Details about Yin-Wong Cheung

Workplace:

Department of Economics and Finance, College of Business, City University, (more information at EDIRC)

Access statistics for papers by Yin-Wong Cheung.

Last updated 2021-04-13. Update your information in the RePEc Author Service.

Short-id: pch261

Jump to Journal Articles Edited books Chapters Editor

Working Papers

2020

A Decade of RMB Internationalization
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
The Evolution of Offshore Renminbi Trading: 2016 to 2019
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University
Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2020)
CESifo Working Paper Series, CESifo (2020)
See also Journal Article in Journal of International Money and Finance (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

2019

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University View citations (1)
Also in CESifo Working Paper Series, CESifo (2019) View citations (1)
See also Journal Article in Journal of International Commerce, Economics and Policy (JICEP) (2020)
A Tale of Two Surplus Countries: China and Germany
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University View citations (1)
Also in CESifo Working Paper Series, CESifo (2019) View citations (4)
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2019)
See also Journal Article in Open Economies Review (2020)
Capital Flight to Germany: Two Alternative Measures
IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University
See also Journal Article in Journal of International Money and Finance (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 (4)
See also Journal Article in Journal of International Money and Finance (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 in Pacific Economic Review (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 in Journal of International Commerce, Economics and Policy (JICEP) (2019)
Truths and myths about RMB misalignment: A meta-analysis
BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition View citations (3)
See also Journal Article in Comparative Economic Studies (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 in Journal of International Money and Finance (2018)

2006

A Reappraisal of the Border Effect on Relative Price Volatility
Working Papers, Hong Kong Institute for Monetary Research View citations (4)
Also in CESifo Working Paper Series, CESifo (2006) View citations (4)
See also Journal Article in International Economic Journal (2006)
An Empirical Model of Daily Highs and Lows
Working Papers, Hong Kong Institute for Monetary Research
Also in CESifo Working Paper Series, CESifo (2006) View citations (1)
See also Journal Article in International Journal of Finance & Economics (2007)
The Illusion of Precision and the Role of the Renminbi in Regional Integration
Working Papers, Hong Kong Institute for Monetary Research View citations (10)
See also Chapter (2009)

2005

An Output Perspective on a Northeast Asia Currency Union
Working Papers, Hong Kong Institute for Monetary Research View citations (5)
Also in CESifo Working Paper Series, CESifo (2004) View citations (1)
Cross-Country Relative Price Volatility: Effects of Market Structure
Working Papers, Hong Kong Institute for Monetary Research View citations (3)
Also in CESifo Working Paper Series, CESifo (2005) View citations (4)
See also Journal Article in Review of International Economics (2006)
Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?
Working Papers, Hong Kong Institute for Monetary Research View citations (234)
Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (27)
Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations (28)
IMF Working Papers, International Monetary Fund (2004) View citations (45)
NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (75)
Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (27)
See also Journal Article in Journal of International Money and Finance (2005)
Exchange Rates and Markov Switching Dynamics
Working Papers, Hong Kong Institute for Monetary Research View citations (53)
Also in CESifo Working Paper Series, CESifo (2004) View citations (5)
See also Journal Article in Journal of Business & Economic Statistics (2005)
Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries
CESifo Working Paper Series, CESifo View citations (3)
The Chinese Economies in Global Context: The Integration Process and Its Determinants
Working Papers, Hong Kong Institute for Monetary Research
Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (8)
NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (10)
Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (7)
Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations (8)
See also Journal Article in Journal of the Japanese and International Economies (2006)
The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations
FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit
See also Journal Article in Applied Economics (2011)

2004

Exchange Rate Dynamics: Where is the Saddle Path?
CESifo Working Paper Series, CESifo View citations (1)
Testing for Output Convergence: A Re-examination
Working Papers, Hong Kong Institute for Monetary Research View citations (27)
Also in CESifo Working Paper Series, CESifo (2000) View citations (5)
See also Journal Article in Oxford Economic Papers (2004)
The Suitability of A Greater China Currency Union
Working Papers, Hong Kong Institute for Monetary Research View citations (2)
Also in CESifo Working Paper Series, CESifo (2004) View citations (2)

2003

An Analysis of Hong Kong Export Performance
Working Papers, Hong Kong Institute for Monetary Research View citations (5)
Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (2)
See also Journal Article in Pacific Economic Review (2005)
China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration
Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz View citations (22)
Also in Working Papers, Hong Kong Institute for Monetary Research (2003) View citations (23)
CESifo Working Paper Series, CESifo (2003) View citations (24)
Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz (2003) View citations (22)
Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (22)
See also Journal Article in China Economic Review (2003)
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment
CESifo Working Paper Series, CESifo View citations (6)
Also in Working Papers, Hong Kong Institute for Monetary Research (2003) View citations (2)
See also Journal Article in Journal of International Economics (2004)
East Asian Equity Markets, Financial Crises, and the Japanese Currency
Working Papers, Hong Kong Institute for Monetary Research View citations (1)
See also Journal Article in Journal of the Japanese and International Economies (2007)
What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated
Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz View citations (3)
Also in Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (4)
CESifo Working Paper Series, CESifo (2003) View citations (6)
Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz (2003) View citations (3)

