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Details about Mark P. Taylor

E-mail:
Homepage:http://www.wbs.ac.uk/about/governance/dean.cfm
Phone:+44-2476-524-534
Postal address:Dean's Office Warwick Business School University of Warwick Coventry CV4 7AL United Kingdom
Workplace:Centre for Economic Policy Research (CEPR), (more information at EDIRC)
Warwick Business School, University of Warwick, (more information at EDIRC)

Access statistics for papers by Mark P. Taylor.

Last updated 2013-07-04. Update your information in the RePEc Author Service.

Short-id: pta36


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Working Papers

2010

  1. On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads
    See also Journal Article in The Economic Record (2011)

2009

  1. Bank of England Interest Rate Announcements and the Foreign Exchange Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (9)
  2. Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2009) Downloads View citations (2)
  3. The Crisis in the Foreign Exchange Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (91)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (89)

    See also Journal Article in Journal of International Money and Finance (2009)
  4. The Effects of Japanese Interventions on FX-Forecast Heterogeneity
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Letters (2010)

2008

  1. Threshold adjustment in deviations from the law of one price
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (20)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)

2007

  1. End-user order flow and exchange rate dynamics
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads View citations (15)
  2. The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads View citations (1)

2006

  1. Are There Thresholds of Current Account Adjustment in the G7?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    See also Chapter (2007)
  2. International Liquidity Swaps: Is the Chiang Mai Initiative Pooling Reserves Efficiently ?
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (2)
    See also Journal Article in International Journal of Finance & Economics (2008)
  3. Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (7)
    See also Journal Article in Economic Journal (2008)
  4. Regional Vulnerability: The Case of East Asia
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    See also Journal Article in Journal of International Money and Finance (2007)
  5. The Coordination Channel of Foreign Exchange Intervention
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (7)
  6. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (11)
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2006) Downloads View citations (4)

    See also Journal Article in Journal of Economic Literature (2007)
  7. The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads View citations (21)
    See also Journal Article in European Economic Review (2008)

2005

  1. A Cross-Country Financial Accelerator: Evidence from North America and Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2005) Downloads

    See also Journal Article in Journal of International Money and Finance (2007)
  2. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, Warwick Business School, Finance Group (2004) Downloads View citations (2)

    See also Journal Article in The Journal of Business (2006)

2004

  1. International Capital Crunches: The Time-Varying Role Of Informational Asymmetries
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads View citations (4)
    Also in IMF Working Papers, International Monetary Fund (2002) Downloads View citations (18)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (1)

    See also Journal Article in Applied Economics (2013)
  2. THE PURCHASING POWER PARITY DEBATE
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (233)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (355)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (351)

    See also Journal Article in Journal of Economic Perspectives (2004)
  3. The Term Structure Of Euromarket Interest Rates: Some New Evidence
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads

2003

  1. Common Vulnerabilities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
  2. Is Official Exchange Rate Intervention Effective?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in Economica (2004)

2002

  1. Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in Journal of International Money and Finance (2004)
  2. Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  3. Nonlinear Permanent -Temporary Decompositions in Macroeconomics and Finance
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (1)
    See also Journal Article in Economic Journal (2003)
  4. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (38)

    See also Journal Article in Journal of International Economics (2003)

2001

  1. Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (421)
    See also Journal Article in International Economic Review (2001)
  2. Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (299)
    See also Journal Article in Journal of Economic Literature (2001)
  3. Purchasing Power Parity and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    See also Journal Article in IMF Staff Papers (2002)
  4. Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?
    Working Papers, Research Seminar in International Economics, University of Michigan Downloads View citations (40)
    Also in Working Paper Series, European Central Bank (2001) Downloads View citations (41)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (41)

    See also Journal Article in Journal of International Economics (2003)

2000

  1. From the dark end of the street to the bright side of the road? investigating the returns to residential mobility in Britain
    ISER Working Paper Series, Institute for Social and Economic Research Downloads View citations (1)

1999

  1. The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

1997

  1. The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (28)
    See also Journal Article in Journal of International Economics (1998)

1994

  1. Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies
    IMF Working Papers, International Monetary Fund Downloads View citations (44)
  2. The Empirics of Economic Growth in Previously Centrally Planned Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)

