Details about Michael Melvin

Postal address:	Rady School of Management UCSD La Jolla, CA
Workplace:	Rady School of Management, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by Michael Melvin.

Last updated 2025-04-06. Update your information in the RePEc Author Service.

Short-id: pme60

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Working Papers

2022

1. Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market
   CESifo Working Paper Series, CESifo

2020

2. Chinese Exchange Rate Policy: Lessons for Global Investors
   CESifo Working Paper Series, CESifo
   See also Journal Article Chinese Exchange Rate Policy: Lessons for Global Investors, Journal of Money, Credit and Banking, Blackwell Publishing (2022) View citations (1) (2022)
3. Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns
   CESifo Working Paper Series, CESifo View citations (2)
   See also Journal Article Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns, Journal of Financial Markets, Elsevier (2020) View citations (2) (2020)

2016

4. When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
   CESifo Working Paper Series, CESifo
   See also Journal Article When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds, Financial Analysts Journal, Taylor & Francis Journals (2017) (2017)

2013

5. Forecasting Exchange Rates: An Investor Perspective
   CESifo Working Paper Series, CESifo View citations (12)
   See also Chapter Forecasting Exchange Rates: an Investor Perspective, Handbook of Economic Forecasting, Elsevier (2013) View citations (12) (2013)

2010

6. Active Currency Investing and Performance Benchmarks
   CESifo Working Paper Series, CESifo View citations (2)

2009

7. Bank of England Interest Rate Announcements and the Foreign Exchange Market
   CESifo Working Paper Series, CESifo View citations (14)
   See also Journal Article Bank of England Interest Rate Announcements and the Foreign Exchange Market, International Journal of Central Banking, International Journal of Central Banking (2010) View citations (7) (2010)
8. Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
   CESifo Working Paper Series, CESifo View citations (28)
   See also Journal Article Exchange rate management in emerging markets: Intervention via an electronic limit order book, Journal of International Economics, Elsevier (2009) View citations (28) (2009)
9. The Crisis in the Foreign Exchange Market
   CESifo Working Paper Series, CESifo View citations (173)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (173)
   See also Journal Article The crisis in the foreign exchange market, Journal of International Money and Finance, Elsevier (2009) View citations (170) (2009)

2008

10. Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book
    CESifo Working Paper Series, CESifo View citations (2)

2007

11. The Dark Side of International Cross-Listing: Effects on Rival Firms at Home
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article The Dark Side of International Cross‐Listing: Effects on Rival Firms at Home, European Financial Management, European Financial Management Association (2009) View citations (5) (2009)

2004

12. Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

1999

13. Japan's Big Bang and the Transformation of Financial Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

1997

14. Is There Private Information in the FX Market? The Tokyo Experiment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

Undated

15. A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
    See also Journal Article A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina, Economics Letters, Elsevier (2003) View citations (30) (2003)
16. A Yen is not a Yen: TIBOR/LIBOR and the determinants of the 'Japan Premium'
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
    See also Journal Article A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium, Journal of Financial and Quantitative Analysis, Cambridge University Press (2004) View citations (21) (2004)
17. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency
    Working Papers, Arizona State University, Department of Economics View citations (5)
    See also Journal Article Public Information Arrival, Exchange Rate Volatility, and Quote Frequency, Economic Journal, Royal Economic Society (2000) View citations (116) (2000)
18. The Political Economy of Japan's Big Bang
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University

Journal Articles

2025

1. Seasonal affective disorder and currency markets
   Annals of Operations Research, 2025, 346, (1), 549-565

2022

2. Chinese Exchange Rate Policy: Lessons for Global Investors
   Journal of Money, Credit and Banking, 2022, 54, (1), 145-168 View citations (1)
   See also Working Paper Chinese Exchange Rate Policy: Lessons for Global Investors, CESifo Working Paper Series (2020) (2020)

2020

3. Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns
   Journal of Financial Markets, 2020, 51, (C) View citations (2)
   See also Working Paper Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns, CESifo Working Paper Series (2020) View citations (2) (2020)

2017

4. When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
   Financial Analysts Journal, 2017, 73, (1), 121-144
   See also Working Paper When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds, CESifo Working Paper Series (2016) (2016)

2016

5. Global Investment Environment of the Post-Quantitative Easing World: The ‘new-old’ and ‘new-new’ Normal
   Pacific Economic Review, 2016, 21, (3), 255-275

2015

6. Equity hedging and exchange rates at the London 4p.m. fix
   Journal of Financial Markets, 2015, 22, (C), 50-72 View citations (43)

2014

7. Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation
   Pacific-Basin Finance Journal, 2014, 29, (C), 163-181 View citations (10)

