Paul Söderlind

University of St. Gallen

Professor

Rosenbergstrasse 52

St. Gallen, 9000

Switzerland

http://https://sites.google.com/site/paulsoderlindecon/home

SCHOLARLY PAPERS

49

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226

CROSSREF CITATIONS

641

Scholarly Papers (49)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 1,351 (20,358)
Citation 3

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 319 (132,790)
Citation 3

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 5 (873,184)
Citation 10
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carry trade, factor model, smooth transition regression, time-varying betas

3.
Downloads 1,199 ( 24,749)
Citation 7

Individual Investor Activity and Performance

Swedish House of Finance Research Paper No. 14-08 (revised version)
Number of pages: 44 Posted: 01 Nov 2011 Last Revised: 01 Jun 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 554 (69,727)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

University of St. Gallen, School of Finance Research Paper No. 2014/8, Forthcoming in Review of Financial Studies
Number of pages: 52 Posted: 07 May 2014 Last Revised: 16 Sep 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 319 (132,748)

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 03 Jun 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 159 (257,998)
Citation 2

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401(k), coordinated fund changes, defined contribution, financial advisors, mutual fund flows

Individual Investor Activity and Performance

Netspar Discussion Paper No. 10/2011-091 - revised version
Number of pages: 46 Posted: 25 Nov 2011 Last Revised: 05 Jan 2016
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 158 (259,372)
Citation 2

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Coordinated fund changes, defined contribution, 401(k)

Individual Investor Activity and Performance

CEPR Discussion Paper No. DP8744
Number of pages: 43 Posted: 20 Jan 2012
Stockholm School of Economics, University of Connecticut and University of St. Gallen
Downloads 9 (829,210)
Citation 2
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401(k), Coordinated fund changes, Financial advisors, Fire sales

4.
Downloads 1,081 ( 28,712)
Citation 87

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 1,071 (28,690)
Citation 20

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exchange rates, high-frequency data, crisis episodes, non-linear effects

Safe Haven Currencies

CEPR Discussion Paper No. DP7249
Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 10 (818,801)
Citation 26
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crisis episodes, high-frequency data, non-linear effects

5.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 1,080 (28,746)
Citation 23

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exchange rates, liquidity, transaction costs, commonality, low-frequency

6.

New Techniques to Extract Market Expectations from Financial Instrument

Stockholm School of Economics, Working Paper No. 142
Number of pages: 47 Posted: 24 Mar 1997
Lars E. O. Svensson and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 595 (64,414)

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7.

Solution and Estimation of RE Macromodels with Optimal Policy

European Economic Review, Vol. 43, pp. 813-823, 1999
Number of pages: 14 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 549 (71,339)
Citation 4

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unstable roots, Schur decomposition, Kalman filter estimation

8.

Predicting Stock Price Movements: Regressions Versus Economists

Applied Economics Letters, Vol. 17, pp. 869-874, 2010, U. of St. Gallen Law & Economics Working Paper No. 2007-23
Number of pages: 11 Posted: 10 Jul 2007 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 546 (71,822)

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Livingston survey, out-of-sample forecasts, overfitting, recency bias

9.

Performance and Characteristics of Swedish Mutual Funds

Journal of Financial and Quantitative Analysis, Vol. 35, pp. 409-423, 2000
Number of pages: 21 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Magnus Dahlquist, Stefan Engstrom and Paul Söderlind
Stockholm School of Economics, Stockholm School of Economics, Department of Finance and University of St. Gallen
Downloads 526 (75,234)
Citation 5

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flows, persistence, portfolio evaluation, survivorship bias, style analysis

10.

Save Haven Currencies

Review of Finance, Forthcoming
Number of pages: 28 Posted: 28 Feb 2008 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 406 (102,232)

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foreign exchange rates, high-frequency data, crisis episodes, non-linear effects

11.

Prediction of Stock Returns

Quantile Journal, Vol. 1, pp. 27-38, 2006
Number of pages: 12 Posted: 25 Oct 2006
Paul Söderlind
University of St. Gallen
Downloads 374 (112,276)

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12.

Inflation Forecast Uncertainty

Stockholm School of Economics EFI Working Paper No. 384, European Economic Review, Vol. 47, pp.1037-1059, 2003
Number of pages: 37 Posted: 24 Nov 2001 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 361 (116,867)
Citation 41

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survey data, Survey of Professional Forecasters, GDP growth, VAR, T-GARCH

13.

