Jyh-Lin Wu

National Sun Yat-sen University

70 Lien-hai Rd.

Kaohsiung 80424, Taiwan 80743

Taiwan

National Chung Cheng University

professor

168 Univeristy Road

Ming-Hsiung, Chia-Yi, Taiwan 621

Taiwan

  • National Sun Yat-sen University

SCHOLARLY PAPERS

11

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19

Scholarly Papers (11)

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1.

A Panel Unit-Root Test with Smooth Breaks and Cross-Sectional Dependence

Number of pages: 44 Posted: 14 Apr 2012
Chingnun Lee and Jyh-Lin Wu
National Sun Yat-sen University and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 172 (370,003)
Citation 1

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Panel unit-root test, Fourier approximation, Cross-sectional dependence, Purchasing

2.

A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets: A Dependence-Switching Copula Approach

Number of pages: 39 Posted: 14 Apr 2012
Yi-Chiuan Wang, Jyh-Lin Wu and Yi-hao Lai
National Sun Yat-sen University, National Sun Yat-sen UniversityNational Chung Cheng University and Dayeh Universty
Downloads 133 (458,116)
Citation 5

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dependence-switching copula, tail dependence, systemic risk, portfolio rebalancing, return chasing

3.

A Simple Panel Unit-Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure

Number of pages: 62 Posted: 22 Sep 2013
Chingnun Lee, Jyh-Lin Wu and Lixong Yang
National Sun Yat-sen University, National Sun Yat-sen UniversityNational Chung Cheng University and Xi'an Jiaotong University (XJTU)
Downloads 128 (472,226)
Citation 3

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Panel unit-root test, Fourier approximation, Cross-sectional dependence, Purchasing power parity

4.

Factor Model Forecasts of Exchange Rates Revisited

Number of pages: 30 Posted: 03 Jun 2012
Jyh-Lin Wu and Yi-Chiuan Wang
National Sun Yat-sen UniversityNational Chung Cheng University and National Sun Yat-sen University
Downloads 117 (506,236)
Citation 2

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independent component factors, principal component factors, exchange rates, out-of-sample prediction

5.

Asymmetric Risk Spillovers between the Currency and Stock Markets

Number of pages: 47 Posted: 13 Jun 2022
Yi-Chiuan Wang, Yi-hao Lai and Jyh-Lin Wu
Tunghai University, Dayeh Universty and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 84 (634,309)

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exchange rates, stock prices, spillover, dependence-switching copula, CoVaR

6.

The Micro-Macro Disconnect of Purchasing Power Parity

NBER Working Paper No. w15624
Number of pages: 53 Posted: 04 Jan 2010 Last Revised: 12 Mar 2023
Paul R. Bergin, Reuven Glick and Jyh-Lin Wu
University of California, Davis - Department of Economics, Federal Reserve Bank of San Francisco - Center for Pacific Basin Monetary & Economic Studies and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 52 (816,740)
Citation 4

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7.

Identifying Exchange Rate Common Factors

NBER Working Paper No. w23726
Number of pages: 43 Posted: 28 Aug 2017 Last Revised: 01 May 2022
Ryan Greenaway-McGrevy, Donggyu Sul, Nelson C. Mark and Jyh-Lin Wu
University of Auckland Business School, Independent, University of Notre Dame - Department of Economics and Econometrics and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 43 (889,743)
Citation 1

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8.

Conditional PPP and Real Exchange Rate Convergence in the Euro Area

NBER Working Paper No. w21979
Number of pages: 31 Posted: 15 Feb 2016 Last Revised: 23 Jul 2023
Paul R. Bergin, Reuven Glick and Jyh-Lin Wu
University of California, Davis - Department of Economics, Federal Reserve Bank of San Francisco - Center for Pacific Basin Monetary & Economic Studies and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 36 (955,423)
Citation 3

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9.

Mussa Redux and Conditional PPP

NBER Working Paper No. w18331
Number of pages: 38 Posted: 25 Aug 2012 Last Revised: 02 Feb 2023
Paul R. Bergin, Reuven Glick and Jyh-Lin Wu
University of California, Davis - Department of Economics, Federal Reserve Bank of San Francisco - Center for Pacific Basin Monetary & Economic Studies and National Sun Yat-sen UniversityNational Chung Cheng University
Downloads 33 (986,128)

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10.

Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries

Posted: 23 Oct 2001
Hsiu-Yun Lee and Jyh-Lin Wu
National Chung Cheng University - Department of Economics and National Sun Yat-sen UniversityNational Chung Cheng University

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11.

A Re-Examination of Purchasing Power Parity in Japan and Taiwan

Posted: 16 Nov 1999
Jyh-Lin Wu and Show-Li Chen
National Sun Yat-sen UniversityNational Chung Cheng University and Fu-Jen Catholic University

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