Details about Yin-Wong Cheung

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Economics Department, University of California-Santa Cruz (UCSC), (more information at EDIRC)

Access statistics for papers by Yin-Wong Cheung.

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Short-id: pch261

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Working Papers

2025

An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats
CESifo Working Paper Series, CESifo
Also in IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University (2025)

2022

Commodity Price Effects on Currencies
CESifo Working Paper Series, CESifo
See also Journal Article Commodity price effects on currencies, Journal of International Money and Finance, Elsevier (2023) (2023)

2021

International Reserve Management and Firm Investment in Emerging Market Economies
NBER Working Papers, National Bureau of Economic Research, Inc
See also Journal Article International Reserve Management and Firm Investment in Emerging Market Economies, Open Economies Review, Springer (2025) (2025)

2020

A Decade of RMB Internationalization
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
Also in BOFIT Policy Briefs, Bank of Finland Institute for Emerging Economies (BOFIT) (2020)
See also Journal Article A decade of RMB internationalisation, Economic and Political Studies, Taylor & Francis Journals (2023) View citations (1) (2023)
The Evolution of Offshore Renminbi Trading: 2016 to 2019
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
Also in IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University (2020)
CESifo Working Paper Series, CESifo (2020)
See also Journal Article The evolution of offshore renminbi trading: 2016 to 2019, Journal of International Money and Finance, Elsevier (2021) View citations (3) (2021)
Uncovered Interest Rate Parity Redux: Non- Uniform Effects
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
See also Journal Article Uncovered interest rate parity redux: Non-uniform effects, Journal of Empirical Finance, Elsevier (2022) View citations (3) (2022)

2019

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates
CESifo Working Paper Series, CESifo View citations (1)
Also in IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University (2019) View citations (1)
See also Journal Article A Jackknife Model Averaging Analysis of RMB Misalignment Estimates, Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd. (2020) (2020)
A Tale of Two Surplus Countries: China and Germany
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University View citations (2)
Also in CESifo Working Paper Series, CESifo (2019) View citations (5)
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2019)
See also Journal Article A Tale of Two Surplus Countries: China and Germany, Open Economies Review, Springer (2020) View citations (6) (2020)
Capital Flight to Germany: Two Alternative Measures
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University View citations (1)
See also Journal Article Capital flight to Germany: Two alternative measures, Journal of International Money and Finance, Elsevier (2020) View citations (15) (2020)
Geographic spread of currency trading: The renminbi and other EM currencies
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Journal Article The currency composition of international reserves, demand for international reserves, and global safe assets, Journal of International Money and Finance, Elsevier (2020) View citations (22) (2020)
The Hoarding of International Reserves: It’s a neighborly day in Asia
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
See also Journal Article Hoarding of international reserves: It's a neighbourly day in Asia, Pacific Economic Review, Wiley Blackwell (2019) (2019)
The Interest Rate Effect on Private Saving: Alternative Perspectives
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (10)
See also Journal Article The Interest Rate Effect on Private Saving: Alternative Perspectives, Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (11) (2019)
Truths and myths about RMB misalignment: A meta-analysis
BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT) View citations (1)
See also Journal Article Truths and Myths About RMB Misalignment: A Meta-analysis, Comparative Economic Studies, Palgrave Macmillan (2019) View citations (6) (2019)

2018

The RMB Central Parity Formation Mechanism: August 2015 to December 2016
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
See also Journal Article The RMB central parity formation mechanism: August 2015 to December 2016, Journal of International Money and Finance, Elsevier (2018) View citations (17) (2018)

1996

Further Investigation of the Uncertain Unit Root in GNP
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in Econometrics, University Library of Munich, Germany (1995) View citations (3)
See also Journal Article Further Investigation of the Uncertain Unit Root in GNP, Journal of Business & Economic Statistics, American Statistical Association (1997) View citations (62) (1997)

1995

Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis
Macroeconomics, University Library of Munich, Germany View citations (1)
See also Journal Article Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis, Oxford Economic Papers, Oxford University Press (1996) View citations (47) (1996)
How sensitive are estimated trends to data definitions? Results for East Asian and G-5 countries
Macroeconomics, University Library of Munich, Germany View citations (4)

1993

On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Working Papers, Federal Reserve Bank of Philadelphia View citations (1)
Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (2)
See also Journal Article On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean, Journal of Econometrics, Elsevier (1994) View citations (75) (1994)