An Extended Stein's Lemma for Asset Pricing

Applied Economics Letters, 16, 1005-1008, 2009
Number of pages: 6 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 296 (144,381)

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Risk premium, stochastic discount factor, change of measure

14.

Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Journal of Economic Dynamics and Control, Vol. 28, pp. 2367-2397, 2004, Stockholm School of Economics Working Paper No. 499
Number of pages: 38 Posted: 22 Jul 2002 Last Revised: 15 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 274 (156,201)
Citation 23

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robustness, model uncertainty, Schur decomposition, discretion, simple rules

15.

Testing Competing Factor Pricing Models

University of St.Gallen, School of Finance Research Paper No. 2015/24
Number of pages: 14 Posted: 01 Dec 2015 Last Revised: 31 May 2016
Paul Söderlind
University of St. Gallen
Downloads 273 (156,839)
Citation 1

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GMM, pricing errors, Bonferroni test, bootstrap

Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

University of St.Gallen, Department of Economics Discussion Paper No. 2008-11 , International Journal of Central Banking, forthcoming
Number of pages: 26 Posted: 18 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 241 (176,939)
Citation 9

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break-even inflation, liquidity premium, Survey of Professional Forecasters

Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

CEPR Discussion Paper No. DP7250
Number of pages: 23 Posted: 15 Apr 2009
Paul Söderlind
University of St. Gallen
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Citation 1
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break-even inflation, liquidity premium, Survey of Professional Forecasters

17.
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Citation 1

Monetary Policy Effects on Financial Risk Premia

The Manchester School, Vol. 76, pp. 690-707, 2008, U. of St. Gallen Law & Economics Working Paper No. 2006-26
Number of pages: 22 Posted: 09 Nov 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 203 (208,283)

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inflation risk premium, equity risk premium, term premium, announcement effects

Monetary Policy Effects on Financial Risk Premia

Manchester School, Vol. 76, Issue 6, pp. 690-707, December 2008
Number of pages: 18 Posted: 16 Oct 2008
Paul Söderlind
University of St. Gallen
Downloads 3 (897,702)

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18.

Investment Choice in the Swedish Premium Pension Plan

Journal of the European Economic Association Papers and Proceedings, Vol. 5, pp. 636-646, 2007
Number of pages: 23 Posted: 22 Jun 2008 Last Revised: 11 Jun 2013
IZA Institute of Labor EconomicsStockholm University - Department of Economics, Stockholm University - Swedish Institute for Social Research (SOFI) and University of St. Gallen
Downloads 195 (216,156)

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19.

Dynamic Taylor Rules and the Predictability of Interest Rates

Macroeconomic Dynamics, Vol. 9, pp. 412-428, 2005
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Ulf Söderström, Anders Vredin and Paul Söderlind
Central Bank of Sweden - Research Department, Sveriges Riksbank and University of St. Gallen
Downloads 194 (217,179)

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interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

20.

Verbal Interventions and Exchange Rate Policies: The Case of Swiss Franc Cap

University of St. Gallen, School of Finance Research Paper No. 2016/14
Number of pages: 33 Posted: 05 Jul 2016 Last Revised: 23 Mar 2019
Nikola Mirkov, Igor Pozdeev and Paul Söderlind
ITAM, affiliation not provided to SSRN and University of St. Gallen
Downloads 170 (243,249)
Citation 11

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Swiss franc, options, FX liquidity, verbal interventions

21.

FX Liquidity Risk and Carry Trade Premia

University of St.Gallen, School of Finance Research Paper No. 2022/02
Number of pages: 54 Posted: 29 Mar 2022 Last Revised: 14 May 2022
Paul Söderlind and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 163 (253,317)

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Currency portfolios, Carry trade returns, FX liquidity risk, Liquidity risk premium

22.

Evaluating Portfolio Performance with Stochastic Discount Factors

Journal of Business, Vol. 72, No. 3, pp. 347-384, 1999
Number of pages: 46 Posted: 20 Aug 1999 Last Revised: 15 Jun 2013
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 150 (269,723)

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23.

