & Economics (2001)
48. On Cross-Country Differences in the Persistence of Real Exchange Rates
    CESifo Working Paper Series, CESifo Group Munich View citations
    See also Journal Article in Journal of International Economics (2000)
49. Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements
    CESifo Working Paper Series, CESifo Group Munich
    See also Journal Article in Applied Economics (2002)
50. Traders, Market Microstructure and Exchange Rate Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1997

51. Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in International Finance, EconWPA (1995) View citations
    See also Journal Article in Journal of International Money and Finance (1998)

1996

52. Further Investigation of the Uncertain Unit Root in GNP
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Econometrics, EconWPA (1995) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1997)

1995

53. Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis
    Macroeconomics, EconWPA View citations
    See also Journal Article in Oxford Economic Papers (1996)
54. How sensitive are estimated trends to data definitions? Results for East Asian and G-5 countries
    Macroeconomics, EconWPA

1993

55. On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
    Working Papers, Federal Reserve Bank of Philadelphia
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations
    See also Journal Article in Journal of Econometrics (1994)

Undated

56. Should the Nordic Countries Join A European Monetary Union? An Empirical Analysis
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics View citations

Journal Articles

2009

1. A high-low model of daily stock price ranges
   Journal of Forecasting, 2009, 28, (2), 103-119
   See also Working Paper (2009)
2. EMPIRICS OF CHINA'S OUTWARD DIRECT INVESTMENT
   Pacific Economic Review, 2009, 14, (3), 312-341
3. Pitfalls in Measuring Exchange Rate Misalignment
   Open Economies Review, 2009, 20, (2), 183-206

2008

4. Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios
   Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, (15), 1-61
   See also Working Paper (2008)
5. Does the Chinese interest rate follow the US interest rate?
   International Journal of Finance & Economics, 2008, 13, (1), 53-67
   See also Working Paper (2007)
6. Nominal exchange rate flexibility and real exchange rate adjustment: New evidence from dual exchange rates in developing countries
   Japan and the World Economy, 2008, 20, (3), 415-434
   See also Working Paper (2007)

2007

7. An empirical model of daily highs and lows
   International Journal of Finance & Economics, 2007, 12, (1), 1-20 View citations
   See also Working Paper (2006)
8. East Asian equity markets, financial crises, and the Japanese currency
   Journal of the Japanese and International Economies, 2007, 21, (1), 138-152
   See also Working Paper (2003)
9. THE FOG ENCIRCLING THE RENMINBI DEBATE
   The Singapore Economic Review (SER), 2007, 52, (03), 403-418 View citations
10. The overvaluation of Renminbi undervaluation
    Journal of International Money and Finance, 2007, 26, (5), 762-785 View citations
    See also Working Paper (2007)

2006

11. Cross-country Relative Price Volatility: Effects of Market Structure
    Review of International Economics, 2006, 14, (5), 836-848
    See also Working Paper (2005)
12. The Chinese economies in global context: The integration process and its determinants
    Journal of the Japanese and International Economies, 2006, 20, (1), 128-153 View citations
    See also Working Paper (2005)

2005

13. AN ANALYSIS OF HONG KONG EXPORT PERFORMANCE
    Pacific Economic Review, 2005, 10, (3), 323-340 View citations
    See also Working Paper (2003)
14. Dimensions of financial integration in Greater China: money markets, banks and policy effects
    International Journal of Finance & Economics, 2005, 10, (2), 117-132 View citations
15. Empirical exchange rate models of the nineties: Are any fit to survive?
    Journal of International Money and Finance, 2005, 24, (7), 1150-1175 View citations
    See also Working Paper (2004)
16. Exchange Rates and Markov Switching Dynamics
    Journal of Business & Economic Statistics, 2005, 23, 314-320 View citations
    See also Working Paper (2005)
17. RECENT ADVANCES IN INTERNATIONAL FINANCE: INTRODUCTION
    Pacific Economic Review, 2005, 10, (1), 1-3
18. THE SUITABILITY OF A GREATER CHINA CURRENCY UNION
    Pacific Economic Review, 2005, 10, (1), 83-103 View citations
    See also Working Paper (2004)
19. Why the renminbi might be overvalued (but probably isn’t)
    Proceedings, 2005 View citations

