Details about Robert E. Cumby

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Homepage:	http://www.georgetown.edu/cumby/
Workplace:	Economics Department, Georgetown University, (more information at EDIRC)

Access statistics for papers by Robert E. Cumby.

Last updated 2018-05-16. Update your information in the RePEc Author Service.

Short-id: pcu115

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Working Papers

2008

1. Macroeconomic Implications of a Key Currency
   CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis View citations (4)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (7)
2. Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (65)
   Working Paper Research, National Bank of Belgium (2008) View citations (61)
   See also Journal Article Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (67) (2008)
3. Monetary and Fiscal Policy Coordination when Bonds Provide Transactions Services
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)

2005

4. How Do Monetary and Fiscal Policy Interact in the European Monetary Union?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   See also Chapter How Do Monetary and Fiscal Policy Interact in the European Monetary Union?, NBER Chapters, National Bureau of Economic Research, Inc (2006) View citations (9) (2006)

2004

5. The Cost of Nominal Inertia in NNS Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)

2002

6. The Need for International Policy Coordination: What's Old, What's New, What's Yet to Come?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
   See also Journal Article The need for international policy coordination: what's old, what's new, what's yet to come?, Journal of International Economics, Elsevier (2005) View citations (93) (2005)

2001

7. Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   Also in Working Papers, Department of Economics, Bilkent University (2000)
   See also Journal Article Emerging market debt: measuring credit quality and examining relative pricing, Journal of International Money and Finance, Elsevier (2001) View citations (9) (2001)

1998

8. Fiscal Discipline and Exchange Rate Regimes
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
9. Is the Price Level Determined by the Needs of Fiscal Solvency?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (64)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (37)
   See also Journal Article Is the Price Level Determined by the Needs of Fiscal Solvency?, American Economic Review, American Economic Association (2001) View citations (274) (2001)
10. Trends in European Productivity: Implications for Real Exchange Rates, Real Interest Rates and Inflation Differentials
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (25)

1996

11. Forecasting Exchange Rates and Relative Prices with the Hamburger Standard: Is What You Want What You Get With McParity?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
12. Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (78)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) View citations (126)
    See also Journal Article Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries, Journal of International Economics, Elsevier (1999) View citations (310) (1999)

1995

13. The Term Structure of Credit Risk: Estimates and Specification Tests
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (3)

1990

14. Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions, Econometrica, Econometric Society (1992) View citations (123) (1992)
15. The Predictability of Real Exchange Rate Changes in the Short and Long Run
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    See also Journal Article The predictability of real exchange rate changes in the short and long run, Japan and the World Economy, Elsevier (1991) View citations (8) (1991)

1987

16. Consumption Risk and International Asset Returns: Some Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
17. Finanial Policy and Speculative Runs with a Crawling Peg: Argentina 1979-1981
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Financial policy and speculative runs with a crawling peg: Argentina 1979-1981, Journal of International Economics, Elsevier (1989) View citations (31) (1989)
18. Is it Risk? Explaining Deviations from Uncovered Interest Parity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Is it risk?: Explaining deviations from uncovered interest parity, Journal of Monetary Economics, Elsevier (1988) View citations (77) (1988)
19. On the Definition and Magnitude of Recent Capital Flight
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)

1986

20. Estimation of the optimal futures hedge
    Research Working Paper, Federal Reserve Bank of Kansas City
    See also Journal Article Estimation of the Optimal Futures Hedge, The Review of Economics and Statistics, MIT Press (1988) View citations (144) (1988)

1984

21. Monetary Policy Under Dual Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Monetary policy under dual exchange rates, Journal of International Money and Finance, Elsevier (1984) View citations (6) (1984)
22. The International Linkage of Real Interest Rates: The European - U.S. Connection
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article The international linkage of real interest rates: The European-US connection, Journal of International Money and Finance, Elsevier (1986) View citations (87) (1986)

1983

23. Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (97)
    See also Journal Article Two-step two-stage least squares estimation in models with rational expectations, Journal of Econometrics, Elsevier (1983) View citations (100) (1983)

1982

24. International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
    See also Chapter International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence, NBER Chapters, National Bureau of Economic Research, Inc (1984) View citations (154) (1984)

1981

25. Capital Mobility and the Scope for Sterilization: Mexico in the 1970s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1981) View citations (5)
    See also Chapter Capital Mobility and the Scope for Sterilization: Mexico in the 1970s, NBER Chapters, National Bureau of Economic Research, Inc (1983) View citations (10) (1983)

1980

26. Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

Journal Articles

2018

1. The forward fiscal guidance puzzle and a resolution
   Journal of Economic Dynamics and Control, 2018, 89, (C), 26-46 View citations (7)

