Ronald MacDonald

University of Glasgow - Adam Smith Business School

  • University of Glasgow - Adam Smith Business School

SCHOLARLY PAPERS

9

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21

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21

Scholarly Papers (9)

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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 752 (54,339)
Citation 6

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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 302 (161,625)
Citation 1

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

3.

Carry Funding and Safe Haven Currencies: A Threshold Regression Approach

Downloads 193 (249,971)
Citation 7

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 118 (374,746)
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Nonlinear Regression, Threshold Model, Safe Haven, Carry Trade

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 75 (506,294)

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nonlinear regression, threshold model, safe haven, carry trade

4.

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

Downloads 143 (322,638)
Citation 8

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
Michael D. Bordo, Ehsan U. Choudhri, Giorgio Fazio and Ronald MacDonald
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 102 (416,444)
Citation 2

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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 Last Revised: 10 Apr 2022
Michael D. Bordo, Ehsan U. Choudhri, Georgio Fazio and Ronald MacDonald
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 41 (678,096)
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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 104 (408,063)

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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
Ronald MacDonald, Vasilios I. Sogiakas and Andreas Tsopanakis
University of Glasgow - Adam Smith Business School, University of Glasgow and Cardiff University - Cardiff Business School
Downloads 48 (622,197)
Citation 3

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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
Ronald MacDonald, Vasilios I. Sogiakas and Andreas Tsopanakis
University of Glasgow - Adam Smith Business School, University of Glasgow and Cardiff University - Cardiff Business School
Downloads 31 (727,457)
Citation 3

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Financial Crisis, Systemic Risk, Financial Stress Index, VAR

8.

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

9.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, World Bank and University of Glasgow - Adam Smith Business School

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Fiscal policy, Sustainability