Details about Michael Melvin
Access statistics for papers by Michael Melvin.
Last updated 2024-03-06. Update your information in the RePEc Author Service.
Short-id: pme60
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Working Papers
2022
- Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market
CESifo Working Paper Series, CESifo
2020
- 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)
- 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
- 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
- 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
- Active Currency Investing and Performance Benchmarks
CESifo Working Paper Series, CESifo View citations (2)
2009
- 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)
- 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)
- 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
- Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book
CESifo Working Paper Series, CESifo View citations (2)
2007
- 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
- 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
- Japan's Big Bang and the Transformation of Financial Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
1997
- Is There Private Information in the FX Market? The Tokyo Experiment
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
Undated
- 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)
- 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)
- 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)
- The Political Economy of Japan's Big Bang
Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
Journal Articles
2022
- 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
- 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
- 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
- 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
- Equity hedging and exchange rates at the London 4p.m. fix
Journal of Financial Markets, 2015, 22, (C), 50-72 View citations (43)
2014
- 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
- The choice of direct dealing or electronic brokerage in foreign exchange trading
Borsa Istanbul Review, 2013, 13, (3), 10-21
2010
- 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
- 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)
- 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)
- 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)
- 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
- Excess demand and price formation during a Walrasian auction
Journal of Empirical Finance, 2008, 15, (3), 533-548 View citations (5)
2007
- 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)
- 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
- Explaining trading volume in the euro
International Journal of Finance & Economics, 2006, 11, (1), 25-34 View citations (7)
2005
- 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)
- 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
- 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
- Why has FX trading surged?
BIS Quarterly Review, 2004 View citations (54)
2003
- 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
- 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
- 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)
- 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
- '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
- 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)
- 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
- 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
- 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
- DOLLARIZATION IN DEVELOPING COUNTRIES: RATIONAL REMEDY OR DOMESTIC DILEMMA?
Contemporary Economic Policy, 1996, 14, (3), 30-40 View citations (6)
- Foreign Exchange Market Bid-Ask Spreads and the Market Price of Social Unrest
Oxford Economic Papers, 1996, 48, (2), 329-41 View citations (22)
- Which Single Currency for Western Europe?
Review of International Economics, 1996, 4, (2), 247-55 View citations (1)
1994
- 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)
- 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
- 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
- Economic fundamentals and a yen currency area for Asian Pacific Rim countries
Proceedings, 1992, 344-361
Also in Proceedings, 1992, (Sep) (1992)
1991
- Coca Dollars and the Dollarization of South America
Journal of Money, Credit and Banking, 1991, 23, (4), 752-63 View citations (11)
- Exchange Rate Systems and Investor Preferences
Economic Inquiry, 1991, 29, (3), 446-57 View citations (1)
- 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
- Property Rights, Development, and Velocity in Developing Countries
Economic Development and Cultural Change, 1990, 38, (4), 821-32 View citations (1)
- 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)
- 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
- Do centrally planned exchange rates behave differently from capitalist rates?
Journal of Comparative Economics, 1989, 13, (2), 325-334 View citations (3)
- Dollar currency in Latin America: A Bolivian application
Economics Letters, 1989, 31, (4), 393-397 View citations (15)
- 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
- 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
- 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
- A Country Risk Index: Econometric Formulation and an Application to Mexico
Economic Inquiry, 1985, 23, (4), 601-19 View citations (2)
- 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
- Trade concentration, openness, and deviations from purchasing power parity
Journal of International Money and Finance, 1984, 3, (3), 369-376 View citations (3)
1983
- Expected Inflation and Interest Rates: Reply
American Economic Review, 1983, 73, (3), 503-06
- 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)
- The Vanishing Liquidity Effect of Money on Interest: Analysis and Implications for Policy
Economic Inquiry, 1983, 21, (2), 188-202 View citations (41)
1982
- Expected Inflation, Taxation, and Interest Rates: The Delusion of Fiscal Illusion
American Economic Review, 1982, 72, (4), 841-45 View citations (10)
Books
2012
- International Money and Finance
Elsevier Monographs, Elsevier View citations (3)
Chapters
2024
- Investing through Fed regime changes in the post-crisis period
Chapter 9 in Handbook of Financial Integration, 2024, pp 206-223
2013
- 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
- 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
- An Alternative Approach to International Capital Flows
A chapter in The International Transmission of Inflation, 1983, pp 380-418 View citations (1)
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