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Details about Richard K. Lyons

E-mail:
Homepage:http://faculty.haas.berkeley.edu/lyons/
Workplace:Walter A. Haas School of Business, University of California-Berkeley, (more information at EDIRC)
Economic Analysis & Policy Group (EAP), Walter A. Haas School of Business, University of California-Berkeley, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Richard K. Lyons.

Last updated 2009-06-08. Update your information in the RePEc Author Service.

Short-id: ply9


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Working Papers

2007

  1. Exchange Rate Fundamentals and Order Flow
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)

2005

  1. A New Micro Model of Exchange Rate Dynamics (March 2004)
    Working Papers, Georgetown University, Department of Economics Downloads View citations (3)
  2. An Information Approach to International Currencies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
  3. Do Currency Markets Absorb News Quickly?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article in Journal of International Money and Finance (2005)
  4. Exchange Rate Fundamentals and Order Flow (July 2004)
    Working Papers, Georgetown University, Department of Economics Downloads View citations (4)
  5. How is Macro News Transmitted to Exchange Rates? (December 2003)
    Working Papers, Georgetown University, Department of Economics Downloads View citations (1)
  6. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    Also in Working Papers, Georgetown University, Department of Economics (2005) Downloads View citations (25)

    See also Journal Article in American Economic Review (2005)
  7. Understanding Order Flow
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article in International Journal of Finance & Economics (2006)

2004

  1. A New Micro Model of Exchange Rate Dynamics
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (31)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (39)

2003

  1. Are Different-Currency Assets Imperfect Substitutes?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)
  2. How is Macro News Transmitted to Exchange Rates?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (75)
    See also Journal Article in Journal of Financial Economics (2008)
  3. Inventory Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    See also Journal Article in The Journal of Business (2006)

2001

  1. Fixed versus Flexible: Lessons from EMS Order Flow
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)
    See also Journal Article in Journal of International Money and Finance (2006)
  2. Mutual fund investment in emerging markets - an overview
    Policy Research Working Paper Series, The World Bank Downloads View citations (50)
  3. Portfolio Balance, Price Impact, and Secret Intervention
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)

2000

  1. Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in Policy Research Working Paper Series, The World Bank (2000) Downloads View citations (28)

    See also Journal Article in Journal of International Economics (2004)

1999

  1. Order Flow and Exchange Rate Dynamics
    Research Program in Finance Working Papers, University of California at Berkeley Downloads View citations (46)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (59)

    See also Journal Article in Journal of Political Economy (2002)

1998

  1. Search Costs: The Neglected Spread Component
    Research Program in Finance Working Papers, University of California at Berkeley Downloads View citations (7)

1997

  1. Is There Private Information in the FX Market? The Tokyo Experiment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working Papers, University of California at Berkeley, Haas School of Business (1996) Downloads View citations (11)
    Working Papers, Economisch Institut voor het Midden en Kleinbedrijf- (1997) View citations (3)
    Research Program in Finance Working Papers, University of California at Berkeley (1997) Downloads View citations (8)
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco (1997) Downloads View citations (18)

    See also Journal Article in Journal of Finance (1998)
  2. Profits and Position Control: A Week of FX Dealing
    Research Program in Finance Working Papers, University of California at Berkeley Downloads View citations (7)

1995

  1. Explaining Forward Exchange Bias...Intraday
    Research Program in Finance Working Papers, University of California at Berkeley
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1994) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) Downloads View citations (1)

    See also Journal Article in Journal of Finance (1995)
  2. Foreign Exchange Volume: Sound and Fury Signifying Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1995) View citations (15)

    See also Chapter (1996)
  3. Options and the Currency Risk Premium
    Working Papers, University of California at Berkeley, Haas School of Business Downloads

1993

  1. Optimal Transparency in a Dealership Market with an Application to Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1993) View citations (4)
  2. Tests of Microstructural Hypotheses in the Foreign Exchange Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1993) View citations (9)

    See also Journal Article in Journal of Financial Economics (1995)

1991

  1. Exchange Rate Hysteresis: Large Versus Small Policy Misalignments
    Working Papers, Columbia - Graduate School of Business View citations (3)
    See also Journal Article in European Economic Review (1994)
  2. External Effects in U.S. Procyclical Productivity
    Working Papers, Columbia - Graduate School of Business
    See also Journal Article in Journal of Monetary Economics (1992)
  3. Floating Exchange Rates in Peru, 1950-54
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  4. Private Beliefs and Information Externalities in the Foreign Exchange Market
    Working Papers, Columbia - Graduate School of Business View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (14)
  5. Short and Long Run Externalities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Working Papers, Columbia - Graduate School of Business (1991) View citations (13)
  6. Some Evidence of Productivity Linkages in Manufacturing
    Working Papers, Columbia - Graduate School of Business View citations (2)
  7. Sourcing Externalities
    Discussion Papers, Columbia University, Department of Economics
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1991)

1990

  1. EXTERNAL EFFECTS AND EUROPE'S INTEGRATION
    Discussion Papers, Columbia University, Department of Economics
  2. EXTERNALITIES AND CYCLICAL FACTOR PRODUCTIVITY
    Discussion Papers, Columbia University, Department of Economics
  3. External Economies and European Integration: The Potential for Self-fulfilling Expectations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)

1989

  1. Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. INTERNAL VERSUS EXTERNAL ECONOMIES IN EUROPEAN INDUSTRY
    Discussion Papers, Columbia University, Department of Economics
    See also Journal Article in European Economic Review (1990)
  3. THE ROLE OF EXTERNAL ECONOMIES IN U.S. MANUFACTURING
    Discussion Papers, Columbia University, Department of Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (33)