1993

  1. Deer Hunting; Misalignment, Debt Accumulation, and Desired Equilibrium Exchange Rates
    IMF Working Papers, International Monetary Fund Downloads View citations (11)
  2. The Stabilizing Effect of the ERMon Exchange Rates and Interest Rates; An Empirical Investigation
    IMF Working Papers, International Monetary Fund Downloads View citations (9)
  3. The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) Downloads View citations (4)

1992

  1. Common Currency Areas and Currency Unions: An Analysis of the Issues
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (35)
  2. Exchange Rates, Country Preferences, and Gold
    IMF Working Papers, International Monetary Fund Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (1)
  3. Macroeconomic Shocks, the ERM, and Tri-Polarity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in The Review of Economics and Statistics (1995)
  4. Policy Issues in the Evolving International Monetary System
    IMF Occasional Papers, International Monetary Fund Downloads View citations (2)
  5. The Monetary Approach to the Exchange Rate; Rational Expectations, Long-Run Equilibrium and Forecasting
    IMF Working Papers, International Monetary Fund Downloads View citations (14)
    See also Journal Article in IMF Staff Papers (1993)

1991

  1. Exchange Rate Economics; A Survey
    IMF Working Papers, International Monetary Fund Downloads View citations (55)
    See also Journal Article in IMF Staff Papers (1992)
  2. Intervention, Interest Rates, and Charts; Three Essays in International Finance
    IMF Working Papers, International Monetary Fund Downloads View citations (4)
  3. Modelling the Yield Curve
    IMF Working Papers, International Monetary Fund Downloads
    See also Journal Article in Economic Journal (1992)
  4. Testing for Credibility Effects
    IMF Working Papers, International Monetary Fund Downloads View citations (12)
    See also Journal Article in IMF Staff Papers (1992)
  5. The Demand for Money During High Inflation Episodes; Some Latin American Evidenceon the Cagan Model
    IMF Working Papers, International Monetary Fund Downloads View citations (1)

1990

  1. Exchange Rates, Policy Convergence and the European Monetary System
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Dundee Discussion Papers in Economics, Economic Studies, University of Dundee

    See also Journal Article in The Review of Economics and Statistics (1991)
  2. Long-Run Purchasing Power Parity and the Dollar-Sterling Exchange Rate in the 1920's
    IMF Working Papers, International Monetary Fund Downloads
  3. The Hyperinflation Model of Money Demand Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Money, Credit and Banking (1991)

1989

  1. Abolishing Exchange Control: The UK Experience
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
  2. Charts, Noise and Fundamentals: A Study of the London Foreign Exchange Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)

1988

  1. Covered Interest Arbitrage and Market Turbulence: An Empirical Analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Exchange Rates and the EMS: Assessing the Track Record
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

Undated

  1. AN EMPIRICAL ANALYSIS OF LONG-RUN PURCHASING POWER PARITY AS A THEORY OF INTERNATIONAL COMMODITY ARBITRAGE
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
  2. European Capital Flows and Regional Risk
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Manchester School (1999)
  3. Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
  4. Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Economics Letters (1998)
  5. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Journal of Macroeconomics (1998)
  6. SOME 'NEWS' ON COVERED INTEREST ARBITRAGE
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
  7. Saving-Investment Correlations: Transitory versus Permanent
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in The Manchester School of Economic & Social Studies (1998)

Journal Articles

2013

  1. International capital crunches: the time-varying role of informational asymmetries
    Applied Economics, 2013, 45, (20), 2961-2973 Downloads View citations (1)
    See also Working Paper (2004)

2012

  1. FX intervention in the Yen-US dollar market: a coordination channel perspective
    International Economics and Economic Policy, 2012, 9, (2), 111-128 Downloads View citations (5)
  2. How the UK economy weathered the financial storm
    Journal of International Money and Finance, 2012, 31, (1), 102-123 Downloads View citations (4)
  3. Large Datasets, Factor‐augmented and Factor‐only Vector Autoregressive Models, and the Economic Consequences of Mrs Thatcher
    Economica, 2012, 79, (314), 378-410 Downloads View citations (8)

