Details about Ronald Mahieu

Access statistics for papers by Ronald Mahieu.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pma286

Working Papers

2017

1. The World We Live In: Local or Global?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2016

2. Monetary Policy Committees, Voting Behavior and Ideal Points
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

2015

3. Hawks and Doves at the FOMC
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (8)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2015) View citations (13)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (12)
   Discussion Paper, Tilburg University, Center for Economic Research (2015) View citations (13)

2013

4. Estimating the Preferences of Central Bankers: An Analysis of Four Voting Records
   Discussion Paper, Tilburg University, Center for Economic Research View citations (18)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2013) View citations (12)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2013) View citations (12)
5. Inferring Hawks and Doves from Voting Records
   Discussion Paper, Tilburg University, Center for Economic Research View citations (10)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2013) View citations (8)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (13)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2013) View citations (8)
   See also Journal Article Inferring hawks and doves from voting records, European Journal of Political Economy, Elsevier (2018) View citations (13) (2018)

2012

6. Can the Fed Talk the Hind Legs off the Stock Market? (replaces EBC DP 2011-017)
   Other publications TiSEM, Tilburg University, School of Economics and Management
7. Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)
   Discussion Paper, Tilburg University, Center for Economic Research
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012) View citations (1)
8. Performance persistence of Dutch pension plans
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (6)

2011

9. Can the Fed talk the hind legs off the stock market?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article Can the Fed Talk the Hind Legs Off the Stock Market?, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (5) (2017)

2010

10. The Bond Yield Conundrum: Alternative Hypotheses and the State of the Economy
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (2)
    Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (2)

2009

11. Electricity portfolio management: Optimal peak/off-peak allocations
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (12)
    Also in ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2007)
    See also Journal Article Electricity portfolio management: Optimal peak/off-peak allocations, Energy Economics, Elsevier (2009) View citations (19) (2009)

2007

12. Do Exchange Rates Move in Line With Uncovered Interest Parity?
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
13. Hedging Exposure to Electricity Price Risk in a Value at Risk Framework
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
14. Hourly Electricity Prices in Day-Ahead Markets
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (105)
    See also Journal Article Hourly electricity prices in day-ahead markets, Energy Economics, Elsevier (2007) View citations (112) (2007)
15. Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (3)
16. Irving Fisher, Expectational Errors, and the UIP Puzzle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
17. Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (4)

2004

18. Financial Integration Through Benchmarks: The European Banking Sector
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)

2003

19. A Range-Based Multivariate Model for Exchange Rate Volatility
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (5)
20. International Portfolio Choice
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
    See also Chapter International Portfolio Choice, Palgrave Macmillan Books, Palgrave Macmillan (2011) (2011)

2001

21. Daily Exchange Rate Behaviour and Hedging of Currency Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (1)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (25)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (19)
    See also Journal Article Daily exchange rate behaviour and hedging of currency risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2000) View citations (21) (2000)
22. On the Variation of Hedging Decisions in Daily Currency Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (2)
23. Regime Jumps in Electricity Prices
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (13)
    See also Journal Article Regime jumps in electricity prices, Energy Economics, Elsevier (2003) View citations (173) (2003)

1999

24. Price Discovery on Foreign Exchange Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
25. Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Working Papers, Southern California - School of Business Administration (1999) View citations (5)

1994

26. Neglected Common Factors in Exchange Rate Volatility
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (51)
    See also Journal Article Neglected common factors in exchange rate volatility, Journal of Empirical Finance, Elsevier (1994) View citations (50) (1994)
27. Stochastic volatility and the distribution of exchange rate news
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (13)

Journal Articles

2018

1. Inferring hawks and doves from voting records
   European Journal of Political Economy, 2018, 51, (C), 107-120 View citations (13)
   See also Working Paper Inferring Hawks and Doves from Voting Records, Discussion Paper (2013) View citations (10) (2013)

2017

2. Can the Fed Talk the Hind Legs Off the Stock Market?
   International Journal of Central Banking, 2017, 13, (1), 53-94 View citations (5)
   See also Working Paper Can the Fed talk the hind legs off the stock market?, CEPR Discussion Papers (2011) View citations (2) (2011)

