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You can access my papers on the Social
Science Research Network (SSRN) and Research Papers in Economics
Database (RePec) through the following URLS:
SSRN
PAPERS
RePEc
(Visitor or visitor's
network host/institution must be a subscriber to each database
in order to access the following papers)
WORKING PAPERS
| • |
 "On the Link between the Volatility and Skewness of Growth," with Alexander A. Popov |
| • |
"Global Crises and Equity Market Contagion," with Michael Ehrmann, Marcel Fratzscher, and Arnaud Mehl |
| • |
"Macroeconomic Regimes," with Lieven Baele, Seonghoon Cho, Koen Inghelbrecht and Antonio Moreno |
| • |
"Risk, Uncertainty and Monetary Policy," with Marie Hoerova and Marco Lo Duca |
| • |
"The European Union, the Euro, and Equity Market Integration" with Campbell Harvey, Christian Lundblad, and Stephan Siegel |
| • |
"Globalization and Asset Prices," with Xiaozheng Sandra Wang |
| • |
"Home Bias Revisited," with Xiaozheng Wang |
| • |
"Asset Return Dynamics under Bad Environment-Good Environment Fundamentals," with Eric Engstrom |
| • |
"Stock
and Bond Pricing in an Affine Economy,"
with Eric Engstrom and Steve Grenadier. |
PUBLISHED ARTICLES
| • |
"Aggregate Idiosyncratic Volatility," with Robert J. Hodrick and Xiaoyan Zhang, Journal of Financial and Quantitative Analysis, December 2012, Vol. 47, No. 06, 1155-1185 |
| • |
"What Segments Equity Markets?," with Campbell R. Harvey, Christian T. Lundblad and Stephan Siegel, Review of Financial Studies, Vol 24, Issue 12, 3847-3890, 2011 (lead article) |
| • |
"Financial Openness and Productivity," with Campbell R. Harvey and Christian T. Lundblad, World Development, Vol. 39, Issue 1, 1-19, 2011
-click here for the NBER paper |
• |
"Stock
and Bond Returns with Moody Investors,"
with Eric Engstrom and Steve Grenadier, Journal of Empirical Finance, Vol. 17, issue 5, 867-894, 2010 |
| • |
"Inflation Risk and the Inflation Risk Premium," with Xiaozheng Wang, Economic Policy, Vol. 25, Issue 64, pp. 755-806, October 2010 |
| • |
"Inflation and the Stock Market: Understanding the 'Fed Model'," with Eric Engstrom, Journal of Monetary Economics, Vol. 57(3), 2010, 278-294 |
| • |
"The Determinants of Stock and Bond Return Comovements," with Lieven Baele and Koen Inghelbrecht, Review of Financial Studies, Vol 23 (6), 2010, 2374-2428 |
| • |
"New-Keynesian Macroeconomics and the Term Structure," with Seonghoon Cho and Antonio Moreno, Journal of Money, Credit and Banking Vol 42(1), 2010, 33-62 |
| • |
"International Stock Return Comovements," with Robert Hodrick and Xiaoyan Zhang, Journal of Finance, 64(6), 2009, 2591-2626 |
| • |
"Risk, Uncertainty and Asset Prices," with Eric Engstrom and Yuhang Xing, Journal of Financial Economics, 91, 2009, 59-82 |
• |
"The Term Structure of Real Rates and Expected Inflation," with Andrew Ang and Min Wei, Journal of Finance, 63(2), 2008, 797-849 |
| • |
"Liquidity and Expected Returns: Lessons from Emerging Markets," with Campbell R. Harvey and Christian Lundblad, Review of Finanical Studies, 20(6), 2007, 1783-1831 |
| • |
"Uncovered Interest Rate Parity and the Term Structure of Interest Rates," with Min Wei and Yuhang Xing, Journal of International Money and Finance, 26 (6), 2007, 1038-1069 |
• |
"Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?," with Andrew Ang and Min Wei, Journal of Monetary Economics, 54 (4), 2007, 1163-1212 |
• |
"Stock Return Predictability: Is it there?" with
Andrew Ang, Review of Financial
Studies, 20(3), 2007, 651-707 |
| • |
"Global
Growth Opportunities and Market Integration," with
Campbell Harvey, Christian Lundblad, and Stephan Siegel, Journal of Finance, 62 (3), 2007,1081-1137. |
• |
"Growth
Volatility and Financial Liberalization," with
Cam Harvey and Chris Lundblad, Journal of International Money and Finance, 25, 2006, 370-403. |
| • |
"Why
Stocks May Disappoint," with Andrew
Ang and Jun Liu, Journal of Financial
Economics 76, 2005, 471-508. |
| • |
"Does
Financial Liberalization Spur Economic Growth,"
with Campbell Harvey and Christian Lundblad, Journal
of Financial Economics 77, 2005, 3-55. |
• |
"Market Integration and Contagion," with Campbell R. Harvey and Angela Ng, Journal Of Business, 78 (1), 2005, 39-69 |
| • |
"How
do Regimes Affect Asset Allocation," with
Andrew Ang, Financial Analysts Journal, 2004,
pp. 86-99. |
| • |
"Conditioning