Undated

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 (6)

Journal Articles

2025

International Reserve Management and Firm Investment in Emerging Market Economies
Open Economies Review, 2025, 36, (2), 503-540
See also Working Paper International Reserve Management and Firm Investment in Emerging Market Economies, NBER Working Papers (2021) (2021)

2023

A decade of RMB internationalisation
Economic and Political Studies, 2023, 11, (1), 47-74 View citations (1)
See also Working Paper A Decade of RMB Internationalization, GRU Working Paper Series (2020) (2020)
Commodity price effects on currencies
Journal of International Money and Finance, 2023, 130, (C)
See also Working Paper Commodity Price Effects on Currencies, CESifo Working Paper Series (2022) (2022)
Introduction
Economic and Political Studies, 2023, 11, (1), 45-46
The COVID-19 pandemics and import demand elasticities: evidence from China’s customs data
Palgrave Communications, 2023, 10, (1), 1-25

2022

An introduction to the special issue “Financial globalization and de-globalization: Perspectives and prospects”
Journal of International Money and Finance, 2022, 122, (C)
Foreign Financial Services Adoption in Manufacturing by Asian Economies: New Index from the Global Value Chain Perspective
Journal of International Commerce, Economics and Policy (JICEP), 2022, 13, (01), 1-32
RMB misalignment: What does a meta‐analysis tell us?
Review of International Economics, 2022, 30, (4), 1038-1086 View citations (1)
Uncovered interest rate parity redux: Non-uniform effects
Journal of Empirical Finance, 2022, 67, (C), 133-151 View citations (3)
See also Working Paper Uncovered Interest Rate Parity Redux: Non- Uniform Effects, GRU Working Paper Series (2020) (2020)

2021

The evolution of offshore renminbi trading: 2016 to 2019
Journal of International Money and Finance, 2021, 113, (C) View citations (3)
See also Working Paper The Evolution of Offshore Renminbi Trading: 2016 to 2019, GRU Working Paper Series (2020) (2020)

2020

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates
Journal of International Commerce, Economics and Policy (JICEP), 2020, 11, (02), 1-45
See also Working Paper A Jackknife Model Averaging Analysis of RMB Misalignment Estimates, CESifo Working Paper Series (2019) View citations (1) (2019)
A Tale of Two Surplus Countries: China and Germany
Open Economies Review, 2020, 31, (1), 131-158 View citations (6)
See also Working Paper A Tale of Two Surplus Countries: China and Germany, IEER Working Papers (2019) View citations (2) (2019)
Capital flight to Germany: Two alternative measures
Journal of International Money and Finance, 2020, 102, (C) View citations (15)
See also Working Paper Capital Flight to Germany: Two Alternative Measures, IEER Working Papers (2019) View citations (1) (2019)
Overview: Global safe assets, international reserves, and capital flow
Journal of International Money and Finance, 2020, 102, (C)
The currency composition of international reserves, demand for international reserves, and global safe assets
Journal of International Money and Finance, 2020, 102, (C) View citations (22)
See also Working Paper The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets, NBER Working Papers (2019) View citations (9) (2019)

2019

Exchange rate prediction redux: New models, new data, new currencies
Journal of International Money and Finance, 2019, 95, (C), 332-362 View citations (66)
See also Working Paper Exchange Rate Prediction Redux: New Models, New Data, New Currencies, NBER Working Papers (2017) View citations (31) (2017)
Geographic Spread of Currency Trading: The Renminbi and Other Emerging Market Currencies
China & World Economy, 2019, 27, (5), 25-36 View citations (15)
Hoarding of international reserves: It's a neighbourly day in Asia
Pacific Economic Review, 2019, 24, (2), 208-240
See also Working Paper The Hoarding of International Reserves: It’s a neighborly day in Asia, GRU Working Paper Series (2019) (2019)
The Interest Rate Effect on Private Saving: Alternative Perspectives
Journal of International Commerce, Economics and Policy (JICEP), 2019, 10, (01), 1-37 View citations (11)
See also Working Paper The Interest Rate Effect on Private Saving: Alternative Perspectives, GRU Working Paper Series (2019) (2019)
The exchange rate effects of macro news after the global Financial Crisis
Journal of International Money and Finance, 2019, 95, (C), 424-443 View citations (12)
See also Working Paper The Exchange Rate Effects of Macro News after the Global Financial Crisis, GRU Working Paper Series (2017) (2017)
Truths and Myths About RMB Misalignment: A Meta-analysis
Comparative Economic Studies, 2019, 61, (3), 464-492 View citations (6)
See also Working Paper Truths and myths about RMB misalignment: A meta-analysis, BOFIT Discussion Papers (2019) View citations (1) (2019)