Individual Forecasts of Exchange Rates

Swedish House of Finance Research Paper No. 22-06
Number of pages: 36 Posted: 09 Feb 2022 Last Revised: 16 Mar 2022
Magnus Dahlquist and Paul Söderlind
Stockholm School of Economics and University of St. Gallen
Downloads 146 (275,651)

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Beliefs, currencies, expectations, foreign exchange rates, predictability

24.
Downloads 146 (275,651)
Citation 2

C-CAPM Without Ex Post Data

Journal of Macroeconomics, Vol. 31,pp. 721-729, 2009, U. of St. Gallen Law & Economics Working Paper No. 2006-22
Number of pages: 20 Posted: 03 Oct 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 130 (302,754)

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equity premium puzzle, Livingston survey, S&P 500 options, Survey of Professional

C-Capm Without Ex Post Data

CEPR Discussion Paper No. 5407
Number of pages: 18 Posted: 22 Mar 2006
Paul Söderlind
University of St. Gallen
Downloads 16 (759,137)
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Equity premium puzzle, Livingston survey, CBOE VIX, Survey of Professional Forecasters

25.

Monetary Policy and the Fisher Effect

Journal of Policy Modeling, Vol. 23, pp. 491-495, 2001
Number of pages: 6 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 129 (303,263)
Citation 1

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optimal monetary policy, inflation expectations, forward interest rates, Kalman filter estimation

26.

Nominal Interest Rates as Indicators of Inflation Expectations

Scandinavian Journal of Economics, Vol. 100, No. 2, pp. 457-472, 1998
Number of pages: 26 Posted: 03 Jun 2009
Paul Söderlind
University of St. Gallen
Downloads 118 (323,516)

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inflation expectations, real interest rates, forward rates

27.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 117 (325,415)

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28.

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Journal of Applied Econometrics, Vol. 11, pp. 363-382, 1996
Number of pages: 30 Posted: 03 Jun 2009
Anders Vredin and Paul Söderlind
Sveriges Riksbank and University of St. Gallen
Downloads 117 (325,415)

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cointegration, money demand, common trends, equilibrium business cycle model

29.

Why Disagreement May Not Matter (much) for Asset Prices

Finance Research Letters, Vol. 6, pp. 73-82, 2009, U. of St. Gallen Law & Economics Working Paper No. 2008-11
Number of pages: 16 Posted: 05 Jun 2008 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 115 (329,400)
Citation 1

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riskfree rate, implied volatility, Survey of Professional Forecasters

30.

New Techniques to Extract Market Expectations from Financial Instruments

NBER Working Paper No. w5877
Number of pages: 49 Posted: 15 Jul 2000 Last Revised: 23 Jan 2022
Paul Soderlind, Paul Söderlind and Lars E. O. Svensson
affiliation not provided to SSRN, University of St. Gallen and Stockholm School of Economics
Downloads 110 (339,811)
Citation 2

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Market Expectations in the UK Before and After the Erm Crisis

Economica, Vol. 67, pp. 1-18, 2000
Number of pages: 30 Posted: 08 Dec 2000 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 73 (441,930)

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Market Expectations in the UK Before and after the Erm Crisis

Number of pages: 18 Posted: 13 Oct 2003
Paul Söderlind
University of St. Gallen
Downloads 36 (607,175)
Citation 1

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32.

The Implementation of SNB Monetary Policy

Financial Markets and Portfolio Management, Vol. 23, pp. 349-359, 2009
Number of pages: 16 Posted: 02 Nov 2009 Last Revised: 11 Jun 2013
Angelo Ranaldo, Thomas Jordan and Paul Söderlind
University of St. Gallen, Swiss National Bank and University of St. Gallen
Downloads 92 (381,590)

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implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

33.

Reaction of Swiss Term Premia to Monetary Policy Surprises

Swiss Journal of Economics and Statistics, Vol. 146, pp. 385-404, 2010
Number of pages: 22 Posted: 20 Dec 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 81 (411,896)
Citation 1

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affine price of risk, interest rate caps, survey data

34.

Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Journal of Economics and Business, Vol. 55, pp. 321-330, 2003
Number of pages: 13 Posted: 02 Jun 2009
Paul Söderlind
University of St. Gallen
Downloads 68 (453,521)

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inflation targeting, output targeting, interest rates

35.

An Interpretation of SDF Based Performance Measures

European Finance Review, Vol. 3,pp. 233-237, 1999
Number of pages: 7 Posted: 02 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 67 (457,007)

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mean-variance intersection, managed portfolios, conditional alphas and betas

36.