2002

Effects of U.S. Inflation on Hong Kong and Singapore
CESifo Working Paper Series, CESifo View citations (19)
Also in Working Papers, Hong Kong Institute for Monetary Research (2001)
See also Journal Article in Journal of Comparative Economics (2002)

2001

Equity Price Dynamics Before and After the Introduction of the Euro
Discussion Papers in Economics, University of Munich, Department of Economics View citations (7)
Equity Price Dynamics Before and After the Introduction of the Euro: A Note
CESifo Working Paper Series, CESifo View citations (10)
See also Journal Article in Multinational Finance Journal (2001)
Hong Kong Output Dynamics: An Empirical Analysis
CESifo Working Paper Series, CESifo View citations (1)
Also in Working Papers, Hong Kong Institute for Monetary Research (2000) View citations (1)
Market Structure, Technology Spillovers, and Persistence in Productivity Differentials
CESifo Working Paper Series, CESifo View citations (3)
See also Journal Article in The International Journal of Applied Economics (2004)
Sectoral Trends and Cycles in Germany
CESifo Working Paper Series, CESifo
See also Journal Article in Empirical Economics (2003)

2000

Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market
CESifo Working Paper Series, CESifo View citations (22)
See also Journal Article in Journal of International Money and Finance (2001)
How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (21)
See also Journal Article in International Journal of Finance & Economics (2004)
Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices
Working Papers, Lund University, Department of Economics

1999

Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders
NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
Market Structure and the Persistence of Sectoral Real Exchange Rates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
See also Journal Article in International Journal of Finance & Economics (2001)
On Cross-Country Differences in the Persistence of Real Exchange Rates
CESifo Working Paper Series, CESifo View citations (12)
See also Journal Article in Journal of International Economics (2000)
Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements
CESifo Working Paper Series, CESifo View citations (7)
See also Journal Article in Applied Economics (2002)
Traders, Market Microstructure and Exchange Rate Dynamics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

1997

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
Also in International Finance, University Library of Munich, Germany (1995) View citations (2)
See also Journal Article in Journal of International Money and Finance (1998)

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 (2)
See also Journal Article in Journal of Business & Economic Statistics (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 in Oxford Economic Papers (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 (3)

1993

On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Working Papers, Federal Reserve Bank of Philadelphia
Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (2)
See also Journal Article in Journal of Econometrics (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 (4)

Journal Articles

2021

The evolution of offshore renminbi trading: 2016 to 2019
Journal of International Money and Finance, 2021, 113, (C)
See also Working Paper (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 (2019)
A Tale of Two Surplus Countries: China and Germany
Open Economies Review, 2020, 31, (1), 131-158 View citations (1)
See also Working Paper (2019)
Capital flight to Germany: Two alternative measures
Journal of International Money and Finance, 2020, 102, (C)
See also Working Paper (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 (1)
See also Working Paper (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 (14)
See also Working Paper (2017)
Geographic Spread of Currency Trading: The Renminbi and Other Emerging Market Currencies
China & World Economy, 2019, 27, (5), 25-36 View citations (7)
Hoarding of international reserves: It's a neighbourly day in Asia
Pacific Economic Review, 2019, 24, (2), 208-240
See also Working Paper (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 (4)
See also Working Paper (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 (3)
See also Working Paper (2017)
Truths and Myths About RMB Misalignment: A Meta-analysis
Comparative Economic Studies, 2019, 61, (3), 464-492 View citations (1)
See also Working Paper (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 (3)
See also Working Paper (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 (7)
See also Working Paper (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 (8)
See also Working Paper (2016)
Offshore renminbi trading: Findings from the 2013 Triennial Central Bank Survey
International Economics, 2017, (152), 9-20 View citations (3)
Also in International Economics, 2017, 152, (C), 9-20 (2017) View citations (3)

2016

China's Bilateral Currency Swap Lines
China & World Economy, 2016, 24, (6), 19-42 View citations (3)
See also Working Paper (2016)
China's capital flight: Pre- and post-crisis experiences
Journal of International Money and Finance, 2016, 66, (C), 88-112 View citations (12)
See also Working Paper (2015)
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 (1)

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 (36)
See also Working Paper (2015)