2011

  1. End-user order flow and exchange rate dynamics - a dealer's perspective
    The European Journal of Finance, 2011, 17, (2), 153-168 Downloads View citations (4)
  2. Financial capability and psychological health
    Journal of Economic Psychology, 2011, 32, (5), 710-723 Downloads View citations (10)
  3. On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates
    The Economic Record, 2011, 87, (278), 465-479 Downloads View citations (2)
    See also Working Paper (2010)
  4. Special issue in honour of Clive Granger
    Applied Financial Economics, 2011, 21, (1-2), 1-2 Downloads
  5. The applied economics of industry: introduction and overview
    Applied Economics, 2011, 43, (22), 2863-2864 Downloads
  6. The applied economics of labour: introduction and overview
    Applied Economics, 2011, 43, (4), 387-388 Downloads
  7. The applied economics of trade: introduction and overview
    Applied Economics, 2011, 43, (13), 1565-1566 Downloads

2010

  1. Introduction to Applied Financial Economics Volume 20, 2010
    Applied Financial Economics, 2010, 20, (1-2), 1-1 Downloads
  2. The effects of Japanese interventions on FX-forecast heterogeneity
    Economics Letters, 2010, 108, (1), 62-64 Downloads View citations (3)
    See also Working Paper (2009)
  3. The global financial crisis: introduction and overview
    Applied Financial Economics, 2010, 20, (1-2), 3-5 Downloads

2009

  1. Editorial: Long-run purchasing power parity and real exchange rates: introduction and overview
    Applied Economics Letters, 2009, 16, (1), 1-4 Downloads View citations (2)
  2. The applied economics of agriculture: introduction and overview
    Applied Economics, 2009, 41, (1), 1-3 Downloads
  3. The applied economics of economic growth: introduction and overview
    Applied Economics, 2009, 41, (13), 1575-1577 Downloads
  4. The applied economics of employment: introduction and overview
    Applied Economics, 2009, 41, (19), 2385-2387 Downloads
  5. The applied economics of fiscal policy: introduction and overview
    Applied Economics, 2009, 41, (7), 811-813 Downloads
  6. The applied economics of health: introduction and overview
    Applied Economics, 2009, 41, (4), 413-415 Downloads
  7. The applied economics of monetary policy: introduction and overview
    Applied Economics, 2009, 41, (16), 1991-1993 Downloads
  8. The applied economics of money and inflation: introduction and overview
    Applied Economics, 2009, 41, (10), 1199-1201 Downloads View citations (1)
  9. The applied economics of sport: introduction and overview
    Applied Economics, 2009, 41, (25), 3189-3191 Downloads
  10. The applied economics of transport: introduction and overview
    Applied Economics, 2009, 41, (22), 2789-2791 Downloads
  11. The crisis in the foreign exchange market
    Journal of International Money and Finance, 2009, 28, (8), 1317-1330 Downloads View citations (95)
    See also Working Paper (2009)
  12. The global financial crisis: Causes, threats and opportunities. Introduction and overview
    Journal of International Money and Finance, 2009, 28, (8), 1243-1245 Downloads View citations (5)

2008

  1. Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"
    Journal of Money, Credit and Banking, 2008, 40, (4), 583-625 Downloads View citations (37)
  2. International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?
    International Journal of Finance & Economics, 2008, 13, (4), 323-332 Downloads View citations (5)
    See also Working Paper (2006)
  3. Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?
    Economic Journal, 2008, 118, (532), 1742-1763 Downloads View citations (65)
    See also Working Paper (2006)
  4. The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis
    European Economic Review, 2008, 52, (1), 55-76 Downloads View citations (56)
    See also Working Paper (2006)
  5. Threshold Adjustment of Deviations from the Law of One Price
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-46 Downloads View citations (31)
    See also Working Paper (2008)

