Details about Richard K. Lyons

Access statistics for papers by Richard K. Lyons.

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

Short-id: ply9

Working Papers

2020

1. What Keeps Stablecoins Stable?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)

2007

2. Exchange Rate Fundamentals and Order Flow
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)

2005

3. A New Micro Model of Exchange Rate Dynamics (March 2004)
   Working Papers, Georgetown University, Department of Economics View citations (4)
4. An Information Approach to International Currencies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
5. Do Currency Markets Absorb News Quickly?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (105)
   See also Journal Article Do currency markets absorb news quickly?, Journal of International Money and Finance, Elsevier (2005) View citations (105) (2005)
6. Exchange Rate Fundamentals and Order Flow (July 2004)
   Working Papers, Georgetown University, Department of Economics View citations (7)
7. How is Macro News Transmitted to Exchange Rates? (December 2003)
   Working Papers, Georgetown University, Department of Economics View citations (2)
8. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
   Working Papers, Georgetown University, Department of Economics View citations (116)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (125)
   See also Journal Article Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting, American Economic Review, American Economic Association (2005) View citations (131) (2005)
9. Understanding Order Flow
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article Understanding order flow, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2006) View citations (47) (2006)

2004

10. A New Micro Model of Exchange Rate Dynamics
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (45)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (51)

2003

11. Are Different-Currency Assets Imperfect Substitutes?
    CESifo Working Paper Series, CESifo View citations (8)
12. How is Macro News Transmitted to Exchange Rates?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (89)
    See also Journal Article How is macro news transmitted to exchange rates?, Journal of Financial Economics, Elsevier (2008) View citations (198) (2008)
13. Inventory Information
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    See also Journal Article Inventory Information, The Journal of Business, University of Chicago Press (2006) View citations (30) (2006)

2001

14. Fixed versus Flexible: Lessons from EMS Order Flow
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    See also Journal Article Fixed versus flexible: Lessons from EMS order flow, Journal of International Money and Finance, Elsevier (2006) View citations (91) (2006)
15. Foreign exchange: macro puzzles, micro tools
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)
    See also Journal Article Foreign exchange: macro puzzles, micro tools, Economic Review, Federal Reserve Bank of San Francisco (2002) View citations (9) (2002)
16. Mutual fund investment in emerging markets - an overview
    Policy Research Working Paper Series, The World Bank View citations (87)
17. Portfolio Balance, Price Impact, and Secret Intervention
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)

2000

18. Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)
    Also in Policy Research Working Paper Series, The World Bank (2000) View citations (36)
    See also Journal Article Managers, investors, and crises: mutual fund strategies in emerging markets, Journal of International Economics, Elsevier (2004) View citations (129) (2004)

1999

19. Order Flow and Exchange Rate Dynamics
    Research Program in Finance Working Papers, University of California at Berkeley View citations (80)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (81)
    See also Journal Article Order Flow and Exchange Rate Dynamics, Journal of Political Economy, University of Chicago Press (2002) View citations (684) (2002)

1998

20. Search Costs: The Neglected Spread Component
    Research Program in Finance Working Papers, University of California at Berkeley View citations (8)

1997

21. Is There Private Information in the FX Market? The Tokyo Experiment
    Research Program in Finance Working Papers, University of California at Berkeley View citations (9)
    Also in Working Papers, University of California at Berkeley, Haas School of Business (1996) View citations (11)
    Working Papers, Economisch Institut voor het Midden en Kleinbedrijf- (1997) View citations (5)
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco (1997) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (18)
22. Profits and Position Control: A Week of FX Dealing
    Research Program in Finance Working Papers, University of California at Berkeley View citations (8)

1995

23. Explaining Forward Exchange Bias...Intraday
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1994)
    See also Journal Article Explaining Forward Exchange Bias... Intraday, Journal of Finance, American Finance Association (1995) View citations (7) (1995)
24. Foreign Exchange Volume: Sound and Fury Signifying Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1995) View citations (15)
    See also Chapter Foreign Exchange Volume: Sound and Fury Signifying Nothing?, NBER Chapters, National Bureau of Economic Research, Inc (1996) View citations (54) (1996)
25. Options and the Currency Risk Premium
    Working Papers, University of California at Berkeley, Haas School of Business