2014

China's Capital Controls: Through the Prism of Covered Interest Differentials
Pacific Economic Review, 2014, 19, (1), 112-134 View citations (9)
See also Working Paper (2013)
EXCHANGE RATE MISALIGNMENT ESTIMATES—SOURCES OF DIFFERENCES
International Journal of Finance & Economics, 2014, 19, (2), 91-121 View citations (7)
See also Working Paper (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 (1)
See also Working Paper (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 (26)
See also Working Paper (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 (47)
See also Working Paper (2013)

2012

Are Chinese trade flows different?
Journal of International Money and Finance, 2012, 31, (8), 2127-2146 View citations (52)
See also Working Paper (2012)
China's Outward Direct Investment in Africa
Review of International Economics, 2012, 20, (2), 201-220 View citations (22)
See also Working Paper (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 (14)
See also Working Paper (2010)
RENMINBISING CHINA'S FOREIGN ASSETS
Pacific Economic Review, 2011, 16, (1), 1-17 View citations (14)
See also Working Paper (2010)
Renminbi Going Global
China & World Economy, 2011, 19, (2), 1-18 View citations (24)
See also Working Paper (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 (1)
See also Working Paper (2005)

2010

A trading strategy based on Callable Bull/Bear Contracts
Pacific-Basin Finance Journal, 2010, 18, (2), 186-198 View citations (9)
Capital Flight: China's Experience
Review of Development Economics, 2010, 14, (2), 227-247 View citations (13)
See also Working Paper (2010)

2009

A Cross-Country Empirical Analysis of International Reserves
International Economic Journal, 2009, 23, (4), 447-481 View citations (21)
See also Working Paper (2009)
A Factor Analysis of Trade Integration: the Case of Asian and Oceanic Economies
Economie Internationale, 2009, (119), 5-23 View citations (2)
See also Working Paper (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 (2)
See also Working Paper (2009)
A high-low model of daily stock price ranges
Journal of Forecasting, 2009, 28, (2), 103-119 View citations (16)
See also Working Paper (2009)
EMPIRICS OF CHINA'S OUTWARD DIRECT INVESTMENT
Pacific Economic Review, 2009, 14, (3), 312-341 View citations (52)
See also Working Paper (2009)
Hoarding of International Reserves: Mrs Machlup's Wardrobe and the Joneses
Review of International Economics, 2009, 17, (4), 824-843 View citations (51)
See also Working Paper (2007)
Pitfalls in Measuring Exchange Rate Misalignment
Open Economies Review, 2009, 20, (2), 183-206 View citations (41)
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 (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, 2008, 2, 1-61 View citations (4)
See also Working Paper (2008)
Does the Chinese interest rate follow the US interest rate?
International Journal of Finance & Economics, 2008, 13, (1), 53-67 View citations (12)
See also Working Paper (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 (2)
See also Working Paper (2007)

2007

An empirical model of daily highs and lows
International Journal of Finance & Economics, 2007, 12, (1), 1-20 View citations (23)
See also Working Paper (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 (9)
See also Working Paper (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 (117)
See also Working Paper (2007)

2006

A Reappraisal of the Border Effect on Relative Price Volatility
International Economic Journal, 2006, 20, (4), 495-513 View citations (4)
See also Working Paper (2006)
Cross‐country Relative Price Volatility: Effects of Market Structure*
Review of International Economics, 2006, 14, (5), 836-848 View citations (2)
See also Working Paper (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 (23)
See also Working Paper (2005)

2005

AN ANALYSIS OF HONG KONG EXPORT PERFORMANCE
Pacific Economic Review, 2005, 10, (3), 323-340 View citations (10)
See also Working Paper (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 (418)
See also Working Paper (2005)
Exchange Rates and Markov Switching Dynamics
Journal of Business & Economic Statistics, 2005, 23, 314-320 View citations (47)
See also Working Paper (2005)
Why the renminbi might be overvalued (but probably isn’t)
Proceedings, 2005 View citations (10)

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 (63)
See also Working Paper (2003)
How do UK-based foreign exchange dealers think their market operates?
International Journal of Finance & Economics, 2004, 9, (4), 289-306 View citations (70)
See also Working Paper (2000)
Market Structure, Technology Spillovers, and Persistence in Productivity Differentials
The International Journal of Applied Economics, 2004, 1, (1), 1-23 View citations (3)
See also Working Paper (2001)
Testing for output convergence: a re-examination
Oxford Economic Papers, 2004, 56, (1), 45-63 View citations (22)
See also Working Paper (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 (25)
See also Working Paper (2003)
Sectoral trends and cycles in Germany
Empirical Economics, 2003, 28, (1), 141-156 View citations (5)
See also Working Paper (2001)