2007

  1. A cross-country financial accelerator: Evidence from North America and Europe
    Journal of International Money and Finance, 2007, 26, (1), 149-165 Downloads View citations (10)
    See also Working Paper (2005)
  2. Exchange rate intervention
    International Journal of Finance & Economics, 2007, 12, (2), 107-108 Downloads View citations (15)
  3. Regional vulnerability: The case of East Asia
    Journal of International Money and Finance, 2007, 26, (8), 1292-1310 Downloads View citations (10)
    See also Working Paper (2006)
  4. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis
    Journal of Economic Literature, 2007, 45, (4), 936-972 Downloads View citations (115)
    See also Working Paper (2006)

2006

  1. Aspects of foreign exchange market microstructure: editors' introduction
    International Journal of Finance & Economics, 2006, 11, (1), 1-2 Downloads
  2. Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (4), 1-20 Downloads View citations (32)
  3. Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought
    Applied Financial Economics, 2006, 16, (1-2), 1-17 Downloads View citations (75)
  4. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    The Journal of Business, 2006, 79, (3), 1193-1224 Downloads View citations (47)
    See also Working Paper (2005)
  5. Under the microscope: the structure of the foreign exchange market
    International Journal of Finance & Economics, 2006, 11, (1), 81-95 Downloads View citations (56)

2005

  1. OFFICIAL FOREIGN EXCHANGE INTERVENTION AS A COORDINATING SIGNAL IN THE DOLLAR-YEN MARKET
    Pacific Economic Review, 2005, 10, (1), 73-82 Downloads View citations (22)
  2. Purchasing power parity and the theory of general relativity: the first tests
    Journal of International Money and Finance, 2005, 24, (2), 293-316 Downloads View citations (37)

2004

  1. Asymmetric Arbitrage and Default Premiums Between the U.S. and Russian Financial Markets
    IMF Staff Papers, 2004, 51, (2), 3 Downloads View citations (7)
  2. Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification
    International Journal of Finance & Economics, 2004, 9, (3), 229-244 Downloads View citations (6)
  3. Financial predictors of real activity and the financial accelerator
    Economics Letters, 2004, 82, (2), 167-172 Downloads View citations (37)
  4. International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
    International Journal of Finance & Economics, 2004, 9, (1), 15-23 Downloads View citations (20)
  5. Is Official Exchange Rate Intervention Effective?
    Economica, 2004, 71, 1-11 Downloads View citations (76)
    See also Working Paper (2003)
  6. Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study
    Journal of International Money and Finance, 2004, 23, (1), 1-25 Downloads View citations (133)
    See also Working Paper (2002)
  7. The Purchasing Power Parity Debate
    Journal of Economic Perspectives, 2004, 18, (4), 135-158 Downloads View citations (355)
    See also Working Paper (2004)
  8. The impact of European Central Bank Governing Council announcements on the foreign exchange market: a microstructural analysis
    Journal of International Money and Finance, 2004, 23, (7-8), 1043-1051 Downloads View citations (26)

2003

  1. An empirical investigation of asset price bubbles in Latin American emerging financial markets
    Applied Financial Economics, 2003, 13, (9), 635-643 Downloads View citations (14)
  2. Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997
    Journal of Money, Credit and Banking, 2003, 35, (5), 787-99 View citations (11)
  3. Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance
    Economic Journal, 2003, 113, (486), C125-C139 Downloads View citations (12)
    See also Working Paper (2002)
  4. Purchasing Power Parity
    Review of International Economics, 2003, 11, (3), 436-452 Downloads View citations (113)
  5. The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States
    IMF Staff Papers, 2003, 50, (3), 3 Downloads View citations (43)
  6. The out-of-sample success of term structure models as exchange rate predictors: a step beyond
    Journal of International Economics, 2003, 60, (1), 61-83 Downloads View citations (107)
    See also Working Paper (2002)
  7. Why is it so difficult to beat the random walk forecast of exchange rates?
    Journal of International Economics, 2003, 60, (1), 85-107 Downloads View citations (346)
    See also Working Paper (2001)

2002

  1. Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture
    Journal of Money, Credit and Banking, 2002, 34, (1), 51-75 View citations (49)
  2. Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks
    Southern Economic Journal, 2002, 69, (2), 345-362 View citations (10)
  3. Purchasing Power Parity and the Real Exchange Rate
    IMF Staff Papers, 2002, 49, (1), 5 Downloads View citations (147)
    See also Working Paper (2001)
  4. The stock return-inflation puzzle revisited
    Economics Letters, 2002, 75, (2), 147-156 Downloads View citations (26)