2004

20. Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments
    Journal of International Economics, 2004, 64, (1), 135-150 View citations
    See also Working Paper (2003)
21. How do UK-based foreign exchange dealers think their market operates?
    International Journal of Finance & Economics, 2004, 9, (4), 289-306 View citations
    See also Working Paper (2000)
22. Market Structure, Technology Spillovers, and Persistence in Productivity Differentials
    The International Journal of Applied Economics, 2004, 1, (1), 1-23 View citations
    See also Working Paper (2001)
23. Testing for output convergence: a re-examination
    Oxford Economic Papers, 2004, 56, (1), 45-63 View citations
    See also Working Paper (2004)

2003

24. China, Hong Kong, and Taiwan: A quantitative assessment of real and financial integration
    China Economic Review, 2003, 14, (3), 281-303 View citations
    See also Working Paper (2003)
25. Sectoral trends and cycles in Germany
    Empirical Economics, 2003, 28, (1), 141-156
    See also Working Paper (2001)

2002

26. Effects of U.S. Inflation on Hong Kong and Singapore
    Journal of Comparative Economics, 2002, 30, (3), 603-619 View citations
    See also Working Paper (2002)
27. Output Dynamics of the G7 Countries--Stochastic Trends and Cyclical Movements
    Applied Economics, 2002, 34, (18), 2239-47 View citations
    See also Working Paper (1999)

2001

28. A Note on the Power of Money-Output Causality Tests
    Oxford Bulletin of Economics and Statistics, 2001, 63, (2), 247-61 View citations
29. Currency traders and exchange rate dynamics: a survey of the US market
    Journal of International Money and Finance, 2001, 20, (4), 439-471 View citations
    See also Working Paper (2000)
30. Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates
    Journal of International Money and Finance, 2001, 20, (1), 115-132 View citations
31. Market Structure and the Persistence of Sectoral Real Exchange Rates
    International Journal of Finance & Economics, 2001, 6, (2), 95-114 View citations
    See also Working Paper (1999)

2000

32. A survey of market practitioners' views on exchange rate dynamics
    Journal of International Economics, 2000, 51, (2), 401-419 View citations
33. Does Austria Respond to the German or the US Business Cycle?
    International Journal of Finance & Economics, 2000, 5, (1), 33-42 View citations
34. On cross-country differences in the persistence of real exchange rates
    Journal of International Economics, 2000, 50, (2), 375-397 View citations
    See also Working Paper (1999)
35. On the purchasing power parity puzzle
    Journal of International Economics, 2000, 52, (2), 321-330 View citations
36. Which Measure of Aggregate Output Should We Use?
    Journal of Macroeconomics, 2000, 22, (2), 253-269

1999

37. An analysis of German effects on the Austrian business cycle
    Review of World Economics (Weltwirtschaftliches Archiv), 1999, 135, (3), 522-531 View citations
38. Macroeconomic Determinants of Long-Term Stock Market Comovements among Major EMS Countries
    Applied Financial Economics, 1999, 9, (1), 73-85 View citations

1998

39. A comparison of learning and replicator dynamics using experimental data
    Journal of Economic Behavior & Organization, 1998, 35, (3), 263-280 View citations
40. Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 61-76 View citations
41. Integration, cointegration and the forecast consistency of structural exchange rate models
    Journal of International Money and Finance, 1998, 17, (5), 813-830 View citations
    See also Working Paper (1997)
42. International evidence on the stock market and aggregate economic activity
    Journal of Empirical Finance, 1998, 5, (3), 281-296 View citations
43. Parity reversion in real exchange rates during the post-Bretton Woods period
    Journal of International Money and Finance, 1998, 17, (4), 597-614 View citations

