Details about Anastasios G. Malliaris

E-mail:
Homepage:	https://www.luc.edu/quinlan/about/leadershipcenterslabs/finpol/bios/agtassosmalliaris/
Phone:	1-312-915-6063
Postal address:	Quinlan School of Business 16 East Pearson Street Chicago, Illinois 60611 USA
Workplace:	Department of Economics, Loyola University, (more information at EDIRC)

Access statistics for papers by Anastasios G. Malliaris.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pma860

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Working Papers

2011

1. Are foreign currency markets interdependent? evidence from data mining technologies
   MPRA Paper, University Library of Munich, Germany
2. Are oil, gold and the euro inter-related? time series and neural network analysis
   MPRA Paper, University Library of Munich, Germany View citations (6)
   See also Journal Article Are oil, gold and the euro inter-related? Time series and neural network analysis, Review of Quantitative Finance and Accounting, Springer (2013) View citations (23) (2013)

2010

3. Episodic Nonlinearity in Leading Global Currencies
   DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics View citations (1)
   See also Journal Article Episodic Nonlinearity in Leading Global Currencies, Open Economies Review, Springer (2012) View citations (4) (2012)

2006

4. Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

Journal Articles

2024

1. One Man’s Bubble Is Another Man’s Rational Behavior: Comparing Alternative Macroeconomic Hypotheses for the US Housing Market
   JRFM, 2024, 17, (8), 1-21

2023

2. House Bubbles, global imbalances and monetary policy in the US
   Journal of International Money and Finance, 2023, 138, (C) View citations (2)
3. The scope and methodology of economic and financial asymmetries
   The Journal of Economic Asymmetries, 2023, 27, (C) View citations (3)
4. Where is the Euro Area headed? Restoration of price stability
   Journal of Policy Modeling, 2023, 45, (4), 848-863

2022

5. Monetary policy, financial shocks and economic activity
   Review of Quantitative Finance and Accounting, 2022, 59, (2), 429-456
6. Reprint of: Delegated asset management and performance when some investors are unsophisticated
   Journal of Banking & Finance, 2022, 140, (C)

2021

7. Delegated asset management and performance when some investors are unsophisticated
   Journal of Banking & Finance, 2021, 133, (C) View citations (1)
8. Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19
   Journal of Policy Modeling, 2021, 43, (1), 15-33 View citations (6)
9. What Has Driven the U.S. Monthly Oil Production Since 2009? Empirical Results from Two Modeling Approaches
   JRFM, 2021, 14, (2), 1-11 View citations (1)
10. What Microeconomic Fundamentals Drove Global Oil Prices during 1986–2020?
    JRFM, 2021, 14, (8), 1-13 View citations (2)

2020

11. TO LEAN OR NOT TO LEAN AGAINST AN ASSET PRICE BUBBLE? EMPIRICAL EVIDENCE
    Economic Inquiry, 2020, 58, (4), 1958-1976 View citations (9)
12. The global price of oil, QE and the US high yield rate
    Journal of Economic Studies, 2020, 47, (7), 1849-1860 View citations (3)
13. The impact of the twin financial crises
    Journal of Policy Modeling, 2020, 42, (4), 878-892 View citations (3)

2018

14. The Evolving Nature of Asset Price Bubbles, Financial Instability and Monetary Policy
    Multinational Finance Journal, 2018, 22, (1-2), 35-62

2016

15. Asset price momentum and monetary policy: time-varying parameter estimation of Taylor Rules
    Applied Economics, 2016, 48, (55), 5329-5339 View citations (4)

2015

16. Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis
    Review of Economic Analysis, 2015, 7, (2), 135-156 View citations (3)
17. The impact of large-scale asset purchases on the S&P 500 index, long-term interest rates and unemployment
    Applied Economics, 2015, 47, (55), 6010-6018 View citations (4)
18. What drives gold returns? A decision tree analysis
    Finance Research Letters, 2015, 13, (C), 45-53 View citations (26)