2013

8. The choice of direct dealing or electronic brokerage in foreign exchange trading
   Borsa Istanbul Review, 2013, 13, (3), 10-21

2010

9. Bank of England Interest Rate Announcements and the Foreign Exchange Market
   International Journal of Central Banking, 2010, 6, (3), 211-247 View citations (7)
   See also Working Paper Bank of England Interest Rate Announcements and the Foreign Exchange Market, CESifo Working Paper Series (2009) View citations (14) (2009)

2009

10. Exchange rate management in emerging markets: Intervention via an electronic limit order book
    Journal of International Economics, 2009, 79, (1), 54-63 View citations (28)
    See also Working Paper Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book, CESifo Working Paper Series (2009) View citations (28) (2009)
11. The Dark Side of International Cross‐Listing: Effects on Rival Firms at Home
    European Financial Management, 2009, 15, (1), 66-91 View citations (5)
    See also Working Paper The Dark Side of International Cross-Listing: Effects on Rival Firms at Home, CESifo Working Paper Series (2007) View citations (1) (2007)
12. The crisis in the foreign exchange market
    Journal of International Money and Finance, 2009, 28, (8), 1317-1330 View citations (170)
    See also Working Paper The Crisis in the Foreign Exchange Market, CESifo Working Paper Series (2009) View citations (173) (2009)
13. The global financial crisis: Causes, threats and opportunities. Introduction and overview
    Journal of International Money and Finance, 2009, 28, (8), 1243-1245 View citations (16)

2008

14. Excess demand and price formation during a Walrasian auction
    Journal of Empirical Finance, 2008, 15, (3), 533-548 View citations (5)

2007

15. Exchange Rates and FOMC Days
    Journal of Money, Credit and Banking, 2007, 39, (5), 1245-1266 View citations (14)
    Also in Journal of Money, Credit and Banking, 2007, 39, (5), 1245-1266 (2007) View citations (2)
16. Explaining the early years of the euro exchange rate: An episode of learning about a new central bank
    European Economic Review, 2007, 51, (3), 505-520 View citations (2)

2006

17. Explaining trading volume in the euro
    International Journal of Finance & Economics, 2006, 11, (1), 25-34 View citations (7)

2005

18. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
    Journal of Empirical Finance, 2005, 12, (1), 139-164 View citations (116)
19. Tokyo insiders and the informational efficiency of the yen|dollar exchange rate
    International Journal of Finance & Economics, 2005, 10, (2), 185-193 View citations (9)

2004

20. A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium
    Journal of Financial and Quantitative Analysis, 2004, 39, (1), 193-208 View citations (21)
    See also Working Paper A Yen is not a Yen: TIBOR/LIBOR and the determinants of the 'Japan Premium', Working Papers
21. Why has FX trading surged?
    BIS Quarterly Review, 2004 View citations (54)

2003

22. A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina
    Economics Letters, 2003, 81, (1), 129-136 View citations (30)
    See also Working Paper A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina, Working Papers
23. The Global Transmission of Volatility in the Foreign Exchange Market
    The Review of Economics and Statistics, 2003, 85, (3), 670-679 View citations (88)

2002

24. Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
    Journal of Empirical Finance, 2002, 9, (3), 271-285 View citations (70)
25. Before and after international cross-listing: an intraday examination of volume and volatility
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (2), 139-155 View citations (17)

2001

26. 'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow
    Journal of International Money and Finance, 2001, 20, (3), 327-347 View citations (70)

2000

27. Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration
    Multinational Finance Journal, 2000, 4, (3-4), 181-200 View citations (1)
28. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency
    Economic Journal, 2000, 110, (465), 644-61 View citations (116)
    See also Working Paper Public Information Arrival, Exchange Rate Volatility, and Quote Frequency, Working Papers View citations (5)

1998

29. Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence
    Atlantic Economic Journal, 1998, 26, (1), 44-53 View citations (2)

1997

30. U.S. protectionist policy and stock prices of U.S. import-competing and Korean and Taiwanese export-oriented firms
    Pacific-Basin Finance Journal, 1997, 5, (1), 25-38 View citations (2)

1996

31. DOLLARIZATION IN DEVELOPING COUNTRIES: RATIONAL REMEDY OR DOMESTIC DILEMMA?
    Contemporary Economic Policy, 1996, 14, (3), 30-40 View citations (6)
32. Foreign Exchange Market Bid-Ask Spreads and the Market Price of Social Unrest
    Oxford Economic Papers, 1996, 48, (2), 329-41 View citations (22)
33. Which Single Currency for Western Europe?
    Review of International Economics, 1996, 4, (2), 247-55 View citations (1)