Information and Variance Bounds on Pricing Kernels,"
with Jun Liu, Review of Financial Studies 17(2),
2004, 339-378. Also published as NBER
working paper 6880 |
| • |
"Emerging
Markets Finance," with Campbell R. Harvey,
Journal of Empirical Finance 10, 2003, 3-55. |
| • |
"Research
in Emerging Markets Finance: Looking to the Future,"
with Campbell R. Harvey, Emerging Markets Review
3, 2002, 429-448. |
| • |
"Dating
the Integration of World Equity Markets,"
with Campbell R. Harvey and Robin Lumsdaine, Journal
of Financial Economics (65), 2, 2002, 203-248. |
| • |
"International
Asset Allocation with Regime Shifts," with
Andrew Ang, Review of Financial Studies (15),
4, Fall 2002, 1137-1187. |
| • |
"The
Dynamics of Emerging Market Equity Flows,"
with Campbell R. Harvey and Robin Lumsdaine, Journal
of International Money and Finance (21) 3, 2002,
295-350. |
| • |
"Regime
Switches In Interest Rates," with Andrew
Ang, Journal of Business and Economic Statistics
20, April 2002, 163-182. |
| • |
"Short
Rate Nonlinearities and Regime Switches,"
with Andrew Ang, Journal of Economic Dynamics and
Control 26 (7-8), 2002, 1243-1274. |
| • |
"Emerging
Equity Markets and Economic Development,"
with Campbell R. Harvey and Christian Lundblad, Journal
of Development Economics 66, December 2001,465-504. |
| • |
"Peso
Problem Explanations for Term Structure Anomalies,"
with Robert J. Hodrick and David Marshall, Journal
of Monetary Economics 48(2), October 2001, 241-270. |
| • |
"Expectations
Hypotheses Tests," with Robert J. Hodrick,
Journal of Finance 56, August 2001, 1357- 1394.
Reprinted in International Capital Markets,
edited by R. Stulz and G. A. Karolyi, International
Library of Critical Writings in Financial Economics,
Edward Elgar. |
| • |
"Capital Flows
and the Behavior of Emerging Equity Market Returns,"
with Campbell R. Harvey, in Capital Flows and the
Emerging Economies: Theory, Evidence and Controversies,
Editor: Sebastian Edwards, NBER, 2000, 159-194. Also
published as NBER
working paper 6669 |
| • |
"Foreign
Speculators and Emerging Equity Markets,"
with Campbell R. Harvey, Journal of Finance 55,
April 2000, 565-613. Reprinted in International Capital
Markets, edited by R. Stulz and G. A. Karolyi, International
Library of Critical Writings in Financial Economics,
Edward Elgar. Also published as NBER
working paper 6312. |
| • |
"Asymmetric
Volatility and Risk in Equity Markets,"
with Guojun Wu, Review of Financial Studies 13,
Spring 2000, 1-42. Also published as NBER
working paper 6022 |
| • |
"Is
There a Free Lunch in Emerging Market Equities?"
with Michael Urias, Journal of Portfolio Management
25, Spring 1999, 83-95. Reprinted in International
Securities, edited by George Philippatos and Gregory
Koutmos, part of The International Library of Critical
Writings in Financial Economics, edited by Richard Roll,
Edward Elgar Publishing Ltd., 2000. |
| • |
"Capital
Markets: An Engine for Economic Growth,"
with Campbell R. Harvey, The Brown Journal of World
Affairs, Winter/Spring 1998, 33-53. |
| • |
"Target
Zones and Exchange Rates: An Empirical Investigation,"
with Stephen Gray, Journal of International Economics
45, June 1998, 1-35. Also published as NBER
working paper 5445 |
| • |
"Distributional
Characteristics of Emerging Market Returns and Asset
Allocation," with Claude Erb, Campbell
R. Harvey and Tadas Viskanta, Winter 1998, Journal
of Portfolio Management, 102-116. |
| • |
"The
Implications of First Order Risk Aversion for Asset
Market Risk Premiums," with Robert J. Hodrick
and David Marshall, September 1997, Journal of Monetary
Economics 40, 3-39. Also published as NBER
working paper 4624 |
| • |
"On
Biases in Tests of the Expectation Hypothesis of the
Term Structure of Interest Rates," with
Robert J. Hodrick and David Marshall, July 1997, Journal
of Financial Economics 44, 309-348. Also published
as NBER
working paper T0191 |
| • |
"What
Matters for Emerging Equity Market Investments?"
with Claude Erb, Campbell R. Harvey and Tadas Viskanta,
Summer 1997, Emerging Markets Quarterly, 17-46. |
| • |
"Emerging
Equity Market Volatility," with Campbell
R. Harvey, January 1997, Journal of Financial Economics
43, 29-77. Also published as NBER
working paper 5307 |
| • |
"The
Time-Variation of Risk and Return in Foreign Exchange
Markets: A General Equilibrium Perspective,"
Summer 1996, Review of Financial Studies 9, 427-470.