2014

19. N-tuple S&P patterns across decades, 1950–2011
    Central European Journal of Operations Research, 2014, 22, (2), 339-353

2013

20. Are oil, gold and the euro inter-related? Time series and neural network analysis
    Review of Quantitative Finance and Accounting, 2013, 40, (1), 1-14 View citations (23)
    See also Working Paper Are oil, gold and the euro inter-related? time series and neural network analysis, MPRA Paper (2011) View citations (6) (2011)

2012

21. Are foreign currency markets interdependent? Evidence from data mining technologies / ¿Son interdependientes los mercados de divisas? Evidencia de tecnologías de minería de datos
    Estocástica: finanzas y riesgo, 2012, 2, (1), 31-47
22. Asset price bubbles: What are the causes, consequences, and public policy options?
    Chicago Fed Letter, 2012, (Nov) View citations (3)
23. Episodic Nonlinearity in Leading Global Currencies
    Open Economies Review, 2012, 23, (2), 337-357 View citations (4)
    See also Working Paper Episodic Nonlinearity in Leading Global Currencies, DUTH Research Papers in Economics (2010) View citations (1) (2010)
24. Transparent US monetary policy: theory and tests
    Applied Economics, 2012, 44, (7), 813-824

2011

25. Causes of the Financial Crisis and Great Recession: The Role of U.S. Monetary Policy
    The Journal of Economic Asymmetries, 2011, 8, (2), 73-90 View citations (4)
26. Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes
    Review of Behavioral Finance, 2011, 3, (1), 27-53 View citations (6)
27. Oil prices and the impact of the financial crisis of 2007–2009
    Energy Economics, 2011, 33, (6), 1049-1054 View citations (31)

2010

28. Asset Prices and the Financial Crisis of 2007--09: An Overview of Theories and Policies
    Forum for Social Economics, 2010, 39, (3), 279-286
    Also in Forum for Social Economics, 2010, 39, (3), 279-286 (2010)
29. Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
    Computational Economics, 2010, 35, (1), 1-23 View citations (5)

2009

30. Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"
    Energy Economics, 2009, 31, (6), 825-826
31. Energy sector pricing: On the role of neglected nonlinearity
    Energy Economics, 2009, 31, (3), 492-502 View citations (35)
32. The dollar, the euro and the role of emerging economies
    International Journal of Indian Culture and Business Management, 2009, 2, (1), 11-29
33. The impact of information signals on market prices when agents have non-linear trading rules
    Economic Modelling, 2009, 26, (1), 167-176 View citations (11)

2008

34. Investment principles for individual retirement accounts
    Journal of Banking & Finance, 2008, 32, (3), 393-404 View citations (5)
35. NAFTA: Past, Present and Future
    The Journal of Economic Asymmetries, 2008, 5, (1), 13-23

2007

36. The Future of the U.S. Dollar and its Competition with the Euro
    European Research Studies Journal, 2007, X, (1-2), 97-110 View citations (1)

2006

37. US inflation and commodity prices: Analytical and empirical issues
    Journal of Macroeconomics, 2006, 28, (1), 267-271 View citations (9)

2005

38. Asymmetrical economic & institutional changes in the Western Balkans: Cooperation with the European Union
    European Research Studies Journal, 2005, VIII, (1-2), 43-64 View citations (1)
39. How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
    European Journal of Operational Research, 2005, 163, (1), 20-29 View citations (8)
    See also Chapter How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule, World Scientific Book Chapters, 2005, 223-232 (2005) View citations (8) (2005)

2004

40. Monetary Policy and the U.S. Stock Market
    Economic Inquiry, 2004, 42, (3), 387-401 View citations (22)
    See also Chapter MONETARY POLICY AND THE U.S. STOCK MARKET, World Scientific Book Chapters, 2005, 233-247 (2005) (2005)

