Monograph
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets , Volume 24 in Fundamentals of Pure and Applied Economics, edited by Jacques Lesourne, Harwood Academic Publishers, 1987.
Textbook
International Financial Management, Third Edition, with Geert Bekaert, New York, NY: Cambridge University Press, Copyright 2017
International Financial Management, First Edition, with Geert Bekaert, Upper Saddle River, NJ: Pearson Education, Inc., Copyright 2009. Chinese translation published by Pearson Education Asia Ltd., Copyright 2013; Second Edition, Copyright 2012
Articles
“The Carry Trade: Risks and Drawdowns,” with Kent Daniel and Zhongjin Lu, Critical Finance Review 6, (2017): 211-262
“Estimating the Risk-Return Trade Off with Overlapping Data Inference,” with Esben Hedegaard, Journal of Banking and Finance 67, (2016):135-145
“Aggregate Idiosyncratic Volatility,” with Geert Bekaert and Xiaoyan Zhang, Journal of Financial and Quantitative Analysis, 47, (2102): 1155-1185. Winner of the William F. Sharpe Award for the Best Paper in the 2012 Volume
"International Stoch Returns Comovements" with Geert Bekaert and Xiaoyan Zhang, Journal of Finance, 64, (2009): 2591-2626.
"High Idiosyncratic Volatility and Low Returns: International and Futher U.S. Evidence," with Andrew Ang, Yuhang Xing, and Xiaoyan Zhang, Journal of Financial Economics 91,(2009): 1-24
“The Cross-Section of Volatility and Expected Returns” with Andrew Ang, Yuhang Xing, and Xiaoyan Zhang, Journal of Finance 61, (2006): 259-299 .
“Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate and Bond Return Dynamics,” with Maria Vassalou, Journal of Economic Dynamics and Control 26, (2002): 1275-1299.
“Evaluating the Specification Errors of Asset Pricing Models,” with Xiaoyan Zhang, Journal of Financial Economics 62, (November 2001): 327-376.
“Peso Problem Explanations for Term Structure Anomalies,” with Geert Bekaert and David Marshall, Journal of Monetary Economics 48, (October 2001): 241-270.
“Expectations Hypotheses Tests,” with Geert Bekaert, Journal of Finance 56, (August 2001): 1357-1394. Reprinted in René Stulz and Andrew Karolyi, eds, International Capital Markets, part of the International Library of Critical Writings in Financial Economics, Edgar Elgar Publishing, Glos, UK, 2001.
“An International Dynamic Asset Pricing Model,” with David Ng and Paul Sengmueller, International Taxation and Public Finance 6, (November 1999), 597-620. Also published as Chapter 6 of International Finance and Financial Crises: Essays in Honor of Robert P. Flood, Jr., Peter Isard, Assaf Razin, and Andrew K. Rose, eds., Kluwer Academic Publishers: Boston MA, 1999.
“The Implications of First-Order Risk Aversion for Asset Market Risk Premiums,” with Geert Bekaert and David Marshall, Journal of Monetary Economics 40, (September 1997): 3-39.
“On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates,” with Geert Bekaert and David Marshall, Journal of Financial Economics 44, (June 1997): 309-348.
“Post-War U.S. Business Cycles: An Empirical Investigation,” with Edward Prescott, Journal of Money, Credit and Banking 29, (February 1997): 1-16; reprinted in Terence C. Mills, ed., Long Term Trends and Business Cycles part of the International Library of Critical Writings in Economics, Edgar Elgar Publishing, Glos, UK.
“Financial Market Efficiency Tests,” with Tim Bollerslev, in M. H. Pesaran and M. R. Wickens, eds., The Handbook of Applied Econometrics, Vol. 1, Macroeconomics, Basil Blackwell, 1996, 415-458.
“An Evaluation of Recent Evidence on Stock Price Bubbles,” with Robert P. Flood and Paul Kaplan, in Robert P. Flood and Peter M. Garber, eds., Speculative Bubbles, Speculative Attacks and Policy Switching, Cambridge, MA: MIT Press, 1994: 105-133.
“On Biases in the Measurement of Foreign Exchange Risk Premiums,” with Geert Bekaert, Journal of International Money and Finance 12, No. 2 (April 1993): 115-138.
“Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement,” Review of Financial Studies 5, No. 3 (1992): 357-386.
“Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,” with Geert Bekaert, Journal of Finance 47, No. 2 (June 1992): 467-509, reprinted in Lucio Sarno and Mark P. Taylor, eds., New Developments in Exchange Rate Economics and in René Stulz and Andrew Karolyi, eds.,International Capital Markets, part of the International Library of Critical Writings in Economics, Edgar Elgar Publishing, Glos, UK, 2001.
“The Variability of Velocity in Cash-in-Advance Models,” with Narayana Kocherlakota and Deborah Lucas, Journal of Political Economy 99, No. 2 (April 1991): 358-384.
“Volatility in the Foreign Exchange and Stock Markets: Is It Excessive?” American Economic Review 80, No. 2 (May 1990): 186-191.
“On Testing for Speculative Bubbles,” with Robert P. Flood, The Journal of Economic Perspectives 4, No. 2 (Spring 1990): 85-101, reprinted in Robert P. Flood and Peter M. Garber, eds., Speculative Bubbles, Speculative Attacks and Policy Switching, Cambridge, MA: MIT Press, 1994: 83-103.
“U.S. International Capital Flows: Perspectives from Rational Maximizing Models,” in Karl Brunner and Allan H. Meltzer, eds., Carnegie-Rochester Conference Series on Public Policy, 30, supplement to the Journal of Monetary Economics, (August 1989): 231-288.
“Risk, Uncertainty, and Exchange Rates,” Journal of Monetary Economics 23, No. 3 (May 1989): 433-459.
“Foreign Currency Futures,” with Sanjay Srivastava, Journal of International Economics 22, (February 1987): 1-24.
“Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates,” with Robert P. Flood, Journal of International Economics 21, (November 1986): 215-232, reprinted in Robert P. Flood and Peter M. Garber, eds., Speculative Bubbles, Speculative Attacks and Policy Switching, MIT Press, 1994: 265-283.
“Asset Price Volatility, Bubbles and Process Switching,” with Robert P. Flood, Journal of Finance 41, (September 1986): 831-842, reprinted in Robert P. Flood and Peter M. Garber, eds., Speculative Bubbles, Speculative Attacks and Policy Switching, MIT Press, 1994: 135-149.
“The Covariation of Risk Premiums and Expected Future Spot Exchange Rates,” with Sanjay Srivastava, Journal of International Money and Finance 5, (March 1986): 5-21.
“Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle,” with Robert P. Flood, Quarterly Journal of Economics 100, (Supplement 1985): 887-914.
“Central Bank Intervention in a Rational Open Economy: A Model with Asymmetric Information,” with Robert P. Flood, in Jagdeep Bhandari, ed., Exchange Rate Management Under Uncertainty, M.I.T. Press, 1985, 154-185.
“Exchange-Rate and Price Dynamics with Asymmetric Information,” with Robert P. Flood, International Economic Review 25, No. 3 (October 1984): 513-526.
“An Investigation of Risk and Return in Forward Foreign Exchange,” with Sanjay Srivastava, Journal of International Money and Finance 3, No. 1 (April 1984): 5-29. Reprinted in Kevin D. Hoover, ed., The Legacy of Robert Lucas, Jr., Volume 3 of Intellectual Legacies in Modern Economics, Elgar Reference Collection, Cheltenham, U.K.
“Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models,” with Lars Peter Hansen, in Jacob A. Frenkel, ed., Exchange Rates and International Macroeconomics, University of Chicago Press, 1983, 113-142.
“On the Effects of Macroeconomic Policy in a Maximizing Model of a Small Open Economy,” Journal of Macroeconomics 4, (Spring 1982): 195-213.
“The Dynamic Adjustment Path for Perfectly Foreseen Changes in Monetary Policy,” with Russell S. Boyer, Journal of Monetary Economics 9, No. 2 (March 1982): 185-201.
“Perfect Foresight, Financial Policies, and Exchange Rate Dynamics,” with Russell S. Boyer, Canadian Journal of Economics 15, (February 1982): 143-164.
“International Asset Pricing with Time-Varying Risk Premia,” Journal of International Economics 11, No. 4 (November 1981): 573-587.
“Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” with Lars Peter Hansen, Journal of Political Economy 88, No. 5 (October 1980): 829-853. Reprinted in Ronald MacDonald and Mark P. Taylor, editors, Exchange Rate Economics, Volume 2, (1992): 47-71, International Library of Critical Writings in Economics, vol. 16, Edgar Elgar Publishing, Glos, U.K.
“Dynamic Aspects of Government Policies in an Open Economy,” Journal of Monetary Economics 6, No. 2 (April 1980): 213-40.
“An Empirical Analysis of the Monetary Approach to the Determination of the Exchange Rate,” in Jacob A. Frenkel and Harry G. Johnson, eds., Studies in the Economics of Exchange Rates, Addison-Wesley, 1978, 97-116.
Notes, Comments, Newspaper Articles and Book Reviews
“Assessing the Efficiency of Asset Markets through Analysis of the Currency Carry Trade,” Stanford Institute for Economic Policy Research - Policy Brief, August 2013
“China’s Foreign Exchange Rate Strategy” Chapter 7 in Charles Calomiris, ed., China’s Financial Transition at a Crossroads. New York: Columbia University Press, (2007).
“Comment on: Time-Varying Liquidity in Foreign Exchange” Proceedings of the Carnegie-Rochester Conference, November 17, 2001, Journal of Monetary Economics 49, (July 2002): 1053-1055.
“International Diversification,” The Financial Times ( London), May 28, 2001, p. 2. Reprinted as “The logic that lies behind overseas diversification,” in James Pickford, ed. Mastering Investment: Your Single-Source Guide to Becoming a Master of Investment, 2002, Pearson Education Limited, London, 166-172.
“Expansionary Fiscal Policy and International Interdependence - A Comment,” in Jacob A. Frenkel, ed., International Aspects of Fiscal Policy, University of Chicago Press for the National Bureau of Economics, 1988, 265-269.
“What Have We Learned from Twelve Years of Floating Exchange Rates,” in Douglas Lamont, ed., Protectionism: Can American Business Overcome It, Indianapolis: BooksCraft, Inc., 73-79, 1987.
“Empirical Assessment of Present Value Relations: Comment on Mattey and Meese,” Econometric Reviews 5, No. 2, (1986): 253-260.
“Risk Premiums in Foreign Exchange Markets,” National Bureau of Economic Research Reporter, Spring 1986, 7-9.
“Some Observations on Risk and Return in the Market for Forward Foreign Exchange,” with Sanjay Srivastava. Proceedings of the 1983 Illinois Economic Association Convention, 1984.
“Monetary Accommodation and the Variability of Output, Prices, and Exchange Rates: A Comment,” Karl Brunner and Allan H. Meltzer, eds., Carnegie-Rochester Conference Series on Public Policy, 16, supplement to the Journal of Monetary Economics, (April 1982): 87-92.
Book Review of Substitution Effects, Speculation and Exchange Rate Stability by Patrick Minford. Journal of Money, Credit, and Banking 13, (February 1981): 121-123.
“On the Monetary Analysis of Exchange Rates - A Comment,” in Karl Brunner and Allan H. Meltzer, eds., Carnegie-Rochester Conference Series on Public Policy, 11, supplement to the Journal of Monetary Economics, (November 1979): 103-122.
“The Case for Reduction of Capital Gains Taxation,” with Robert S. Kaplan, Congressional Record, October 10, 1978. Presented at the request of Senator Heinz of Pennsylvania.
Unpublished Working Papers
“Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances” with Esben Hedegaard, NBER Working Paper No. 20245, June 2014, revised April 2016
Work in Progress
“Estimating the Price of Variance Risk,” with Jules van Binsbergen
“The International Commonality of Idiosyncratic Variances,” with Geert Bekaert, Xue Wang, and Xiaoyan Zhang
“Variance Risk in Global Markets,” with Geert Bekaert and Andrea Kiguel
“Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications,” with Tuomas Tomunen
Inactive Unpublished Working Papers
“International Diversification Revisited,” with Xiaoyan Zhang, April 2014
“Forecasting Real GDP Growth with Hodrick-Prescott Filtered Components: An Out-of-Sample Analysis” with Xiaoyan Zhang, working paper, (2003).
“Pricing the Global Industry Portfolios” with Stefano Cavaglia, Moroz Vadim, and Xiaoyan Zhang,
NBER Working Paper No. 9344, (2002).