Also published as NBER
working paper 4818 |
| • |
"Diversification,
Integration and Emerging Market Closed-end Funds,"
with Michael Urias, July 1996, Journal of Finance
51, 835-869. Reprinted in International Capital Markets,
edited by R. Stulz and G. A. Karolyi, International
Library of Critical Writings in Financial Economics,
Edward Elgar. Also published as NBER
working paper 4990 |
| • |
"The
Time-variation of Expected Returns and Volatility in
Foreign Exchange Markets," Journal
of Business & Economic Statistics 13, October
1995, 397-408. |
| • |
"Time-varying
World Integration," with Campbell R. Harvey,
Journal of Finance 50, June 1995, 403- 444. Reprinted
in International Capital Markets, edited by R.
Stulz and G. A. Karolyi, International Library of Critical
Writings in Financial Economics, Edward Elgar. Also
published as NBER
working paper 4843 |
| • |
"Market
Integration and Investment Barriers in Emerging Equity
Markets," World Bank Economic Review
9, 1995, 75-107; an earlier version of the paper
appeared in Stijn Claessens and Sudarshan Gooptu, eds.,
Portfolio Investment in Developing Countries,
(Washington, World Bank Discussion Paper 228), December
1993, 221-251 and as Chapter 11 in the 1994 Euromoney
book, "Investing in Emerging Markets." |
| • |
"Exchange
Rate Volatility and Deviations from Unbiasedness in
a Cash-in-Advance Model," Journal
of International Economics 36, 1994, 29-52. |
| • |
"On
Biases in the Measurement of Foreign Exchange Risk Premiums,"
with Robert J. Hodrick, Journal of International
Money and Finance 12, April 1993, 115-138. Also
published as NBER
working paper 3861 |
| • |
"Characterizing
Predictable Components in Excess Returns on Equity and
Foreign Exchange Markets," with Robert
J. Hodrick, Journal of Finance 47, June 1992,
467-509. To be reprinted in New Developments in Exchange
Rate Economics, edited by L. Sarno and M. Taylor;
The International Library of Critical Writing in Economics,
Edward Elgar and in International Capital Markets,
edited by R. Stulz and G. A. Karolyi, International
Library of Critical Writings in Financial Economics,
Edward Elgar. Also published as NBER
working paper 3790 |
| • |
"Caloric
Consumption in Industrializing Belgium,"
Journal of Economic History 51, September 1991,
633-655. |
OTHER PUBLICATIONS
| • |
"Equity
Market Liberalization in Emerging Markets,"
with Campbell R. Harvey, and Christian T. Lundblad,
the Federal Reserve Bank of St-Louis Review 85:4,
2003, 53-74 and the Journal of Financial Research
XXVI, 2003, 275-299. |
| • |
"On
the Predictability of Asset Returns," Editor's
foreword, Journal of Empirical Finance, December
2001, 451-457. |
| • |
"Economic
Growth and Financial Liberalization," with
Campbell R. Harvey, Research Summary in the NBER
Reporter, Spring 2001, 8-11 |
| • |
"Zorg zelf
voor uw Pensioen," Dutch translation of "Quantitative
Investing for the Individual Investor," Trends
Review, December 1999, 40-46. |
| • |
"Emerging Equity
Markets and Market Integration," Research Summary
in the NBER Reporter, Winter 1999-2000, 8-11. |
| • |
"The
Cross-sectional Determinants of Emerging Equity Market
Returns," with Claude Erb, Campbell Harvey
and Tadas Viskanta, in Quantitative Investing for
the Global Markets, Peter Carman, Ed., Chicago:
Glenlake Publishing, 1997, 221-272. This is related
to the article "The Behavior of Emerging Market
Returns." |
| • |
"The
Behavior of Emerging Market Returns," with
Claude Erb, Campbell Harvey and Tadas Viskanta, in Emerging
Market Capital Flows, Richard Levich, Ed., New York,
1998, 107-173. |
| • |
"The
Contribution of Speculators to Effective Financial Markets,"
with Marcio G. P. Garcia and Cam Harvey, Catalyst
Institute Monograph, June 1995. |
| • |
"The
Role of Financial Markets in Economic Growth,"
with Marcio G. P. Garcia and Cam Harvey, Catalyst
Institute Monograph, June 1995, an abbreviated version
circulates under the title "Capital Markets: An
Engine for Economic Growth." |
| • |
Discussion of "Tests
of CAPM on an International Portfolio of Bonds and Stocks,"
in Jeffrey A. Frankel, ed., The Internationalization
of Equity Markets, Chicago: University of Chicago
press, 1994. |
| • |
"Geldmarkt
and Geldmarktruimte in België (The Money Market
and Money Market Liquidity in Belgium)," Maandschrift
Economie, no. 5, 1987. |
| • |
"The Blurring
of Money Concepts," Kredietbank Weekly Bulletin,
July 31, 1987. |
| • |
"De Kredietvraag
in België (The Demand for Credit in Belgium),"
Bank- and Financiewezen, March 1987. |
TEXTBOOKS
RESEARCH LINKS
A
detailed chronology of important financial, economic, and
political events in emerging markets
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