2013

3. Factor decomposition and diversification in European corporate bond markets
   Journal of International Money and Finance, 2013, 32, (C), 194-213 View citations (4)

2012

4. Performance Persistence of Dutch Pension Funds
   De Economist, 2012, 160, (1), 17-34 View citations (8)

2009

5. Electricity portfolio management: Optimal peak/off-peak allocations
   Energy Economics, 2009, 31, (1), 169-174 View citations (19)
   See also Working Paper Electricity portfolio management: Optimal peak/off-peak allocations, Other publications TiSEM (2009) View citations (12) (2009)

2007

6. Hourly electricity prices in day-ahead markets
   Energy Economics, 2007, 29, (2), 240-248 View citations (112)
   See also Working Paper Hourly Electricity Prices in Day-Ahead Markets, ERIM Report Series Research in Management (2007) View citations (105) (2007)

2006

7. A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
   Econometric Reviews, 2006, 25, (2-3), 409-424 View citations (8)

2003

8. Regime jumps in electricity prices
   Energy Economics, 2003, 25, (5), 425-434 View citations (173)
   See also Working Paper Regime Jumps in Electricity Prices, ERIM Report Series Research in Management (2001) View citations (13) (2001)

2000

9. Daily exchange rate behaviour and hedging of currency risk
   Journal of Applied Econometrics, 2000, 15, (6), 671-696 View citations (21)
   See also Working Paper Daily Exchange Rate Behaviour and Hedging of Currency Risk, Tinbergen Institute Discussion Papers (2001) (2001)

1998

10. A Bayesian analysis of stock return volatility and trading volume
    Applied Financial Economics, 1998, 8, (6), 671-687 View citations (7)
11. An empirical application of stochastic volatility models
    Journal of Applied Econometrics, 1998, 13, (4), 333-360 View citations (46)
12. Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2
    Journal of International Money and Finance, 1998, 17, (1), 5-27 View citations (21)

1994

13. Neglected common factors in exchange rate volatility
    Journal of Empirical Finance, 1994, 1, (3-4), 279-311 View citations (50)
    See also Working Paper Neglected Common Factors in Exchange Rate Volatility, CEPR Financial Markets Paper (1994) View citations (51) (1994)

Books

2016

1. Central banking and monetary policy: Which will be the post-crisis new normal? Abstract: Central Bankers are currently facing big challenges in designing and implementing monetary policy, as well as with safeguarding financial stability, with the world economy still in the process of digesting the legacy of the crisis. The crisis has changed central banking in many ways: by shifting the focus of monetary policy from fighting too high inflation towards fighting too low inflation; by prompting new ‘experimental’ non-conventional measures, which risk to cause large, long-lasting market distortions and imbalances and which also have more far-reaching distributional consequences than ‘normal, conventional’ monetary policy; and by broadening central banks’ responsibilities particularly in the direction of safeguarding banking stability and financial stability at large. This raises several questions for the future: How long will ultra-easy monetary policies last? What are post-crisis growth trajectories, and how will the natural rate of interest rates evolve? How could an exit from ultra-easy monetary policy and a return towards higher nominal interest rates be eventually managed smoothly? Does ultra-easy monetary policy itself affect the economy in a lasting and structural way? Is the pre-crisis economic paradigm governing monetary policy still valid? If not, in what ways should it be adjusted? Are there any reasonable and practical alternatives? Against this background and given the larger post-crisis range of central banks’ responsibilities: is the current institutionalset-up governing central banks and their relationship to government, Parliament and the financial system still appropriate? What adaptations might be considered? Would they bring an improvement or, on the contrary, a set-back to the unsuccessful policy approaches of the 1960s and 1970s?
   SUERF Studies, SUERF - The European Money and Finance Forum View citations (2)
2. The SSM at 1
   SUERF Studies, SUERF - The European Money and Finance Forum View citations (2)

Chapters

2011

1. International Portfolio Choice
   Palgrave Macmillan
   See also Working Paper International Portfolio Choice, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2003) (2003)