1994

34. Bid--ask spreads and volatility in the foreign exchange market: An empirical analysis
    Journal of International Economics, 1994, 36, (3-4), 355-372 View citations (131)
35. Sources of meteor showers and heat waves in the foreign exchange market
    Journal of International Economics, 1994, 37, (3-4), 239-247 View citations (48)

1993

36. On the possibility of a yen currency bloc for Pacific-Basin countries: A stochastic dominance approach
    Pacific-Basin Finance Journal, 1993, 1, (4), 309-333 View citations (2)

1992

37. Economic fundamentals and a yen currency area for Asian Pacific Rim countries
    Proceedings, 1992, 344-361
    Also in Proceedings, 1992, (Sep) (1992)

1991

38. Coca Dollars and the Dollarization of South America
    Journal of Money, Credit and Banking, 1991, 23, (4), 752-63 View citations (11)
39. Exchange Rate Systems and Investor Preferences
    Economic Inquiry, 1991, 29, (3), 446-57 View citations (1)
40. Trade balance news and exchange rates: Is there a policy signal?
    Journal of International Money and Finance, 1991, 10, (1, Supplement), S90-S99 View citations (31)

1990

41. Property Rights, Development, and Velocity in Developing Countries
    Economic Development and Cultural Change, 1990, 38, (4), 821-32 View citations (1)
42. South African political unrest, oil prices, and the time varying risk premium in the gold futures market
    Journal of Futures Markets, 1990, 10, (2), 103-111 View citations (60)
43. The choice of an invoicing currency in international trade and the balance of trade impact of currency depreciation
    Open Economies Review, 1990, 1, (3), 251-268 View citations (9)

1989

44. Do centrally planned exchange rates behave differently from capitalist rates?
    Journal of Comparative Economics, 1989, 13, (2), 325-334 View citations (3)
45. Dollar currency in Latin America: A Bolivian application
    Economics Letters, 1989, 31, (4), 393-397 View citations (15)
46. The U.S. Budget Deficit and the Foreign Exchange Value of the Dollar
    The Review of Economics and Statistics, 1989, 71, (3), 500-505 View citations (2)

1988

47. The Dollarization of Latin America as a Market-Enforced Monetary Reform: Evidence and Implications
    Economic Development and Cultural Change, 1988, 36, (3), 543-58 View citations (19)

1986

48. Risk in international lending: A dynamic factor analysis applied to France and Mexico
    Journal of International Money and Finance, 1986, 5, (1, Supplement), S31-S48 View citations (3)

1985

49. A Country Risk Index: Econometric Formulation and an Application to Mexico
    Economic Inquiry, 1985, 23, (4), 601-19 View citations (2)
50. The Choice of an Exchange Rate System and Macroeconomic Stability
    Journal of Money, Credit and Banking, 1985, 17, (4), 467-78 View citations (52)

1984

51. Trade concentration, openness, and deviations from purchasing power parity
    Journal of International Money and Finance, 1984, 3, (3), 369-376 View citations (3)

1983

52. Expected Inflation and Interest Rates: Reply
    American Economic Review, 1983, 73, (3), 503-06
53. The Determinants of Co-Authorship: An Analysis of the Economics Literature
    The Review of Economics and Statistics, 1983, 65, (1), 155-60 View citations (76)
54. The Vanishing Liquidity Effect of Money on Interest: Analysis and Implications for Policy
    Economic Inquiry, 1983, 21, (2), 188-202 View citations (41)

1982

55. Expected Inflation, Taxation, and Interest Rates: The Delusion of Fiscal Illusion
    American Economic Review, 1982, 72, (4), 841-45 View citations (10)

Books

2012

1. International Money and Finance
   Elsevier Monographs, Elsevier View citations (3)

Chapters

2024

1. Investing through Fed regime changes in the post-crisis period
   Chapter 9 in Handbook of Financial Integration, 2024, pp 206-223

2013

2. Forecasting Exchange Rates: an Investor Perspective
   Elsevier View citations (12)
   See also Working Paper Forecasting Exchange Rates: An Investor Perspective, CESifo (2013) View citations (12) (2013)

2004

3. DOES CORPORATE GOVERNANCE MATTER IN THE MARKET RESPONSE TO MERGER ANNOUNCEMENTS? EVIDENCE FROM THE U.S. AND GERMANY
   A chapter in Corporate Governance, 2004, pp 103-135

1983

4. An Alternative Approach to International Capital Flows
   A chapter in The International Transmission of Inflation, 1983, pp 380-418 View citations (1)