Ronald MacDonald

University of Glasgow - Adam Smith Business School

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

1.

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

2015 Financial Management Association Annual Meeting; Orlando, FL, US. , 2015 European Financial Management Association Annual Meeting; Amsterdam, Netherlands.
Number of pages: 64 Posted: 30 Jun 2013 Last Revised: 22 Jun 2016
Huichou Huang and Ronald MacDonald
City University of Hong Kong and University of Glasgow - Adam Smith Business School
Downloads 682 (37,044)
Citation 5

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Carry Trades, Position-Unwinding Risk, Sovereign CDS Spreads, Currency Options, Forward Premium Puzzle

2.

Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia

2015 American Economic Association Annual Meeting; Boston, MA, US. , 2015 Royal Economic Society Annual Meeting; Manchester, UK.
Number of pages: 70 Posted: 15 Feb 2014 Last Revised: 22 Jun 2016
Huichou Huang and Ronald MacDonald
City University of Hong Kong and University of Glasgow - Adam Smith Business School
Downloads 297 (101,955)

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Exchange Rate Misalignments, Copula, Tail Dependence, Moment Risk Premia, Currency Investment Management

The Real Exchange Rate in the Long Run: Balassa-Samuelson Effects Reconsidered

CESifo Working Paper Series No. 4870
Number of pages: 48 Posted: 23 Jul 2014
Rutgers University, New Brunswick - Department of Economics, Carleton University - Department of Economics, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 81 (305,793)

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real exchange rates, productivity, Balassa-Samuelson model, terms of trade

The Real Exchange Rate in the Long Run: Balassa-Samuelson Effects Reconsidered

NBER Working Paper No. w20228
Number of pages: 65 Posted: 30 Jun 2014
Rutgers University, New Brunswick - Department of Economics, Carleton University - Department of Economics, University of Newcastle - Business School and University of Glasgow - Adam Smith Business School
Downloads 24 (514,742)
Citation 1

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Carry Funding and Safe Haven Currencies: A Threshold Regression Approach

CESifo Working Paper Series No. 5117
Number of pages: 29 Posted: 14 Jan 2015
Oliver Hossfeld and Ronald MacDonald
Handelshochschule Leipzig (HHL) and University of Glasgow - Adam Smith Business School
Downloads 57 (371,297)

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nonlinear regression, threshold model, safe haven, carry trade

Carry Funding and Safe Haven Currencies: A Threshold Regression Approach

Bundesbank Discussion Paper No. 34/2014
Number of pages: 29 Posted: 21 Jun 2016
Oliver Hossfeld and Ronald MacDonald
Handelshochschule Leipzig (HHL) and University of Glasgow - Adam Smith Business School
Downloads 25 (508,512)
Citation 1

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Nonlinear Regression, Threshold Model, Safe Haven, Carry Trade

5.

An Independent Scotland's Currency Options Redux: Assessing the Costs and Benefits of Currency Choice

CESifo Working Paper Series No. 4952
Number of pages: 27 Posted: 30 Sep 2014
Ronald MacDonald
University of Glasgow - Adam Smith Business School
Downloads 67 (337,257)

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currency regimes, economics of Scottish independence

6.

Volatility Co-Movements and Spillover Effects within the Eurozone Economies: A Multivariate GARCH Approach Using the Financial Stress Index

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 47 Posted: 18 Jan 2015 Last Revised: 24 Oct 2017
University of Glasgow - Adam Smith Business School, University of Glasgow and Cardiff University - Cardiff Business School
Downloads 25 (493,569)

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Financial Stress Index, Financial Crisis, Spillover Effects, Systemic Risk, GARGH-BEKK model

7.

An Investigation of Systemic Stress and Interdependencies within the Eurozone and Euro Area Countries

Economic Modelling, Vol. 48, 2015
Number of pages: 19 Posted: 04 Dec 2014 Last Revised: 14 May 2016
University of Glasgow - Adam Smith Business School, University of Glasgow and Cardiff University - Cardiff Business School
Downloads 16 (545,791)

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Financial Crisis, Systemic Risk, Financial Stress Index, VAR

8.

Climbing to the Top? Foreign Direct Investment and Property Rights

Economic Inquiry, Vol. 49, No. 1, pp. 289-302, 2010
Number of pages: 14 Posted: 12 Jan 2011
Fathi Ahmed Ali, Norbert M. Fiess and Ronald MacDonald
affiliation not provided to SSRN, World Bank and University of Glasgow - Adam Smith Business School
Downloads 3 (630,313)
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9.

Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis

Journal of Banking and Finance, Vol. 37, No. 11, 2013
Posted: 30 Jun 2015
Aman Saggu, Alexandros Kontonikas and Ronald MacDonald
Mahidol University - International College, University of Glasgow - Department of Economics and University of Glasgow - Adam Smith Business School

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Monetary policy; Stock market; State dependence; Flight to safety; Financial crisis

10.

The Global Dimension to Fiscal Sustainability

Journal of Macroeconomics, Vol. 33, No. 1, 2011
Posted: 25 Oct 2014
Joseph Byrne, Norbert M. Fiess and Ronald MacDonald
Heriot-Watt University - Department of Accountancy, Economics and Finance, World Bank and University of Glasgow - Adam Smith Business School

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Fiscal policy, Sustainability