1997

44. Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
    Econometric Theory, 1997, 13, (05), 679-691 View citations
45. Common Predictable Components in Regional Stock Markets
    Journal of Business & Economic Statistics, 1997, 15, (1), 35-42 View citations
46. Further Investigation of the Uncertain Unit Root in GNP
    Journal of Business & Economic Statistics, 1997, 15, (1), 68-73 View citations
    See also Working Paper (1996)
47. Individual Learning in Normal Form Games: Some Laboratory Results
    Games and Economic Behavior, 1997, 19, (1), 46-76 View citations
48. What are the global sources of rational variation in international equity returns?
    Journal of International Money and Finance, 1997, 16, (6), 821-836 View citations

1996

49. A causality-in-variance test and its application to financial market prices
    Journal of Econometrics, 1996, 72, (1-2), 33-48 View citations
50. Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis
    Oxford Economic Papers, 1996, 48, (1), 134-62 View citations
    See also Working Paper (1995)
51. International economics: Peter H. Lindert and Thomas A. Pugel
    The North American Journal of Economics and Finance, 1996, 7, (2), 231-232
52. Stock Market Volatility and Fractional Integration
    International Journal of Finance & Economics, 1996, 1, (4), 263-73

1995

53. A search for long memory in international stock market returns
    Journal of International Money and Finance, 1995, 14, (4), 597-615 View citations
54. Endogeneity bias in beta estimation: Thailand and Hong Kong
    Pacific-Basin Finance Journal, 1995, 3, (1), 145-145
55. How Sensitive Are Trends to Data Definitions? Results for East Asian and G5 Countries
    Applied Economics Letters, 1995, 2, (1), 1-6 View citations
56. Lag Order and Critical Values of a Modified Dickey-Fuller Test
    Oxford Bulletin of Economics and Statistics, 1995, 57, (3), 411-19 View citations
57. Lag Order and Critical Values of the Augmented Dickey-Fuller Test
    Journal of Business & Economic Statistics, 1995, 13, (3), 277-80 View citations
58. Pacific-Basin stock markets and real activity
    Pacific-Basin Finance Journal, 1995, 3, (1), 143-143 View citations
    Also in Pacific-Basin Finance Journal, 1994, 2, (2-3), 349-373 (1994) View citations
59. Purchasing power parity under the European Monetary System
    Journal of International Money and Finance, 1995, 14, (2), 179-189 View citations

1994

60. Aggregate output dynamics in the twentieth century
    Economics Letters, 1994, 45, (1), 15-22 View citations
61. Mean reversion in real exchange rates
    Economics Letters, 1994, 46, (3), 251-256 View citations
62. On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
    Journal of Econometrics, 1994, 62, (2), 301-316 View citations
    See also Working Paper (1993)

1993

63. A Fractional Cointegration Analysis of Purchasing Power Parity
    Journal of Business & Economic Statistics, 1993, 11, (1), 103-12 View citations
64. Do Gold Market Returns Have Long Memory?
    The Financial Review, 1993, 28, (2), 181-202 View citations
65. Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration
    Oxford Bulletin of Economics and Statistics, 1993, 55, (3), 313-28 View citations
66. Long Memory in Foreign-Exchange Rates
    Journal of Business & Economic Statistics, 1993, 11, (1), 93-101 View citations
67. Long-run purchasing power parity during the recent float
    Journal of International Economics, 1993, 34, (1-2), 181-192 View citations

1992

68. International evidence on output persistence from postwar data
    Economics Letters, 1992, 38, (4), 435-441 View citations
69. Stock Price Dynamics and Firm Size: An Empirical Investigation
    Journal of Finance, 1992, 47, (5), 1985-97

Editor

1. Pacific Economic Review
   Blackwell Publishing