2001

  1. Forecasting capital flows to emerging markets: a Kalman filtering approach
    Applied Financial Economics, 2001, 11, (6), 581-589 Downloads View citations (4)
  2. Modelling Fundamentals for Forecasting Capital Flows to Emerging Markets
    International Journal of Finance & Economics, 2001, 6, (3), 201-16 Downloads View citations (24)
  3. Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles
    International Economic Review, 2001, 42, (4), 1015-42 View citations (356)
    See also Working Paper (2001)
  4. Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?
    Journal of Economic Literature, 2001, 39, (3), 839-868 Downloads View citations (373)
    See also Working Paper (2001)
  5. On the mean-reverting properties of target zone exchange rates: a cautionary note
    Economics Letters, 2001, 71, (1), 117-129 Downloads View citations (18)
  6. Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-26 Downloads View citations (22)
  7. Risky Arbitrage, Limits of Arbitrage, and Nonlinear Adjustment in the Dividend-Price Ratio
    Economic Inquiry, 2001, 39, (4), 524-36 View citations (27)

2000

  1. Measuring the temporary component of stock prices: robust multivariate analysis
    Economics Letters, 2000, 67, (2), 193-200 Downloads View citations (5)
  2. Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals
    Journal of International Money and Finance, 2000, 19, (1), 33-53 Downloads View citations (227)
  3. Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
    Empirical Economics, 2000, 25, (2), 351-368 Downloads View citations (8)
  4. Purchasing power parity over two centuries: strengthening the case for real exchange rate stability: A reply to Cuddington and Liang
    Journal of International Money and Finance, 2000, 19, (5), 759-764 Downloads View citations (41)
  5. Taking Stock of EMU: Editorial
    Journal of Common Market Studies, 2000, 38, (4), 557-561 Downloads

1999

  1. Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon
    Économie et Prévision, 1999, 140, (4), 117-131 Downloads
  2. Editorial
    Applied Economics, 1999, 31, (1), 1-1 Downloads
  3. Estimating growth equations for previously centrally planned economies: Dealing with dubious data and disparate information
    Journal of Macroeconomics, 1999, 21, (4), 639-671 Downloads View citations (6)
  4. European Capital Flows and Regional Risk
    Manchester School, 1999, 67, (1), 21-38 Downloads View citations (5)
    See also Working Paper
  5. Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation
    Journal of Development Economics, 1999, 59, (2), 337-364 Downloads View citations (98)
  6. Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests
    Journal of International Money and Finance, 1999, 18, (4), 637-657 Downloads View citations (61)
  7. Real Interest Rates and Macroeconomic Activity
    Oxford Review of Economic Policy, 1999, 15, (2), 95-113 View citations (17)
  8. The Target Zone Model, Non-linearity and Mean Reversion: Is the Honeymoon Really Over?
    Economic Journal, 1999, 109, (454), C96-110 Downloads View citations (11)

1998

  1. Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation
    Review of World Economics (Weltwirtschaftliches Archiv), 1998, 134, (1), 69-98 Downloads View citations (14)
  2. Periodically collapsing stock price bubbles: a robust test
    Economics Letters, 1998, 61, (2), 221-228 Downloads View citations (30)
  3. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K
    Journal of Macroeconomics, 1998, 20, (2), 221-242 Downloads View citations (20)
    See also Working Paper
  4. Real exchange rates under the recent float: unequivocal evidence of mean reversion
    Economics Letters, 1998, 60, (2), 131-137 Downloads View citations (69)
    See also Working Paper
  5. Regulatory Uncertainty and the Volatility of Regional Electricity Company Share Prices: The Economic Consequences of Professor Littlechild
    Bulletin of Economic Research, 1998, 50, (1), 37-46 View citations (2)
  6. Savings-Investment Correlations: Transitory versus Permanent
    The Manchester School of Economic & Social Studies, 1998, 66, 17-38 View citations (8)
    See also Working Paper
  7. The behavior of real exchange rates during the post-Bretton Woods period
    Journal of International Economics, 1998, 46, (2), 281-312 Downloads View citations (269)
    See also Working Paper (1997)
  8. The slope of the yield curve and real economic activity: tracing the transmission mechanism
    Economics Letters, 1998, 59, (3), 353-360 Downloads View citations (11)

