Ian W. Marsh

Work in Progress (*) denotes that this paper is ready for seminar/conference presentation

Equity Markets

• "Equity Market (Dis)Integration in Europe Post EMU" (with N. Vause).
• "Show Me the Money!  Investor Reactions to Non-Events".
• (*) "A New Test of the Effectiveness of a Security Transactions Tax: Evidence from the Equity Markets" (with J. Wandrin and J. Nagayasu).

Published papers and books

Credit Risk

• "Credit Risk Transfer and Financial Sector Stability" (with W.Wagner) Journal of Financial Stability, 2006.
• "An Empirical Analysis of the Dynamic Relationship Between Investment Grade Bonds and Credit Default Swaps" (with R. Blanco and S. Brennan) Journal of Finance, Volume 60, 2005.  This paper was nominated for the 2005 Smith-Breeden Prize.
• "What Central Banks Can Learn About Default Risk from Credit Markets," Bank for International Settlements Papers No. 12 Market Functioning and Central Bank Policy, August 2002.

Foreign Exchange

• "An Assessment of the Case for Monetary Union or Official Dollarization in Five Latin American Countries" (with P. Hallwood and J. Scheibe), Emerging Market Review, 2006.
• "How do UK-Based Foreign Exchange Dealers Think Their Market Operates?" (with Y-W Cheung and M. Chinn), International Journal of Finance and Economics, Volume 9, 2004.
• "Economic Shocks and Choice of Currency Area: The Case of Argentina, 1991-2002," (with P. Hallwood and J. Scheibe), in Exchange Rates, Capital Flows and Policy, Eds. R. Driver, P. Sinclair and C. Thoenissen, Routledge, 2004.
• "Exchange Market Pressure on the Pound-Dollar Exchange Rate: 1925-1931," (with P. Hallwood), North American Journal of Economics and Finance, Volume 15, 2004.
• "Currency Spillovers and Tri-polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen," (with R. MacDonald), Journal of International Money and Finance, Volume 23, 2004.
• "Realignment Expectations and the US Dollar, 1879-1897: Was There a ‘Peso’ Problem?" (with P. Hallwood and R. MacDonald), Journal of Monetary Economics, Volume 46, 2000.
• "An Assessment of the Causes of the Abandonment of the Gold Standard by the U.S. in 1933," (with P. Hallwood and R. MacDonald), Southern Economic Journal, Volume 67, 2000.
• "High Frequency Markov Switching Models in the Foreign Exchange Market," Journal of Forecasting, Volume 19, 2000.
• Exchange Rate Modelling (with R. MacDonald), Kluwer Academic Publishers: Boston (November 1999).
• "On Fundamentals and Exchange Rates: A Casselian Perspective," (with R. MacDonald), Review of Economics and Statistics, Volume 79, 1997.
• "Crash! Expectational Aspects of the Departures of the United Kingdom and the United States From the Inter-war Gold Standard," (with P. Hallwood and R. MacDonald), Explorations in Economic History, Volume 34, 1997.
• "Foreign Exchange Forecasters are Heterogeneous: Confirmation and Consequences," (with R. MacDonald), Journal of International Money and Finance, Volume 15, 1996.
• "A Note on the Performance of Exchange Rate Forecasters in a Portfolio Framework," (with D. Power), Journal of Banking and Finance, Volume 20, 1996.
• "Forecaster Heterogeneity: An Investigation of the Expectations of Foreign Exchange Forecasters," (with R. MacDonald), Economie et Prévision, Volume 125, 1996 (in French).
• "An Assessment of Three Measures of Competitiveness," (with S. Tokarick), Weltwirtschaftliches Archiv, Volume 132, 1996.
• "Credibility and Fundamentals: Was the Gold Standard a Well-Behaved Target Zone?" (with P. Hallwood and R. MacDonald), in Modern Perspectives on the Gold Standard, Eds T. Bayoumi, B. Eichengreen and M. Taylor, Cambridge University Press, 1996.
• "Combining Exchange Rate Forecasts: What is the Optimal Consensus Measure?" (with R. MacDonald), Journal of Forecasting, Volume 13, 1994. Reprinted in Financial Forecasting Volume II: Interest Rates, Exchange Rates and Volatility, Eds R. Batchelor and P. Dua, Edward Elgar, 2003.
• "On Long- and Short-Run Purchasing Power Parity," (with R. MacDonald), in Econometric Analysis of Financial Markets, Eds J. Kaehler and P. Kugler, Physica-Verlag, 1994.

Equity Markets

• "Comovements in the Prices of Securities Issued by Large Complex Financial Institutions" (with C. Hawkesby and I. Stevens), Journal of Finacial Stability, forthcoming.
• "Large Complex Financial Institutions: Common Influences on Asset Price Behaviour?," (with C. Hawkesby and I. Stevens), Bank of England Financial Stability Review, December 2003.
• "Is There Still Magic in Corporate Earnings?" (with F. Cortes and M. Lyon) Bank of England Financial Stability Review, December 2002.

Other

• "The International Monetary Fund: Past, Present and Future," (with K. Phylaktis) in Handbook of International Banking, Eds. A.W. Mullineux and V. Murinde, Edward Elgar, February 2003.
• Turbulence in Asset Markets: The Role of Micro Policies (Editorial Board member), G10 Deputies Contact Group, Bank for International Settlements, January 2003.
• "The Efficiency of Spot and Futures Stock Indices: A Survey Based Perspective," (with R. MacDonald), The Review of Futures Markets, Volume 12, 1993.
• "On the Efficiency of Oil Price Forecasts," (with R. MacDonald), Applied Financial Economics, Volume 3, 1993.

Please E-mail me if you want copies of any of my papers.





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