1993

26. Optimal Transparency in a Dealership Market with an Application to Foreign Exchange
    Research Program in Finance Working Papers, University of California at Berkeley View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (5)
27. Tests of Microstructural Hypotheses in the Foreign Exchange Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1993) View citations (15)
    See also Journal Article Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics, Elsevier (1995) View citations (298) (1995)

1991

28. Exchange Rate Hysteresis: Large Versus Small Policy Misalignments
    Working Papers, Columbia - Graduate School of Business View citations (2)
    See also Journal Article Exchange rate hysteresis? Large versus small policy misalignments, European Economic Review, Elsevier (1994) View citations (32) (1994)
29. External Effects in U.S. Procyclical Productivity
    Working Papers, Columbia - Graduate School of Business View citations (1)
    See also Journal Article External effects in U.S. procyclical productivity, Journal of Monetary Economics, Elsevier (1992) View citations (147) (1992)
30. Floating Exchange Rates in Peru, 1950-54
    NBER Working Papers, National Bureau of Economic Research, Inc
31. Private Beliefs and Information Externalities in the Foreign Exchange Market
    Working Papers, Columbia - Graduate School of Business View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (16)
32. Short and Long Run Externalities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    Also in Working Papers, Columbia - Graduate School of Business (1991) View citations (15)
33. Some Evidence of Productivity Linkages in Manufacturing
    Working Papers, Columbia - Graduate School of Business View citations (3)
34. Sourcing externalities
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

1990

35. External Economies and European Integration: The Potential for Self-fulfilling Expectations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

1989

36. Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
37. The Role of External Economies in U.S. Manufacturing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (55)

1988

38. The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

1986

39. Tests of the foreign exchange risk premium using the expected second moments implied by option pricing
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article Tests of the foreign exchange risk premium using the expected second moments implied by option pricing, Journal of International Money and Finance, Elsevier (1988) View citations (18) (1988)

Journal Articles

2008

1. How is macro news transmitted to exchange rates?
   Journal of Financial Economics, 2008, 88, (1), 26-50 View citations (198)
   See also Working Paper How is Macro News Transmitted to Exchange Rates?, NBER Working Papers (2003) View citations (89) (2003)

2006

2. Fixed versus flexible: Lessons from EMS order flow
   Journal of International Money and Finance, 2006, 25, (4), 551-579 View citations (91)
   See also Working Paper Fixed versus Flexible: Lessons from EMS Order Flow, NBER Working Papers (2001) View citations (28) (2001)
3. Inventory Information
   The Journal of Business, 2006, 79, (1), 325-364 View citations (30)
   See also Working Paper Inventory Information, NBER Working Papers (2003) View citations (25) (2003)
4. Understanding order flow
   International Journal of Finance & Economics, 2006, 11, (1), 3-23 View citations (47)
   See also Working Paper Understanding Order Flow, NBER Working Papers (2005) View citations (12) (2005)

2005

5. Do currency markets absorb news quickly?
   Journal of International Money and Finance, 2005, 24, (2), 197-217 View citations (105)
   See also Working Paper Do Currency Markets Absorb News Quickly?, NBER Working Papers (2005) View citations (105) (2005)
6. Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting
   American Economic Review, 2005, 95, (2), 405-414 View citations (131)
   See also Working Paper Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting, Working Papers (2005) View citations (116) (2005)

2004

7. Managers, investors, and crises: mutual fund strategies in emerging markets
   Journal of International Economics, 2004, 64, (1), 113-134 View citations (129)
   See also Working Paper Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets, NBER Working Papers (2000) View citations (35) (2000)

2003

8. Explaining and Forecasting Exchange Rates with Order Flows
   Economie Internationale, 2003, (96), 107-127 View citations (3)