2017

2. Should the Federal Reserve Pay Competitive Interest on Reserves?
   Journal of Money, Credit and Banking, 2017, 49, (4), 663-693 View citations (9)

2016

3. Optimal money and debt management: Liquidity provision vs tax smoothing
   Journal of Monetary Economics, 2016, 83, (C), 39-53 View citations (13)

2015

4. Monetary Policy and the Natural Rate of Interest
   Journal of Money, Credit and Banking, 2015, 47, (2-3), 383-414 View citations (8)
   See also Chapter Monetary policy and the natural rate of interest, BIS Papers chapters, 2012, 65, 119-134 (2012) View citations (1) (2012)

2014

5. Optimal Exchange Intervention in an Inflation Targeting Regime: Some Cautionary Tales
   Open Economies Review, 2014, 25, (3), 429-450 View citations (6)

2013

6. Addressing International Empirical Puzzles: the Liquidity of Bonds
   Open Economies Review, 2013, 24, (2), 197-215 View citations (8)
7. Key currency status: An exorbitant privilege and an extraordinary risk
   Journal of International Money and Finance, 2013, 37, (C), 371-393 View citations (16)

2011

8. Comment
   NBER International Seminar on Macroeconomics, 2011, 7, (1), 389 - 394
9. The role of liquid government bonds in the great transformation of American monetary policy
   Journal of Economic Dynamics and Control, 2011, 35, (3), 282-294 View citations (18)

2008

10. Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework
    Journal of Money, Credit and Banking, 2008, 40, (8), 1667-1698 View citations (67)
    See also Working Paper Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework, NBER Working Papers (2008) View citations (66) (2008)

2007

11. Euler equations and money market interest rates: A challenge for monetary policy models
    Journal of Monetary Economics, 2007, 54, (7), 1863-1881 View citations (92)
12. The Cost of Nominal Rigidity in NNS Models
    Journal of Money, Credit and Banking, 2007, 39, (7), 1563-1586 View citations (32)

2006

13. New Keynesian Explanations of Cyclical Movements in Aggregate Inflation and Regional Inflation Differentials
    Open Economies Review, 2006, 17, (1), 27-55 View citations (17)

2005

14. Price- and wage- inflation targeting: variations on a theme by Erceg, Henderson, and Levin
    Proceedings, 2005, 181-215 View citations (23)
15. The need for international policy coordination: what's old, what's new, what's yet to come?
    Journal of International Economics, 2005, 66, (2), 363-384 View citations (93)
    See also Working Paper The Need for International Policy Coordination: What's Old, What's New, What's Yet to Come?, NBER Working Papers (2002) View citations (49) (2002)

2002

16. Should the European Central Bank and the Federal Reserve be concerned about fiscal policy?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2002, 333-389 View citations (84)

2001

17. Emerging market debt: measuring credit quality and examining relative pricing
    Journal of International Money and Finance, 2001, 20, (5), 591-609 View citations (9)
    See also Working Paper Emerging Market Debt: Measuring Credit Quality and Examining Relative Pricing, CEPR Discussion Papers (2001) View citations (9) (2001)
18. Fiscal Discipline and Exchange Rate Systems
    Economic Journal, 2001, 111, (474), 667-90 View citations (35)
19. Is the Price Level Determined by the Needs of Fiscal Solvency?
    American Economic Review, 2001, 91, (5), 1221-1238 View citations (274)
    See also Working Paper Is the Price Level Determined by the Needs of Fiscal Solvency?, CEPR Discussion Papers (1998) View citations (64) (1998)

1999

20. Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries
    Journal of International Economics, 1999, 47, (2), 245-266 View citations (310)
    See also Working Paper Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries, NBER Working Papers (1996) View citations (78) (1996)

1997

21. Conceptual and Methodological Issues in the Measurement of Capital Flight
    International Journal of Finance & Economics, 1997, 2, (2), 101-19 View citations (17)

1994

22. International asset allocation with time varying risk: an analysis and implementation
    Japan and the World Economy, 1994, 6, (1), 1-25 View citations (11)

1992

23. Investigating the correlation of unobserved expectations: Expected returns in equity and foreign exchange markets and other examples
    Journal of Monetary Economics, 1992, 30, (2), 217-253 View citations (10)
24. Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
    Econometrica, 1992, 60, (1), 185-95 View citations (123)
    See also Working Paper Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions, NBER Technical Working Papers (1990) View citations (11) (1990)

1991

25. The predictability of real exchange rate changes in the short and long run
    Japan and the World Economy, 1991, 3, (1), 17-38 View citations (8)
    See also Working Paper The Predictability of Real Exchange Rate Changes in the Short and Long Run, NBER Working Papers (1990) View citations (28) (1990)