2018

The RMB central parity formation mechanism: August 2015 to December 2016
Journal of International Money and Finance, 2018, 86, (C), 223-243 View citations (17)
See also Working Paper The RMB Central Parity Formation Mechanism: August 2015 to December 2016, GRU Working Paper Series (2018) (2018)

2017

Effects of capital flow on the equity and housing markets in Hong Kong
Pacific Economic Review, 2017, 22, (3), 332-349 View citations (13)
See also Working Paper Effects of Capital Flow on the Equity and Housing Markets in Hong Kong, Working Papers (2017) View citations (12) (2017)
Estimating currency misalignment using the Penn effect: It is not as simple as it looks
International Finance, 2017, 20, (3), 222-242 View citations (15)
See also Working Paper Estimating Currency Misalignment Using the Penn Effect: It’s Not as Simple As It Looks, NBER Working Papers (2016) View citations (2) (2016)
Offshore renminbi trading: Findings from the 2013 Triennial Central Bank Survey
International Economics, 2017, (152), 9-20 View citations (10)
Also in International Economics, 2017, 152, (C), 9-20 (2017) View citations (10)

2016

China's Bilateral Currency Swap Lines
China & World Economy, 2016, 24, (6), 19-42 View citations (7)
See also Working Paper China's Bilateral Currency Swap Lines, CESifo Working Paper Series (2016) View citations (9) (2016)
China's capital flight: Pre- and post-crisis experiences
Journal of International Money and Finance, 2016, 66, (C), 88-112 View citations (20)
See also Working Paper China's capital flight: Pre- and post-crisis experiences, Santa Cruz Department of Economics, Working Paper Series (2016) View citations (7) (2016)
China–US trade flow behavior: the implications of alternative exchange rate measures and trade classifications
Review of World Economics (Weltwirtschaftliches Archiv), 2016, 152, (1), 43-67 View citations (6)

2015

International reserves before and after the global crisis: Is there no end to hoarding?
Journal of International Money and Finance, 2015, 52, (C), 102-126 View citations (70)
See also Working Paper International Reserves Before and After the Global Crisis: Is There No End to Hoarding?, CESifo Working Paper Series (2015) View citations (69) (2015)

2014

China's Capital Controls: Through the Prism of Covered Interest Differentials
Pacific Economic Review, 2014, 19, (1), 112-134 View citations (21)
See also Working Paper China's Capital Controls - Through the Prism of Covered Interest Differentials, CESifo Working Paper Series (2013) View citations (1) (2013)
EXCHANGE RATE MISALIGNMENT ESTIMATES—SOURCES OF DIFFERENCES
International Journal of Finance & Economics, 2014, 19, (2), 91-121 View citations (9)
See also Working Paper Exchange Rate Misalingment Estimates - Sources of Differences, CESifo Working Paper Series (2011) (2011)
The Missing Link: China's Contracted Engineering Projects in Africa
Review of Development Economics, 2014, 18, (3), 564-580 View citations (3)
The Penn effect within a country: evidence from Japan
Oxford Economic Papers, 2014, 66, (4), 1070-1089 View citations (3)
See also Working Paper The Penn Effect within a Country - Evidence from Japan, CESifo Working Paper Series (2012) (2012)
The offshore renminbi exchange rate: Microstructure and links to the onshore market
Journal of International Money and Finance, 2014, 49, (PA), 170-189 View citations (42)
See also Working Paper The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market, CESifo Working Paper Series (2014) View citations (49) (2014)

2013

Impact of exchange rate movements on exports: An analysis of Indian non-financial sector firms
Journal of International Money and Finance, 2013, 39, (C), 231-245 View citations (71)
See also Working Paper Impact of Exchange Rate Movements on Exports: An Analysis of Indian Non-Financial Sector Firms, CESifo Working Paper Series (2013) View citations (72) (2013)