1988

  1. The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

1986

  1. Tests of the foreign exchange risk premium using the expected second moments implied by option pricing
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (1988)

Journal Articles

2008

  1. How is macro news transmitted to exchange rates?
    Journal of Financial Economics, 2008, 88, (1), 26-50 Downloads View citations (49)
    See also Working Paper (2003)

2006

  1. Fixed versus flexible: Lessons from EMS order flow
    Journal of International Money and Finance, 2006, 25, (4), 551-579 Downloads View citations (46)
    See also Working Paper (2001)
  2. Inventory Information
    The Journal of Business, 2006, 79, (1), 325-364 Downloads View citations (19)
    See also Working Paper (2003)
  3. Understanding order flow
    International Journal of Finance & Economics, 2006, 11, (1), 3-23 Downloads View citations (20)
    See also Working Paper (2005)

2005

  1. Do currency markets absorb news quickly?
    Journal of International Money and Finance, 2005, 24, (2), 197-217 Downloads View citations (34)
    See also Working Paper (2005)
  2. Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting
    American Economic Review, 2005, 95, (2), 405-414 Downloads View citations (58)
    See also Working Paper (2005)

2004

  1. Managers, investors, and crises: mutual fund strategies in emerging markets
    Journal of International Economics, 2004, 64, (1), 113-134 Downloads View citations (61)
    See also Working Paper (2000)

2003

  1. Explaining and Forecasting Exchange Rates with Order Flows
    Economie Internationale, 2003, (96), 107-127 Downloads

2002

  1. Foreign exchange: macro puzzles, micro tools
    Economic Review, 2002, 51-69 Downloads View citations (3)
  2. Informational integration and FX trading
    Journal of International Money and Finance, 2002, 21, (6), 807-831 Downloads View citations (40)
  3. Order Flow and Exchange Rate Dynamics
    Journal of Political Economy, 2002, 110, (1), 170-180 Downloads View citations (343)
    See also Working Paper (1999)
  4. Theoretical perspective on euro liquidity
    Economic Policy, 2002, 17, (35), 571-597 Downloads View citations (4)
  5. Time-varying liquidity in foreign exchange
    Journal of Monetary Economics, 2002, 49, (5), 1025-1051 Downloads View citations (34)

2001

  1. New Perspective on FX Markets: Order-Flow Analysis
    International Finance, 2001, 4, (2), 303-20 Downloads View citations (2)

1998

  1. Introduction to the international market microstructure issue
    Journal of International Financial Markets, Institutions and Money, 1998, 8, (3-4), 219-223 Downloads
  2. Is There Private Information in the FX Market? The Tokyo Experiment
    Journal of Finance, 1998, 53, (3), 1111-1130 Downloads View citations (83)
    See also Working Paper (1997)
  3. Profits and position control: a week of FX dealing1
    Journal of International Money and Finance, 1998, 17, (1), 97-115 Downloads View citations (17)

1997

  1. A simultaneous trade model of the foreign exchange hot potato
    Journal of International Economics, 1997, 42, (3-4), 275-298 Downloads View citations (100)
  2. Explaining trading volume in foreign exchange: lessons from Tokyo
    FRBSF Economic Letter, 1997, (dec.26) Downloads

1996

  1. Optimal Transparency in a Dealer Market with an Application to Foreign Exchange
    Journal of Financial Intermediation, 1996, 5, (3), 225-254 Downloads View citations (20)

1995

  1. Explaining Forward Exchange Bias... Intraday
    Journal of Finance, 1995, 50, (4), 1321-29 Downloads View citations (2)
    See also Working Paper (1995)
  2. Tests of microstructural hypotheses in the foreign exchange market
    Journal of Financial Economics, 1995, 39, (2-3), 321-351 Downloads View citations (190)
    See also Working Paper (1993)

1994

  1. Customer- and Supplier-Driven Externalities
    American Economic Review, 1994, 84, (4), 1075-84 Downloads View citations (75)
  2. Exchange rate hysteresis? Large versus small policy misalignments
    European Economic Review, 1994, 38, (1), 1-22 Downloads View citations (11)
    See also Working Paper (1991)

1992

  1. External effects in U.S. procyclical productivity
    Journal of Monetary Economics, 1992, 29, (2), 209-225 Downloads View citations (108)
    See also Working Paper (1991)
  2. Floating exchange rates in Peru, 1950-1954
    Journal of Development Economics, 1992, 38, (1), 99-118 Downloads View citations (2)

1990

  1. Internal versus external economies in European industry
    European Economic Review, 1990, 34, (4), 805-826 Downloads View citations (75)
    See also Working Paper (1989)
  2. Whence exchange rate overshooting: Money stock or flow?
    Journal of International Economics, 1990, 29, (3-4), 369-384 Downloads View citations (5)

1988

  1. Tests of the foreign exchange risk premium using the expected second moments implied by option pricing
    Journal of International Money and Finance, 1988, 7, (1), 91-108 Downloads View citations (11)
    See also Working Paper (1986)

Books

2006

  1. The Microstructure Approach to Exchange Rates, vol 1
    MIT Press Books, The MIT Press View citations (86)

Chapters

1996

  1. Foreign Exchange Volume: Sound and Fury Signifying Nothing?
    A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 183-208 Downloads View citations (33)
    See also Working Paper (1995)
 
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