1997

  1. Ajustement non linéaire vers le taux de change d'équilibre à long terme. Le modèle monétaire revisité
    Revue Économique, 1997, 48, (3), 653-659 Downloads View citations (2)
  2. Capital Flows to Developing Countries: Long- and Short-Term Determinants
    World Bank Economic Review, 1997, 11, (3), 451-70 View citations (83)
  3. Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison
    Scottish Journal of Political Economy, 1997, 44, (5), 566-82 Downloads View citations (2)
  4. Real exchange rate behavior
    Journal of International Money and Finance, 1997, 16, (6), 945-954 Downloads View citations (77)
  5. Special Issue on Technical Analysis and Financial Markets: Editor's Introduction
    International Journal of Finance & Economics, 1997, 2, (4), 263-66 Downloads View citations (1)
  6. The Term Structure Of Forward Exchange Premiums And The Forecastability Of Spot Exchange Rates: Correcting The Errors
    The Review of Economics and Statistics, 1997, 79, (3), 353-361 Downloads View citations (74)

1996

  1. Prévision du taux de change dollar canadien contre dollar américain: une approche en termes de "fondamentaux"
    Économie et Prévision, 1996, 123, (2), 45-51 Downloads
  2. Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries
    Journal of Political Economy, 1996, 104, (3), 488-509 Downloads View citations (367)

1995

  1. Macro-economic Shocks, the ERM, and Tri-polarity
    The Review of Economics and Statistics, 1995, 77, (2), 321-31 Downloads View citations (4)
    See also Working Paper (1992)
  2. Sand in the Wheels of Foreign Exchange Markets: A Sceptical Note
    Economic Journal, 1995, 105, (428), 173-80 Downloads View citations (32)
  3. The Economics of Exchange Rates
    Journal of Economic Literature, 1995, 33, (1), 13-47 Downloads View citations (339)

1994

  1. On the Reinterpretation of Money Demand Regressions
    Journal of Money, Credit and Banking, 1994, 26, (4), 851-66 Downloads View citations (4)
  2. The Stabilizing Effect of the ERM on Exchange Rates and Interest Rates: Some Nonparametric Tests
    IMF Staff Papers, 1994, 41, (1), 123-148 Downloads View citations (12)
  3. The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk
    Journal of International Money and Finance, 1994, 13, (3), 276-290 Downloads View citations (132)

1993

  1. Analysing Credibility in High-Inflation Countries: A New Approach
    Economic Journal, 1993, 103, (417), 329-36 Downloads View citations (18)
  2. Fiscal Policy within Common Currency Areas
    Journal of Common Market Studies, 1993, 31, (1), 29-44 Downloads View citations (11)
  3. Modeling the Demand for U.K. Broad Money, 1871-1913
    The Review of Economics and Statistics, 1993, 75, (1), 112-17 Downloads View citations (2)
  4. Money Demand, the Cagan Model and the Inflation Tax: Some Latin American Evidence
    The Review of Economics and Statistics, 1993, 75, (1), 32-37 Downloads View citations (38)
  5. Money demand and inflation in Yugoslavia 1980-1989
    Journal of Macroeconomics, 1993, 15, (3), 455-481 Downloads View citations (7)
  6. Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics
    Scottish Journal of Political Economy, 1993, 40, (1), 43-55 View citations (41)
  7. The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting
    IMF Staff Papers, 1993, 40, (1), 89-107 Downloads View citations (55)
    See also Working Paper (1992)