2002

41. Global monetary instability: The role of the IMF, the EU and NAFTA
    The North American Journal of Economics and Finance, 2002, 13, (1), 72-92 View citations (4)
    See also Chapter Global monetary instability: The role of the IMF, the EU and NAFTA, World Scientific Book Chapters, 2005, 323-343 (2005) (2005)
42. Multi-Fractality in Foreign Currency Markets
    Multinational Finance Journal, 2002, 6, (2), 65-98 View citations (23)
    See also Chapter Multi-Fractality in Foreign Currency Markets, World Scientific Book Chapters, 2005, 151-184 (2005) (2005)

2000

43. Strengthening The Global Financial Stability: Lessons From The European Monetary Union
    European Research Studies Journal, 2000, III, (1-2), 11-28 View citations (1)
44. Swings of the Pendulum: A Review of Theory and Practice in Development Economics
    The American Economist, 2000, 44, (1), 17-23 View citations (3)

1999

45. Methodological issues in asset pricing: Random walk or chaotic dynamics
    Journal of Banking & Finance, 1999, 23, (11), 1605-1635 View citations (15)
    See also Chapter Methodological issues in asset pricing: Random walk or chaotic dynamics, World Scientific Book Chapters, 2005, 85-115 (2005) (2005)

1998

46. Volume and Volatility in Foreign Currency Futures Markets
    Review of Quantitative Finance and Accounting, 1998, 10, (3), 285-302 View citations (10)
    See also Chapter Volume and Volatility in Foreign Currency Futures Markets, World Scientific Book Chapters, 2015, 103-123 (2015) (2015)
47. Volume and price relationships: Hypotheses and testing for agricultural futures
    Journal of Futures Markets, 1998, 18, (1), 53-72 View citations (18)

1997

48. Searching for fractal structure in agricultural futures markets
    Journal of Futures Markets, 1997, 17, (4), 433-473 View citations (35)

1996

49. Linkages between agricultural commodity futures contracts
    Journal of Futures Markets, 1996, 16, (5), 595-609 View citations (35)
50. NAFTA: Old and new lessons from theory and practice with economic integration
    The North American Journal of Economics and Finance, 1996, 7, (1), 31-41 View citations (2)

1995

51. Decomposition of Inflation and Its Volatility: A Stochastic Approach
    Review of Quantitative Finance and Accounting, 1995, 5, (1), 93-103
    See also Chapter Decomposition of Inflation and its Volatility: A Stochastic Approach, World Scientific Book Chapters, 2005, 29-39 (2005) (2005)

1994

52. Differential equations, stability and chaos in dynamic economics: W.A. Brock and A.G. Malliaris (Amsterdam-Oxford-New York: Elsevier-North-Holland, 1989. Pp. xvi + 390. DF1 150 hardback. ISBN 0 444 70500 7)
    Structural Change and Economic Dynamics, 1994, 5, (2), 394-396
53. Toward Monetary Union of the European Community
    American Journal of Economics and Sociology, 1994, 53, (3), 291-301 View citations (2)

1992

54. Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975
    International Review of Financial Analysis, 1992, 1, (1), 77-93
    See also Chapter Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975, World Scientific Book Chapters, 2005, 41-57 (2005) (2005)
55. The International Crash of October 1987: Causality Tests
    Journal of Financial and Quantitative Analysis, 1992, 27, (3), 353-364 View citations (108)
    See also Chapter The International Crash of October 1987: Causality Tests, World Scientific Book Chapters, 2005, 251-262 (2005) (2005)

1991

56. An empirical investigation among real, monetary and financial variables
    Economics Letters, 1991, 37, (2), 151-158 View citations (10)
    See also Chapter An empirical investigation among real, monetary and financial variables, World Scientific Book Chapters, 2005, 13-20 (2005) (2005)
57. Economic determinants of trading volume in futures markets
    Economics Letters, 1991, 35, (3), 301-305 View citations (1)
58. Interest rates and inflation: A continuous time stochastic approach
    Economics Letters, 1991, 37, (4), 351-356 View citations (1)
    See also Chapter Interest rates and inflation: A continuous time stochastic approach, World Scientific Book Chapters, 2005, 23-28 (2005) (2005)
59. Money, inflation and interest rates: Illustrations from twelve European economies
    European Journal of Political Economy, 1991, 7, (3), 275-298
    See also Chapter Money, inflation and interest rates: Illustrations from twelve European economies, World Scientific Book Chapters, 2005, 59-82 (2005) (2005)
60. Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies
    Journal of Futures Markets, 1991, 11, (1), 55-68 View citations (10)
61. The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures
    Journal of Futures Markets, 1991, 11, (3), 271-289 View citations (27)