2012

Are Chinese trade flows different?
Journal of International Money and Finance, 2012, 31, (8), 2127-2146 View citations (70)
See also Working Paper Are Chinese Trade Flows Different?, NBER Working Papers (2012) View citations (76) (2012)
China's Outward Direct Investment in Africa
Review of International Economics, 2012, 20, (2), 201-220 View citations (26)
See also Working Paper China's Outward Direct Investment in Africa, Working Papers (2011) View citations (8) (2011)

2011

A Long Memory Model with Normal Mixture GARCH
Computational Economics, 2011, 38, (4), 517-539
Accumulation of reserves and keeping up with the Joneses: The case of LATAM economies
International Review of Economics & Finance, 2011, 20, (1), 19-31 View citations (16)
See also Working Paper Accumulation of Reserves and Keeping Up with the Joneses: The Case of LATAM Economies, Working Papers (2010) View citations (2) (2010)
RENMINBISING CHINA'S FOREIGN ASSETS
Pacific Economic Review, 2011, 16, (1), 1-17 View citations (15)
See also Working Paper Renminbising China's Foreign Assets, CESifo Working Paper Series (2010) View citations (14) (2010)
Renminbi Going Global
China & World Economy, 2011, 19, (2), 1-18 View citations (34)
See also Working Paper Renminbi Going Global, Working Papers (2011) View citations (34) (2011)
The Determinants of Chinese Outward Direct Investment – By Hinrich Voss
Asian-Pacific Economic Literature, 2011, 25, (2), 165-166
The common-trend and transitory dynamics in real exchange rate fluctuations
Applied Economics, 2011, 43, (1), 1-18 View citations (2)
See also Working Paper The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations, FRU Working Papers (2005) (2005)

2010

A trading strategy based on Callable Bull/Bear Contracts
Pacific-Basin Finance Journal, 2010, 18, (2), 186-198 View citations (13)
Capital Flight: China's Experience
Review of Development Economics, 2010, 14, (2), 227-247 View citations (16)
See also Working Paper Capital Flight: China's Experience, CESifo Working Paper Series (2010) View citations (16) (2010)

2009

A Cross-Country Empirical Analysis of International Reserves
International Economic Journal, 2009, 23, (4), 447-481 View citations (31)
See also Working Paper A Cross-Country Empirical Analysis of International Reserves, CESifo Working Paper Series (2009) View citations (36) (2009)
A Factor Analysis of Trade Integration: the Case of Asian and Oceanic Economies
Economie Internationale, 2009, (119), 5-23 View citations (6)
See also Working Paper A Factor Analysis of Trade Integration: The Case of Asian and Oceanic Economies, Working Papers (2009) View citations (6) (2009)
A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility
Journal of Economics and Management, 2009, 5, (2), 187-218 View citations (3)
See also Working Paper A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility, Working Papers (2009) View citations (2) (2009)
A high-low model of daily stock price ranges
Journal of Forecasting, 2009, 28, (2), 103-119 View citations (18)
See also Working Paper A High-Low Model of Daily Stock Price Ranges, Working Papers (2009) View citations (18) (2009)
EMPIRICS OF CHINA'S OUTWARD DIRECT INVESTMENT
Pacific Economic Review, 2009, 14, (3), 312-341 View citations (67)
See also Working Paper The Empirics of China's Outward Direct Investment, Working Papers (2009) View citations (52) (2009)
Hoarding of International Reserves: Mrs Machlup's Wardrobe and the Joneses
Review of International Economics, 2009, 17, (4), 824-843 View citations (66)
See also Working Paper Hoarding of International Reserves: Mrs Machlup’s Wardrobe and the Joneses, CESifo Working Paper Series (2007) View citations (31) (2007)
Pitfalls in Measuring Exchange Rate Misalignment
Open Economies Review, 2009, 20, (2), 183-206 View citations (56)
Renminbisation des actifs internationaux de la Chine
Revue d'Économie Financière, 2009, 95, (2), 135-155 View citations (4)
Speculative attacks: A laboratory study in continuous time
Journal of International Money and Finance, 2009, 28, (6), 1064-1082 View citations (11)
See also Working Paper Speculative Attacks: A Laboratory Study in Continuous Time, Working Papers (2009) View citations (12) (2009)