1990

26. Consumption risk and international equity returns: some empirical evidence
    Journal of International Money and Finance, 1990, 9, (2), 182-192 View citations (35)
27. Evaluating the Performance of International Mutual Funds
    Journal of Finance, 1990, 45, (2), 497-521 View citations (142)

1989

28. Financial policy and speculative runs with a crawling peg: Argentina 1979-1981
    Journal of International Economics, 1989, 27, (1-2), 111-127 View citations (31)
    See also Working Paper Finanial Policy and Speculative Runs with a Crawling Peg: Argentina 1979-1981, NBER Working Papers (1987) View citations (12) (1987)

1988

29. Estimation of the Optimal Futures Hedge
    The Review of Economics and Statistics, 1988, 70, (4), 623-30 View citations (144)
    See also Working Paper Estimation of the optimal futures hedge, Research Working Paper (1986) (1986)
30. Is it risk?: Explaining deviations from uncovered interest parity
    Journal of Monetary Economics, 1988, 22, (2), 279-299 View citations (77)
    See also Working Paper Is it Risk? Explaining Deviations from Uncovered Interest Parity, NBER Working Papers (1987) View citations (2) (1987)

1987

31. Testing for market timing ability: A framework for forecast evaluation
    Journal of Financial Economics, 1987, 19, (1), 169-189 View citations (126)

1986

32. The international linkage of real interest rates: The European-US connection
    Journal of International Money and Finance, 1986, 5, (1), 5-23 View citations (87)
    See also Working Paper The International Linkage of Real Interest Rates: The European - U.S. Connection, NBER Working Papers (1984) View citations (8) (1984)

1985

33. Exchange rates and international macroeconomics: Jacob A. Frenkel, ed., (University of Chicago Press for the National Bureau of Economic Research, Chicago, 1984) pp. x + 362, $43.00
    Journal of International Economics, 1985, 18, (3-4), 390-393

1984

34. Monetary policy under dual exchange rates
    Journal of International Money and Finance, 1984, 3, (2), 195-208 View citations (6)
    See also Working Paper Monetary Policy Under Dual Exchange Rates, NBER Working Papers (1984) View citations (6) (1984)

1983

35. The international monetary system: A time of turbulence: Jacob S. Dreyer, Gottfried Haberler and Thomas D. Willett, eds., (American Enterprise Institute, Washington, D.C., 1982) pp, iii+523, $14.95
    Journal of International Economics, 1983, 15, (1-2), 196-198
36. Trade credit, exchange controls, and monetary independence: Evidence from the United Kingdom
    Journal of International Economics, 1983, 14, (1-2), 53-67 View citations (2)
37. Two-step two-stage least squares estimation in models with rational expectations
    Journal of Econometrics, 1983, 21, (3), 333-355 View citations (100)
    See also Working Paper Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations, NBER Technical Working Papers (1983) View citations (97) (1983)

1981

38. A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis
    Journal of Finance, 1981, 36, (3), 697-703 View citations (70)

Chapters

2012

1. Monetary policy and the natural rate of interest
   A chapter in Threat of fiscal dominance?, 2012, vol. 65, pp 119-134 View citations (1)
   See also Journal Article Monetary Policy and the Natural Rate of Interest, Blackwell Publishing (2015) View citations (8) (2015)

2010

2. Comment on "Currency Carry Trades"
   A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 389-394
3. The Interaction Between Monetary and Fiscal Policy
   Chapter 17 in Handbook of Monetary Economics, 2010, vol. 3, pp 935-999 View citations (38)

2006

4. How Do Monetary and Fiscal Policy Interact in the European Monetary Union?
   A chapter in NBER International Seminar on Macroeconomics 2004, 2006, pp 241-326 View citations (9)
   See also Working Paper How Do Monetary and Fiscal Policy Interact in the European Monetary Union?, National Bureau of Economic Research, Inc (2005) View citations (18) (2005)

1997

5. Testing Models of the Trade Policy Process: Antidumping and the "New Issues"
   A chapter in The Effects of US Trade Protection and Promotion Policies, 1997, pp 161-190 View citations (1)

1984

6. International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence
   A chapter in Exchange Rate Theory and Practice, 1984, pp 121-152 View citations (154)
   See also Working Paper International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence, National Bureau of Economic Research, Inc (1982) View citations (45) (1982)

1983

7. Capital Mobility and the Scope for Sterilization: Mexico in the 1970s
   A chapter in Financial Policies and the World Capital Market: The Problem of Latin American Countries, 1983, pp 245-276 View citations (10)
   See also Working Paper Capital Mobility and the Scope for Sterilization: Mexico in the 1970s, National Bureau of Economic Research, Inc (1981) View citations (6) (1981)