1992

  1. A Comparison of the Rational Expectations and the General-to-Specific Approaches to Modelling the Demand for M1
    The Manchester School of Economic & Social Studies, 1992, 60, (1), 1-22 View citations (1)
  2. A stable US money demand function, 1874-1975
    Economics Letters, 1992, 39, (2), 191-198 Downloads View citations (1)
  3. Exchange Rate Economics: A Survey
    IMF Staff Papers, 1992, 39, (1), 1-57 Downloads View citations (83)
    See also Working Paper (1991)
  4. Modelling the Yield Curve
    Economic Journal, 1992, 102, (412), 524-37 Downloads View citations (47)
    See also Working Paper (1991)
  5. Testing for Credibility Effects
    IMF Staff Papers, 1992, 39, (3), 545-571 Downloads View citations (18)
    See also Working Paper (1991)
  6. The use of technical analysis in the foreign exchange market
    Journal of International Money and Finance, 1992, 11, (3), 304-314 Downloads View citations (409)
  7. Why Don't Individuals Speculate in the Forward Foreign Exchange Market?
    Scottish Journal of Political Economy, 1992, 39, (1), 1-13 View citations (3)

1991

  1. Exchange Rates, Policy Convergence, and the European Monetary System
    The Review of Economics and Statistics, 1991, 73, (3), 553-58 Downloads View citations (28)
    See also Working Paper (1990)
  2. The Hyperinflation Model of Money Demand Revisited
    Journal of Money, Credit and Banking, 1991, 23, (3), 327-51 Downloads View citations (55)
    See also Working Paper (1990)
  3. The monetary approach to the exchange rate: Long-run relationships and coefficient restrictions
    Economics Letters, 1991, 37, (2), 179-185 Downloads View citations (24)

1990

  1. "The case of the missing money" and the Lucas critique
    Journal of Macroeconomics, 1990, 12, (3), 437-454 Downloads View citations (5)
  2. Charts, Noise and Fundamentals in the London Foreign Exchange Market
    Economic Journal, 1990, 100, (400), 49-59 Downloads View citations (146)
  3. Ex Ante Purchasing Power Parity: Some Evidence Based on Vector Autoregressions in the Time Domain
    Empirical Economics, 1990, 15, (1), 77-91
  4. Modelling Risk in the Interwar Foreign Exchange Market
    Scottish Journal of Political Economy, 1990, 37, (3), 241-58 View citations (4)
  5. Money demand, expectations, and the forward-looking model
    Journal of Policy Modeling, 1990, 12, (2), 289-315 Downloads View citations (22)
    Also in Proceedings, 1990, 289-324 (1990) View citations (17)
  6. Reply to Goodfriend's comments on "Money demand, expectations and the forward looking model"
    Journal of Policy Modeling, 1990, 12, (2), 323-324 Downloads
  7. The Term Structure of Forward Foreign Exchange Premia: The Inter-war Experience
    The Manchester School of Economic & Social Studies, 1990, 58, (1), 54-65 View citations (4)

1989

  1. Anticipated and Unanticipated Variables in the Demand for M1 in the U.K
    The Manchester School of Economic & Social Studies, 1989, 57, (4), 319-39 View citations (1)
  2. Covered Interest Arbitrage and Market Turbulence
    Economic Journal, 1989, 99, (396), 376-91 Downloads View citations (74)
  3. Expectations, Risk and Uncertainty in the Foreign Exchange Market: Some Results Based on Survey Data
    The Manchester School of Economic & Social Studies, 1989, 57, (2), 142-53 View citations (18)
  4. Foreign exchange market efficiency and cointegration: Some evidence from the recent float
    Economics Letters, 1989, 29, (1), 63-68 Downloads View citations (33)
  5. Interest Rate Parity: Some New Evidence
    Bulletin of Economic Research, 1989, 41, (4), 255-74 View citations (16)
  6. Modelling Asset Prices with Time-Varying Betas
    The Manchester School of Economic & Social Studies, 1989, 57, (4), 340-56 View citations (5)
  7. Random Walk Components in Output and Exchange Rates: Some Robust Tests on UK Data
    Bulletin of Economic Research, 1989, 41, (2), 123-35 View citations (3)
  8. The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control
    The Review of Economics and Statistics, 1989, 71, (2), 332-36 Downloads View citations (80)
  9. Vector Autoregressive Tests of Uncovered Interest Rate Parity with Allowance for Conditional Heteroscedasticity
    Scottish Journal of Political Economy, 1989, 36, (3), 238-52 View citations (3)

