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Research Areas of Interest:
International Finance; Empirical Asset Pricing; Monetary Economics; Financial Econometrics.
Work in Progress and Recent Papers:
Carry Trades and Global Foreign Exchange Volatility, with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf, Journal of Finance (revise and resubmit)
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?, Review of Economics and Statistics (revise and resubmit), with Pasquale Della Corte and Giulia Sestieri
A Century of Equity Premium Predictability and the Consumption-Wealth Ratio: An International Perspective, Journal of Empirical Finance (forthcoming), with Pasquale Della Corte and Giorgio Valente
Asset Prices, Exchange Rates and the Current Account, with Marcel Fratzscher and Luciana Juvenal, European Economic Review (forthcoming)
Representative Papers:
Exchange Rates, Order Flow and Macroeconomic Information, Journal of International Economics (forthcoming) - with Dagfinn Rime and Elvira Sojli
The Feeble Link Between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?, Journal of Money, Credit and Banking, 41, 437-442, 2009 - with Elvira Sojli
Exchange Rates and Fundamentals: Footloose or Evolving Relationship?, Journal of the European Economic Association, 7, 786-830, 2009 - with Giorgio Valente
An Economic Evaluation of Empirical Exchange Rate Models, Review of Financial Studies, 22, 3491-3530, 2009 - with Pasquale Della Corte and Ilias Tsiakas
Arbitrage in the Foreign Exchange Market: Turning on the Microscope, Journal of International Economics, 76, 237-253, 2008 - with Farooq Akram and Dagfinn Rime
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value, Journal of Financial Economics, 89, 158-174, 2008 - with Pasquale Della Corte and Daniel Thornton
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, Journal of Financial and Quantitative Analysis, 42, 81-100, 2007 - with Daniel Thornton and Giorgio Valente
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, Review of Finance, 10, 443-482, 2006 - with Gene Leon and Giorgio Valente
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, Journal of Business, 79, 1193-1225, 2006 - with Richard Clarida, Mark Taylor and Giorgio Valente
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability, Journal of International Economics, 66, 325-348, 2005 - with Abhay Abhyankar and Giorgio Valente
Federal Funds Rate Prediction [28KB], Journal of Money, Credit and Banking, 37, 449-471, 2005 - with Daniel Thornton and Giorgio Valente
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers, Journal of Applied Econometrics, 20, 345-376, 2005 - with Giorgio Valente
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond, Journal of International Economics, 60, 61-83, 2003 - with Richard Clarida, Mark Taylor and Giorgio Valente
Nonlinear Equilibrium Correction in US Real Money Balances, 1869-1997, Journal of Money, Credit and Banking, 35, 787-799, 2003 - with Mark Taylor and David Peel
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?, Journal of Economic Literature, 39, pp. 839-868, 2001 - with Mark P. Taylor
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation, Economica, 68, pp. 401-426, 2001
Nonlinear Mean-Reversion in Real Exchange Rates: Toward A Solution to the Purchasing Power Parity Puzzles, International Economic Review, 42, pp. 1015-1042, 2001 - with Mark Taylor and David Peel
Hot Money, Accounting Labels and the Permanence of Capital Flows to Developing Countries: An Empirical Investigation, Journal of Development Economics, 59, 337-364, 1999 - with Mark Taylor
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Economics, 46, 281-312, 1998 - with Mark Taylor
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