2008

Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2008, 2, 1-61 View citations (7)
See also Working Paper Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios, Working Papers (2008) View citations (7) (2008)
Does the Chinese interest rate follow the US interest rate?
International Journal of Finance & Economics, 2008, 13, (1), 53-67 View citations (15)
See also Working Paper Does the Chinese Interest Rate Follow the US Interest Rate?, CESifo Working Paper Series (2007) View citations (8) (2007)
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 View citations (6)
See also Working Paper Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries, Working Papers (2007) View citations (2) (2007)

2007

An empirical model of daily highs and lows
International Journal of Finance & Economics, 2007, 12, (1), 1-20 View citations (32)
See also Working Paper An Empirical Model of Daily Highs and Lows, CESifo Working Paper Series (2006) View citations (1) (2006)
East Asian equity markets, financial crises, and the Japanese currency
Journal of the Japanese and International Economies, 2007, 21, (1), 138-152 View citations (10)
See also Working Paper East Asian Equity Markets, Financial Crises, and the Japanese Currency, Working Papers (2003) View citations (1) (2003)
THE FOG ENCIRCLING THE RENMINBI DEBATE
The Singapore Economic Review (SER), 2007, 52, (03), 403-418 View citations (1)
The overvaluation of Renminbi undervaluation
Journal of International Money and Finance, 2007, 26, (5), 762-785 View citations (144)
See also Working Paper The Overvaluation of Renminbi Undervaluation, Working Papers (2007) View citations (140) (2007)

2006

A Reappraisal of the Border Effect on Relative Price Volatility
International Economic Journal, 2006, 20, (4), 495-513 View citations (5)
See also Working Paper A Reappraisal of the Border Effect on Relative Price Volatility, CESifo Working Paper Series (2006) View citations (5) (2006)
Cross‐country Relative Price Volatility: Effects of Market Structure*
Review of International Economics, 2006, 14, (5), 836-848 View citations (3)
See also Working Paper Cross-Country Relative Price Volatility: Effects of Market Structure, CESifo Working Paper Series (2005) View citations (5) (2005)
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 (26)
See also Working Paper The Chinese Economies in Global Context: The Integration Process and Its Determinants, Working Papers (2005) (2005)

2005

AN ANALYSIS OF HONG KONG EXPORT PERFORMANCE
Pacific Economic Review, 2005, 10, (3), 323-340 View citations (15)
See also Working Paper An Analysis of Hong Kong Export Performance, Santa Cruz Department of Economics, Working Paper Series (2003) View citations (2) (2003)
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 (16)
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 (542)
See also Working Paper Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?, Working Papers (2005) View citations (523) (2005)
Exchange Rates and Markov Switching Dynamics
Journal of Business & Economic Statistics, 2005, 23, 314-320 View citations (60)
See also Working Paper Exchange Rates and Markov Switching Dynamics, Working Papers (2005) View citations (61) (2005)
Why the renminbi might be overvalued (but probably isn’t)
Proceedings, 2005 View citations (11)

2004

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 (75)
See also Working Paper Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment, CESifo Working Paper Series (2003) View citations (6) (2003)
How do UK-based foreign exchange dealers think their market operates?
International Journal of Finance & Economics, 2004, 9, (4), 289-306 View citations (100)
See also Working Paper How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?, NBER Working Papers (2000) View citations (31) (2000)
Market Structure, Technology Spillovers, and Persistence in Productivity Differentials
The International Journal of Applied Economics, 2004, 1, (1), 1-23
See also Working Paper Market Structure, Technology Spillovers, and Persistence in Productivity Differentials, CESifo Working Paper Series (2001) View citations (9) (2001)
Testing for output convergence: a re-examination
Oxford Economic Papers, 2004, 56, (1), 45-63 View citations (31)
See also Working Paper Testing for Output Convergence: A Re-examination, Working Papers (2004) View citations (30) (2004)

2003

China, Hong Kong, and Taiwan: A quantitative assessment of real and financial integration
China Economic Review, 2003, 14, (3), 281-303 View citations (34)
See also Working Paper China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, CESifo Working Paper Series (2003) View citations (35) (2003)
Sectoral trends and cycles in Germany
Empirical Economics, 2003, 28, (1), 141-156 View citations (6)
See also Working Paper Sectoral Trends and Cycles in Germany, CESifo Working Paper Series (2001) (2001)