1990

62. How big is the random walks in macroeconomic time series: Variance ratio tests
    Economics Letters, 1990, 34, (2), 113-116 View citations (2)
    See also Chapter How big is the random walk in macroeconomic time series: Variance ratio tests, World Scientific Book Chapters, 2005, 9-12 (2005) (2005)

1987

63. Asymptotic Growth under Uncertainty: Existence and Uniqueness
    The Review of Economic Studies, 1987, 54, (1), 169-174 View citations (14)
    See also Chapter Asymptotic Growth under Uncertainty: Existence and Uniqueness, World Scientific Book Chapters, 2005, 3-8 (2005) (2005)

1982

64. Aspects of Economic and Social Policies in Integrated Economies
    International Journal of Social Economics, 1982, 9, (6/7), 105-124

1975

65. SECTORAL ANALYSIS OF GREEK MANUFACTURING
    Annals of Public and Cooperative Economics, 1975, 46, (4), 407-416

1970

66. Input Analysis and Short Run Economic Profits
    The American Economist, 1970, 14, (2), 62-65

Books

2005

1. Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

1999

2. Foundations of Futures Markets
   Books, Edward Elgar Publishing View citations (1)

Edited books

2018

1. Innovative Federal Reserve Policies During the Great Financial Crisis
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2. Public Policy & Financial Economics:Essays in Honor of Professor George G Kaufman for His Lifelong Contributions to the Profession
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2016

3. The Global Financial Crisis and Its Aftermath: Hidden Factors in the Meltdown
   OUP Catalogue, Oxford University Press View citations (6)
4. The Global Financial Crisis and Its Aftermath: Hidden Factors in the Meltdown
   OUP Catalogue, Oxford University Press View citations (6)

2015

5. The World Scientific Handbook of Futures Markets
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (2)

2012

6. New Perspectives on Asset Price Bubbles
   OUP Catalogue, Oxford University Press View citations (28)
7. New Perspectives on Asset Price Bubbles
   OUP Catalogue, Oxford University Press View citations (48)

2001

8. Options Markets, vol Three volume set
   Books, Edward Elgar Publishing View citations (1)

1997

9. Futures Markets, vol Three volume set
   Books, Edward Elgar Publishing View citations (2)

Chapters

2020

1. Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model
   Chapter 27 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 1025-1074

2018

2. Asset Price Bubbles and Public Policy
   Chapter 12 in Public Policy & Financial Economics Essays in Honor of Professor George G Kaufman for His Lifelong Contributions to the Profession, 2018, pp 197-246 View citations (3)
3. Directional Returns for Gold and Silver: A Cluster Analysis Approach
   Springer
4. Housing and Other Price Bubbles: The Buildup, the Burst, and the Impact
   Chapter 8 in Innovative Federal Reserve Policies During the Great Financial Crisis, 2018, pp 229-256

2015

5. Futures Markets: An Overview
   Chapter 1 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 3-22
6. Volume and Volatility in Foreign Currency Futures Markets
   Chapter 5 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 103-123
   See also Journal Article Volume and Volatility in Foreign Currency Futures Markets, Springer (1998) View citations (10) (1998)

2008

7. Uncertainty, Transparency, and Future Monetary Policy
   Palgrave Macmillan

2006

8. Rethinking Monetary Stabilization in the Presence of an Asset Bubble: Should the Response be Symmetric or Asymmetric?
   Chapter 8 in Global Divergence in Trade, Money and Policy, 2006, pp 172-192
9. Speculative Nonfundamental Components in Mature Stock Markets: Do they Exist and are they Related?
   Chapter 11 in Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, 2006, pp 217-246 View citations (1)