2002

Effects of U.S. Inflation on Hong Kong and Singapore
Journal of Comparative Economics, 2002, 30, (3), 603-619 View citations (16)
See also Working Paper (2002)
Output dynamics of the G7 countries--stochastic trends and cyclical movements
Applied Economics, 2002, 34, (18), 2239-2247 View citations (11)
See also Working Paper (1999)

2001

A Note on the Power of Money‐Output Causality Tests
Oxford Bulletin of Economics and Statistics, 2001, 63, (2), 247-261
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 (293)
See also Working Paper (2000)
Equity Price Dynamics Before and After the Introduction of the Euro: A Note
Multinational Finance Journal, 2001, 5, (2), 113-128 View citations (1)
See also Working Paper (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 (44)
Market Structure and the Persistence of Sectoral Real Exchange Rates
International Journal of Finance & Economics, 2001, 6, (2), 95-114 View citations (35)
See also Working Paper (1999)

2000

A survey of market practitioners' views on exchange rate dynamics
Journal of International Economics, 2000, 51, (2), 401-419 View citations (114)
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 (80)
See also Working Paper (1999)
On the purchasing power parity puzzle
Journal of International Economics, 2000, 52, (2), 321-330 View citations (133)
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 (24)

1998

A comparison of learning and replicator dynamics using experimental data
Journal of Economic Behavior & Organization, 1998, 35, (3), 263-280 View citations (27)
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 (11)
Integration, cointegration and the forecast consistency of structural exchange rate models
Journal of International Money and Finance, 1998, 17, (5), 813-830 View citations (26)
See also Working Paper (1997)
International evidence on the stock market and aggregate economic activity
Journal of Empirical Finance, 1998, 5, (3), 281-296 View citations (102)
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 (79)

1997

Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
Econometric Theory, 1997, 13, (5), 679-691 View citations (7)
Common Predictable Components in Regional Stock Markets
Journal of Business & Economic Statistics, 1997, 15, (1), 35-42 View citations (15)
Further Investigation of the Uncertain Unit Root in GNP
Journal of Business & Economic Statistics, 1997, 15, (1), 68-73 View citations (60)
See also Working Paper (1996)
Individual Learning in Normal Form Games: Some Laboratory Results
Games and Economic Behavior, 1997, 19, (1), 46-76 View citations (159)
Information Flows Between Eurodollar Spot and Futures Markets
Multinational Finance Journal, 1997, 1, (4), 255-271 View citations (7)
The Performance of Trading Rules on Four Asian Currency Exchange Rates
Multinational Finance Journal, 1997, 1, (1), 1-22 View citations (3)
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 (280)
Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis
Oxford Economic Papers, 1996, 48, (1), 134-62 View citations (36)
See also Working Paper (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 (104)
How sensitive are trends to data definitions? Results for East Asian and G5 countries
Applied Economics Letters, 1995, 2, (1), 1-6
Lag Order and Critical Values of a Modified Dickey-Fuller Test
Oxford Bulletin of Economics and Statistics, 1995, 57, (3), 411-19 View citations (82)
Lag Order and Critical Values of the Augmented Dickey-Fuller Test
Journal of Business & Economic Statistics, 1995, 13, (3), 277-80 View citations (167)
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 (16)

1994

Aggregate output dynamics in the twentieth century
Economics Letters, 1994, 45, (1), 15-22 View citations (5)
Mean reversion in real exchange rates
Economics Letters, 1994, 46, (3), 251-256 View citations (44)
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 (68)
See also Working Paper (1993)

1993

A Fractional Cointegration Analysis of Purchasing Power Parity
Journal of Business & Economic Statistics, 1993, 11, (1), 103-12 View citations (268)
Do Gold Market Returns Have Long Memory?
The Financial Review, 1993, 28, (2), 181-202 View citations (52)
Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration
Oxford Bulletin of Economics and Statistics, 1993, 55, (3), 313-28 View citations (477)
Long Memory in Foreign-Exchange Rates
Journal of Business & Economic Statistics, 1993, 11, (1), 93-101 View citations (158)
Long-run purchasing power parity during the recent float
Journal of International Economics, 1993, 34, (1-2), 181-192 View citations (142)
TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
Journal of Time Series Analysis, 1993, 14, (4), 331-345 View citations (4)

1992

International evidence on output persistence from postwar data
Economics Letters, 1992, 38, (4), 435-441 View citations (6)
Stock Price Dynamics and Firm Size: An Empirical Investigation
Journal of Finance, 1992, 47, (5), 1985-97 View citations (52)

Edited books

2017

International Currency Exposure, vol 1
MIT Press Books, The MIT Press

2012

The Evolving Role of China in the Global Economy, vol 1
MIT Press Books, The MIT Press

Chapters

2010

China's Current Account and Exchange Rate
A chapter in China's Growing Role in World Trade, 2010, pp 231-271 View citations (18)
See also Working Paper (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 (2006)

Editor

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