2002

Effects of U.S. Inflation on Hong Kong and Singapore
Journal of Comparative Economics, 2002, 30, (3), 603-619 View citations (18)
See also Working Paper Effects of U.S. Inflation on Hong Kong and Singapore, CESifo Working Paper Series (2002) View citations (20) (2002)
Output dynamics of the G7 countries--stochastic trends and cyclical movements
Applied Economics, 2002, 34, (18), 2239-2247 View citations (14)
See also Working Paper Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements, CESifo Working Paper Series (1999) View citations (7) (1999)

2001

A Note on the Power of Money‐Output Causality Tests
Oxford Bulletin of Economics and Statistics, 2001, 63, (2), 247-261 View citations (3)
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 (353)
See also Working Paper Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market, CESifo Working Paper Series (2000) View citations (26) (2000)
Equity Price Dynamics Before and After the Introduction of the Euro: A Note
Multinational Finance Journal, 2001, 5, (2), 113-128 View citations (9)
See also Working Paper Equity Price Dynamics Before and After the Introduction of the Euro: A Note, CESifo Working Paper Series (2001) View citations (12) (2001)
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 (57)
Market Structure and the Persistence of Sectoral Real Exchange Rates
International Journal of Finance & Economics, 2001, 6, (2), 95-114 View citations (37)
See also Working Paper Market Structure and the Persistence of Sectoral Real Exchange Rates, NBER Working Papers (1999) View citations (21) (1999)

2000

A survey of market practitioners' views on exchange rate dynamics
Journal of International Economics, 2000, 51, (2), 401-419 View citations (129)
Does Austria Respond to the German or the US Business Cycle?
International Journal of Finance & Economics, 2000, 5, (1), 33-42 View citations (7)
On cross-country differences in the persistence of real exchange rates
Journal of International Economics, 2000, 50, (2), 375-397 View citations (86)
See also Working Paper On Cross-Country Differences in the Persistence of Real Exchange Rates, CESifo Working Paper Series (1999) View citations (14) (1999)
On the purchasing power parity puzzle
Journal of International Economics, 2000, 52, (2), 321-330 View citations (143)
Special Issue on Asset Price Dynamics and Risk Management
Multinational Finance Journal, 2000, 4, (3-4), 155-157
Which Measure of Aggregate Output Should We Use?
Journal of Macroeconomics, 2000, 22, (2), 253-269

1999

An analysis of German effects on the Austrian business cycle
Review of World Economics (Weltwirtschaftliches Archiv), 1999, 135, (3), 522-531 View citations (6)
Macroeconomic determinants of long-term stock market comovements among major EMS countries
Applied Financial Economics, 1999, 9, (1), 73-85 View citations (28)

1998

A comparison of learning and replicator dynamics using experimental data
Journal of Economic Behavior & Organization, 1998, 35, (3), 263-280 View citations (29)
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 (13)
Integration, cointegration and the forecast consistency of structural exchange rate models
Journal of International Money and Finance, 1998, 17, (5), 813-830 View citations (32)
See also Working Paper Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models, NBER Working Papers (1997) View citations (6) (1997)
International evidence on the stock market and aggregate economic activity
Journal of Empirical Finance, 1998, 5, (3), 281-296 View citations (127)
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 (95)

1997

Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
Econometric Theory, 1997, 13, (5), 679-691 View citations (9)
Common Predictable Components in Regional Stock Markets
Journal of Business & Economic Statistics, 1997, 15, (1), 35-42 View citations (18)
Further Investigation of the Uncertain Unit Root in GNP
Journal of Business & Economic Statistics, 1997, 15, (1), 68-73 View citations (62)
See also Working Paper Further Investigation of the Uncertain Unit Root in GNP, NBER Technical Working Papers (1996) View citations (9) (1996)
Individual Learning in Normal Form Games: Some Laboratory Results
Games and Economic Behavior, 1997, 19, (1), 46-76 View citations (194)
Information Flows Between Eurodollar Spot and Futures Markets
Multinational Finance Journal, 1997, 1, (4), 255-271 View citations (11)
The Performance of Trading Rules on Four Asian Currency Exchange Rates
Multinational Finance Journal, 1997, 1, (1), 1-22 View citations (5)
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 (10)

