Details about Charles Phipps Thomas

Access statistics for papers by Charles Phipps Thomas.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pth302

Working Papers

2014

1. Uncovered Equity Parity and Rebalancing in International Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (29)
   See also Journal Article Uncovered Equity Parity and rebalancing in international portfolios, Journal of International Money and Finance, Elsevier (2014) View citations (29) (2014)

2013

2. Asymmetric Information and the Death of ABS CDOs
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
   See also Journal Article Asymmetric information and the death of ABS CDOs, Journal of Banking & Finance, Elsevier (2017) View citations (10) (2017)
3. On Returns Differentials
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (44)
   See also Journal Article On returns differentials, Journal of International Money and Finance, Elsevier (2013) View citations (46) (2013)

2012

4. Foreign holdings of U.S. Treasuries and U.S. Treasury yields
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
   See also Journal Article Foreign holdings of U.S. Treasuries and U.S. Treasury yields, Journal of International Money and Finance, Elsevier (2013) View citations (41) (2013)
5. International relative price levels: a look under the hood
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
6. The return on U.S. direct investment at home and abroad
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   See also Chapter The Return on U.S. Direct Investment at Home and Abroad, NBER Chapters, National Bureau of Economic Research, Inc (2014) (2014)

2011

7. U.S. International Equity Investment and Past and Prospective Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
   See also Journal Article US International Equity Investment and Past and Prospective Returns, American Economic Review, American Economic Association (2011) View citations (55) (2011)
8. U.S. international equity investment and past prospective returns
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (10)

2010

9. Could asymmetric information alone have caused the collapse of private-label securitization?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2008

10. Current Account Sustainability and Relative Reliability
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (6)
    See also Journal Article Current Account Sustainability and Relative Reliability, NBER International Seminar on Macroeconomics, University of Chicago Press (2009) View citations (22) (2009)
    Chapter Current Account Sustainability and Relative Reliability, NBER Chapters, National Bureau of Economic Research, Inc (2009) View citations (22) (2009)
11. Foreign exposure to asset-backed securities of U.S. origin
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (16)
12. How long can the unsustainable U.S. current account deficit be sustained?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
13. Measuring U.S. international relative prices: a WARP view of the world
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)

2006

14. Measurement matters for modeling U.S. import prices
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
15. The Performance of International Equity Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2004) View citations (25)
    The Institute for International Integration Studies Discussion Paper Series, IIIS (2006) View citations (18)

1996

16. The sovereignty option: the Quebec referendum and market views on the Canadian dollar
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (14)
17. Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)

1993

18. The role of fiscal policy in an incomplete markets framework
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article The Role of Fiscal Policy in an Incomplete Markets Framework, The Review of Economic Studies, Review of Economic Studies Ltd (1995) View citations (11) (1995)

1992

19. War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

1991

20. Using external sustainability to forecast the dollar
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

Journal Articles

2023

1. Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
   Quantitative Finance, 2023, 23, (12), 1751-1768

2017

2. Asymmetric information and the death of ABS CDOs
   Journal of Banking & Finance, 2017, 76, (C), 1-14 View citations (10)
   See also Working Paper Asymmetric Information and the Death of ABS CDOs, International Finance Discussion Papers (2013) View citations (5) (2013)

2014

3. Uncovered Equity Parity and rebalancing in international portfolios
   Journal of International Money and Finance, 2014, 47, (C), 86-99 View citations (29)
   See also Working Paper Uncovered Equity Parity and Rebalancing in International Portfolios, NBER Working Papers (2014) View citations (34) (2014)

2013

4. Foreign holdings of U.S. Treasuries and U.S. Treasury yields
   Journal of International Money and Finance, 2013, 32, (C), 1120-1143 View citations (41)
   See also Working Paper Foreign holdings of U.S. Treasuries and U.S. Treasury yields, International Finance Discussion Papers (2012) View citations (12) (2012)
5. On returns differentials
   Journal of International Money and Finance, 2013, 36, (C), 1-25 View citations (46)
   See also Working Paper On Returns Differentials, NBER Working Papers (2013) View citations (48) (2013)

2011

6. US International Equity Investment and Past and Prospective Returns
   American Economic Review, 2011, 101, (7), 3440-55 View citations (55)
   See also Working Paper U.S. International Equity Investment and Past and Prospective Returns, NBER Working Papers (2011) View citations (43) (2011)

2009

7. Current Account Sustainability and Relative Reliability
   NBER International Seminar on Macroeconomics, 2009, 5, (1), 67 - 109 View citations (22)
   See also Chapter Current Account Sustainability and Relative Reliability, NBER Chapters, 2009, 67-109 (2009) View citations (22) (2009)
   Working Paper Current Account Sustainability and Relative Reliability, NBER Working Papers (2008) View citations (31) (2008)
8. How Long Can the Unsustainable U.S. Current Account Deficit Be Sustained&quest
   IMF Staff Papers, 2009, 56, (3), 596-632 View citations (2)
9. MEASURES OF INTERNATIONAL RELATIVE PRICES FOR CHINA AND THE USA
   Pacific Economic Review, 2009, 14, (3), 376-397 View citations (10)
10. Measurement matters for modelling US import prices This article is a U.S. Government work and is in the public domain in the U.S.A
    International Journal of Finance & Economics, 2009, 14, (2), 120-138 View citations (2)

1997

11. Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis
    Journal of Financial and Quantitative Analysis, 1997, 32, (1), 91-115 View citations (177)

1995

12. The Role of Fiscal Policy in an Incomplete Markets Framework
    The Review of Economic Studies, 1995, 62, (3), 449-468 View citations (11)
    See also Working Paper The role of fiscal policy in an incomplete markets framework, International Finance Discussion Papers (1993) (1993)
13. U.S. international transactions in 1994
    Federal Reserve Bulletin, 1995, (May), 407-418

1987

14. U. S. international transactions in 1986
    Federal Reserve Bulletin, 1987, (May), 321-329

Chapters

2017

1. Residency and Nationality: A view from 10,000 feet
   A chapter in Assessing international capital flows after the crisis, 2017, vol. 42

2015

2. Cross-border portfolios: assets, liabilities, and non-flow adjustments
   A chapter in Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, 2015, vol. 82, pp 7-24

2014

3. The Return on U.S. Direct Investment at Home and Abroad
   A chapter in Measuring Wealth and Financial Intermediation and Their Links to the Real Economy, 2014, pp 205-230
   See also Working Paper The return on U.S. direct investment at home and abroad, Board of Governors of the Federal Reserve System (U.S.) (2012) (2012)

2013

4. Weighted Average Relative Price (WARP)
   A chapter in Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., 2013, vol. 36, pp 340-350 View citations (2)

2009

5. Current Account Sustainability and Relative Reliability
   A chapter in NBER International Seminar on Macroeconomics 2008, 2009, pp 67-109 View citations (22)
   See also Working Paper Current Account Sustainability and Relative Reliability, National Bureau of Economic Research, Inc (2008) View citations (31) (2008)
   Journal Article Current Account Sustainability and Relative Reliability, University of Chicago Press (2009) View citations (22) (2009)