2002

9. Foreign exchange: macro puzzles, micro tools
   Economic Review, 2002, 51-69 View citations (9)
   See also Working Paper Foreign exchange: macro puzzles, micro tools, Pacific Basin Working Paper Series (2001) View citations (5) (2001)
10. Informational integration and FX trading
    Journal of International Money and Finance, 2002, 21, (6), 807-831 View citations (66)
11. Order Flow and Exchange Rate Dynamics
    Journal of Political Economy, 2002, 110, (1), 170-180 View citations (684)
    See also Working Paper Order Flow and Exchange Rate Dynamics, Research Program in Finance Working Papers (1999) View citations (80) (1999)
12. Time-varying liquidity in foreign exchange
    Journal of Monetary Economics, 2002, 49, (5), 1025-1051 View citations (55)

1998

13. Introduction to the international market microstructure issue
    Journal of International Financial Markets, Institutions and Money, 1998, 8, (3-4), 219-223 View citations (1)
14. Profits and position control: a week of FX dealing1
    Journal of International Money and Finance, 1998, 17, (1), 97-115 View citations (24)

1997

15. A simultaneous trade model of the foreign exchange hot potato
    Journal of International Economics, 1997, 42, (3-4), 275-298 View citations (185)
16. Explaining trading volume in foreign exchange: lessons from Tokyo
    FRBSF Economic Letter, 1997, (dec.26)

1996

17. Optimal Transparency in a Dealer Market with an Application to Foreign Exchange
    Journal of Financial Intermediation, 1996, 5, (3), 225-254 View citations (33)

1995

18. Explaining Forward Exchange Bias... Intraday
    Journal of Finance, 1995, 50, (4), 1321-29 View citations (7)
    See also Working Paper Explaining Forward Exchange Bias...Intraday, Research Program in Finance Working Papers (1995) View citations (2) (1995)
19. Tests of microstructural hypotheses in the foreign exchange market
    Journal of Financial Economics, 1995, 39, (2-3), 321-351 View citations (298)
    See also Working Paper Tests of Microstructural Hypotheses in the Foreign Exchange Market, NBER Working Papers (1993) View citations (20) (1993)

1994

20. Customer- and Supplier-Driven Externalities
    American Economic Review, 1994, 84, (4), 1075-84 View citations (141)
21. Exchange rate hysteresis? Large versus small policy misalignments
    European Economic Review, 1994, 38, (1), 1-22 View citations (32)
    See also Working Paper Exchange Rate Hysteresis: Large Versus Small Policy Misalignments, Working Papers (1991) View citations (2) (1991)

1992

22. External effects in U.S. procyclical productivity
    Journal of Monetary Economics, 1992, 29, (2), 209-225 View citations (147)
    See also Working Paper External Effects in U.S. Procyclical Productivity, Working Papers (1991) View citations (1) (1991)
23. Floating exchange rates in Peru, 1950-1954
    Journal of Development Economics, 1992, 38, (1), 99-118 View citations (8)

1990

24. Internal versus external economies in European industry
    European Economic Review, 1990, 34, (4), 805-826 View citations (113)
25. Whence exchange rate overshooting: Money stock or flow?
    Journal of International Economics, 1990, 29, (3-4), 369-384 View citations (7)

1988

26. Tests of the foreign exchange risk premium using the expected second moments implied by option pricing
    Journal of International Money and Finance, 1988, 7, (1), 91-108 View citations (18)
    See also Working Paper Tests of the foreign exchange risk premium using the expected second moments implied by option pricing, International Finance Discussion Papers (1986) View citations (5) (1986)

Books

2006

1. The Microstructure Approach to Exchange Rates, vol 1
   MIT Press Books, The MIT Press View citations (103)

Chapters

1996

1. Foreign Exchange Volume: Sound and Fury Signifying Nothing?
   A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 183-208 View citations (54)
   See also Working Paper Foreign Exchange Volume: Sound and Fury Signifying Nothing?, National Bureau of Economic Research, Inc (1995) View citations (4) (1995)