1996

A causality-in-variance test and its application to financial market prices
Journal of Econometrics, 1996, 72, (1-2), 33-48 View citations (340)
Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis
Oxford Economic Papers, 1996, 48, (1), 134-62 View citations (47)
See also Working Paper Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis, Macroeconomics (1995) View citations (1) (1995)
International economics: Peter H. Lindert and Thomas A. Pugel
The North American Journal of Economics and Finance, 1996, 7, (2), 231-232
Stock Market Volatility and Fractional Integration
International Journal of Finance & Economics, 1996, 1, (4), 263-73

1995

A search for long memory in international stock market returns
Journal of International Money and Finance, 1995, 14, (4), 597-615 View citations (128)
ESTIMATING FINITE SAMPLE CRITICAL VALUES FOR UNIT ROOT TESTS USING PURE RANDOM WALK PROCESSES:A NOTE
Journal of Time Series Analysis, 1995, 16, (5), 493-498 View citations (1)
How sensitive are trends to data definitions? Results for East Asian and G5 countries
Applied Economics Letters, 1995, 2, (1), 1-6 View citations (1)
Lag Order and Critical Values of a Modified Dickey-Fuller Test
Oxford Bulletin of Economics and Statistics, 1995, 57, (3), 411-19 View citations (132)
Lag Order and Critical Values of the Augmented Dickey-Fuller Test
Journal of Business & Economic Statistics, 1995, 13, (3), 277-80 View citations (285)
Pacific-Basin stock markets and real activity
Pacific-Basin Finance Journal, 1995, 3, (1), 143-143 View citations (1)
Also in Pacific-Basin Finance Journal, 1994, 2, (2-3), 349-373 (1994) View citations (16)
Purchasing power parity under the European Monetary System
Journal of International Money and Finance, 1995, 14, (2), 179-189 View citations (19)

1994

Aggregate output dynamics in the twentieth century
Economics Letters, 1994, 45, (1), 15-22 View citations (6)
Mean reversion in real exchange rates
Economics Letters, 1994, 46, (3), 251-256 View citations (46)
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 (75)
See also Working Paper On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean, Working Papers (1993) View citations (1) (1993)

1993

A Fractional Cointegration Analysis of Purchasing Power Parity
Journal of Business & Economic Statistics, 1993, 11, (1), 103-12 View citations (304)
Do Gold Market Returns Have Long Memory?
The Financial Review, 1993, 28, (2), 181-202 View citations (63)
Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration
Oxford Bulletin of Economics and Statistics, 1993, 55, (3), 313-28 View citations (520)
Long Memory in Foreign-Exchange Rates
Journal of Business & Economic Statistics, 1993, 11, (1), 93-101 View citations (173)
Long-run purchasing power parity during the recent float
Journal of International Economics, 1993, 34, (1-2), 181-192 View citations (160)
TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
Journal of Time Series Analysis, 1993, 14, (4), 331-345 View citations (29)

1992

International evidence on output persistence from postwar data
Economics Letters, 1992, 38, (4), 435-441 View citations (5)
Stock Price Dynamics and Firm Size: An Empirical Investigation
Journal of Finance, 1992, 47, (5), 1985-97 View citations (71)

Books

2022

The RMB in the Global Economy
Cambridge Books, Cambridge University Press View citations (1)

2007

The Economic Integration of Greater China
University of Chicago Press Economics Books, University of Chicago Press

Edited books

2017

International Currency Exposure, vol 1
MIT Press Books, The MIT Press View citations (2)

2012

The Evolving Role of China in the Global Economy, vol 1
MIT Press Books, The MIT Press View citations (3)

Chapters

2011

Chapter 15 Deviations from Covered Interest Parity: The Case of China
A chapter in The Evolving Role of Asia in Global Finance, 2011, pp 369-386 View citations (1)

2010

China's Current Account and Exchange Rate
A chapter in China's Growing Role in World Trade, 2010, pp 231-271 View citations (19)
See also Working Paper China's Current Account and Exchange Rate, CESifo (2009) View citations (54) (2009)

2009

The Illusion of Precision and the Role of the Renminbi in Regional Integration
Chapter 13 in Towards Monetary and Financial Integration in East Asia, 2009 View citations (3)
See also Working Paper The Illusion of Precision and the Role of the Renminbi in Regional Integration, Hong Kong Institute for Monetary Research (2006) View citations (10) (2006)

Editor

Asia-Pacific Journal of Accounting & Economics
Taylor & Francis Journals
Pacific Economic Review
Wiley Blackwell