2005

10. ARE THERE RATIONAL BUBBLES IN THE U.S STOCK MARKET? OVERVIEW AND A NEW TEST
    Chapter 12 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 187-206
11. An empirical investigation among real, monetary and financial variables
    Chapter 3 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 13-20
    See also Journal Article An empirical investigation among real, monetary and financial variables, Elsevier (1991) View citations (10) (1991)
12. Asymptotic Growth under Uncertainty: Existence and Uniqueness
    Chapter 1 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 3-8
    See also Journal Article Asymptotic Growth under Uncertainty: Existence and Uniqueness, Review of Economic Studies Ltd (1987) View citations (14) (1987)
13. Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions
    Chapter 9 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 117-136
14. Decomposition of Inflation and its Volatility: A Stochastic Approach
    Chapter 5 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 29-39
    See also Journal Article Decomposition of Inflation and Its Volatility: A Stochastic Approach, Springer (1995) (1995)
15. EQUITY AND OIL MARKETS UNDER EXTERNAL SHOCKS
    Chapter 19 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 309-322
16. EUROPEAN STOCK MARKET FLUCTUATIONS: SHORT AND LONG TERM LINKS
    Chapter 10 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 137-149
17. Global monetary instability: The role of the IMF, the EU and NAFTA
    Chapter 20 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 323-343
    See also Journal Article Global monetary instability: The role of the IMF, the EU and NAFTA, Elsevier (2002) View citations (4) (2002)
18. How big is the random walk in macroeconomic time series: Variance ratio tests
    Chapter 2 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 9-12
    See also Journal Article How big is the random walks in macroeconomic time series: Variance ratio tests, Elsevier (1990) View citations (2) (1990)
19. How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
    Chapter 14 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 223-232 View citations (8)
    See also Journal Article How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule, Elsevier (2005) View citations (8) (2005)
20. IS THE FEDERAL RESERVE STOCK MARKET BUBBLE-NEUTRAL?
    Chapter 13 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 207-221
21. Interest rates and inflation: A continuous time stochastic approach
    Chapter 4 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 23-28
    See also Journal Article Interest rates and inflation: A continuous time stochastic approach, Elsevier (1991) View citations (1) (1991)
22. MONETARY POLICY AND THE U.S. STOCK MARKET
    Chapter 15 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 233-247
    See also Journal Article Monetary Policy and the U.S. Stock Market, Western Economic Association International (2004) View citations (22) (2004)
23. Methodological issues in asset pricing: Random walk or chaotic dynamics
    Chapter 8 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 85-115
    See also Journal Article Methodological issues in asset pricing: Random walk or chaotic dynamics, Elsevier (1999) View citations (15) (1999)
24. Money, inflation and interest rates: Illustrations from twelve European economies
    Chapter 7 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 59-82
    See also Journal Article Money, inflation and interest rates: Illustrations from twelve European economies, Elsevier (1991) (1991)
25. Multi-Fractality in Foreign Currency Markets
    Chapter 11 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 151-184
    See also Journal Article Multi-Fractality in Foreign Currency Markets, Multinational Finance Journal (2002) View citations (23) (2002)
26. OIL AND WORLD STOCK MARKETS' REACTION TO THE GULF CRISIS
    Chapter 18 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 287-307
27. Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975
    Chapter 6 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 41-57
    See also Journal Article Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975, Elsevier (1992) (1992)
28. THE IMPACT OF THE PERSIAN GULF CRISIS ON NATIONAL EQUITY MARKETS
    Chapter 17 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 263-285 View citations (1)
29. The International Crash of October 1987: Causality Tests
    Chapter 16 in Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, 2005, pp 251-262
    See also Journal Article The International Crash of October 1987: Causality Tests, Cambridge University Press (1992) View citations (108) (1992)

1996

30. The Common Agricultural Policy of the EU and developing countries
    Chapter 16 in Economic Integration and Public Policy in the European Union, 1996, pp 193-205

Editor

1. The Journal of Economic Asymmetries
   Elsevier