1988

  1. A DYMIMIC Model of Forward Foreign Exchange Risk, with Estimates for Three Major Exchange Rates
    The Manchester School of Economic & Social Studies, 1988, 56, (1), 55-68 View citations (6)
  2. Long-run purchasing power parity in the 1920s
    European Economic Review, 1988, 32, (1), 179-197 Downloads View citations (40)
  3. Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange
    Bulletin of Economic Research, 1988, 40, (3), 235-39 View citations (14)
  4. Testing Rational Expectations and Efficiency in the London Metal Exchange
    Oxford Bulletin of Economics and Statistics, 1988, 50, (1), 41-52 View citations (8)
  5. What Do Investment Managers Know? An Empirical Study of Practitioners' Predictions
    Economica, 1988, 55, (218), 185-202 Downloads View citations (3)

1987

  1. Covered Interest Parity: A High-Frequency, High-Quality Data Study
    Economica, 1987, 54, (216), 429-38 Downloads View citations (63)
  2. Financial Innovation, Inflation and the Stability of the Demand for Broad Money in the United Kingdom
    Bulletin of Economic Research, 1987, 39, (3), 225-33 View citations (7)
  3. On Long-run Solutions to Dynamic Econometric Equations under Rational Expectations [A Cautionary Note on the Interpretation of Long-run Equilibrium Solutions in Conventional Macro Models]
    Economic Journal, 1987, 97, (385), 215-18 Downloads
  4. On granger causality and the monetary approach to the balance of payments
    Journal of Macroeconomics, 1987, 9, (2), 239-253 Downloads View citations (1)
  5. Risk premia and foreign exchange: A multiple time series approach to testing uncovered interest-rate parity
    Review of World Economics (Weltwirtschaftliches Archiv), 1987, 123, (4), 579-591 Downloads View citations (9)
  6. The Demand for Money: A Dynamic Rational Expectations Model
    Economic Journal, 1987, 97, (388a), 65-76 View citations (16)
  7. The Role of Speculation in the Forward Exchange Market: Some Consistent Estimates Assuming Rational Expectations
    Oxford Bulletin of Economics and Statistics, 1987, 49, (3), 323-33
  8. The Simple Analytics of Implicit Labour Contracts
    Bulletin of Economic Research, 1987, 39, (1), 1-27 View citations (4)

1986

  1. From the General to the Specific: The Demand for M2 in Three
    Empirical Economics, 1986, 11, (4), 243-61 View citations (6)
  2. Monetary Anticipation and the Demand for Money in the U.K.: Testing Rationality in the Shock-Absorber Hypothesis
    Journal of Applied Econometrics, 1986, 1, (4), 355-65 Downloads View citations (1)

1984

  1. The Monetary Approach to the Balance of Payments: A Critical Appraisal of Some Empirical Evidence
    Oxford Bulletin of Economics and Statistics, 1984, 46, (4), 329-40 View citations (1)

Edited books

2008

  1. Modern Perspectives on the Gold Standard
    Cambridge Books, Cambridge University Press

1997

  1. Modern Perspectives on the Gold Standard
    Cambridge Books, Cambridge University Press

1993

  1. Policy Issues in the Operation of Currency Unions
    Cambridge Books, Cambridge University Press View citations (6)

Chapters

2009

  1. Real Variables, Nonlinearity, and European Real Exchange Rates
    A chapter in NBER International Seminar on Macroeconomics 2008, 2009, pp 157-193 Downloads

2007

  1. Are There Thresholds of Current Account Adjustment in the G7?
    A chapter in G7 Current Account Imbalances: Sustainability and Adjustment, 2007, pp 169-204 Downloads View citations (26)
    See also Working Paper (2006)

1996

  1. Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?
    A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 261-302 Downloads View citations (60)

Editor

  1. Applied Economics
    Taylor & Francis Journals
  2. Applied Economics Letters
    Taylor & Francis Journals
  3. Applied Financial Economics
    Taylor & Francis Journals
  4. Applied Financial Economics Letters
    Taylor and Francis Journals
  5. International Journal of Finance & Economics
    John Wiley & Sons, Ltd.
  6. International Journal of Finance & Economics
    John Wiley & Sons, Ltd.
 
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