C-CAPM Refinements and the Cross-Section of Returns

Financial Markets and Portfolio Management, Vol. 20, No. 1, pp. 49-73, 2006
Number of pages: 25 Posted: 04 Apr 2006 Last Revised: 15 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 67 (457,007)

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Consumption-based asset pricing, habit persistence, idiosyncratic risk, conditional asset pricing

37.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle

Journal of Economic Dynamics and Control, Vol. 30, pp. 1027-1043, 2006
Number of pages: 27 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 64 (467,680)
Citation 2

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equity premium, riskfree rate, aggregation of beliefs, Survey of Professional Forecasters, Livingston Survey

38.

Cyclical Properties of a Real Business Cycle Model

Journal of Applied Econometrics, Vol. 9, pp. S113-S122, 1994
Number of pages: 12 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 55 (502,461)

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spectra, coherency, small-sample distribution

39.

What if the Fed Had Been an Inflation Nutter?

Applied Economics, Vol. 36, pp. 1471-1473, 2004
Number of pages: 7 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 44 (551,750)

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optimal monetary policy, rational expectations, Kalman filter

40.

Devaluation Expectations: The Swedish Krona 1982-1991

NBER Working Paper No. w3918
Number of pages: 62 Posted: 09 May 2000 Last Revised: 04 Apr 2022
Sveriges Riksbank, Stockholm School of Economics, University of St. Gallen and affiliation not provided to SSRN
Downloads 30 (629,011)

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41.

Testing the Basic Target Zone Model on Swedish Data

European Economic Review, Vol. 38, pp. 1441-1469, 1994
Number of pages: 32 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Hans Lindberg and Paul Söderlind
affiliation not provided to SSRN and University of St. Gallen
Downloads 29 (635,375)
Citation 1

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exchange rates, interest rates, distribution, conditional variance

42.

International Spillovers in an Endogenous Growth Model

Empirical Economics, Vol. 19, pp. 501-515, 1994
Number of pages: 19 Posted: 03 Jun 2009 Last Revised: 11 Jun 2013
Paul Söderlind
University of St. Gallen
Downloads 27 (648,742)

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cointegration, international technological links

43.

Taylor Rules and the Predictability of Interest Rates

Number of pages: 23 Posted: 08 Aug 2003
Paul Söderlind, Ulf Söderström and Anders Vredin
University of St. Gallen, Central Bank of Sweden - Research Department and Sveriges Riksbank
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Interest rate smoothing, yield curve, survey data, VAR, in-sample overfitting

44.

C-Capm and the Cross-Section of Sharpe Ratios

Number of pages: 19 Posted: 14 Nov 2003
Paul Söderlind
University of St. Gallen
Downloads 23 (677,749)
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Consumption-based asset pricing, habit persistence, recursive utility, idiosyncratic risk, multivariate GARCH

45.

Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

Number of pages: 22 Posted: 19 Nov 2003
Paolo Giordani and Paul Söderlind
Norwegian Business School and University of St. Gallen
Downloads 20 (700,981)
Citation 1
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Equity premium, risk-free rate, aggregation of beliefs, survey of professional forecasters, Livingston survey

46.

New-Keynesian Models and Monetary Policy: A Re-Examination of the Stylized Facts

Scandinavian Journal of Economics, Vol. 107, No. 3, pp. 521-546, September 2005
Number of pages: 26 Posted: 29 Dec 2005
Ulf Söderström, Paul Söderlind and Anders Vredin
Central Bank of Sweden - Research Department, University of St. Gallen and Sveriges Riksbank
Downloads 16 (733,632)

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Interest rate smoothing, central bank objectives, forward-looking behavior, minimum-distance estimation

47.

New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts

Scandinavian Journal of Economics, Vol. 107, pp. 521-546, 2005
Number of pages: 27 Posted: 03 Jun 2009
Ulf Söderström, Anders Vredin and Paul Söderlind
Central Bank of Sweden - Research Department, Sveriges Riksbank and University of St. Gallen
Downloads 2 (874,666)
Citation 1

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Interest rate smoothing, central bank objectives, forward-looking behavior, minimum-distance estimation

48.

Target Zone Models and the Intervention Policy: The Swedish Case

Scandinavian Journal of Economics, 96, 499-513, 1994
Number of pages: 15 Posted: 03 Jun 2009
Hans Lindberg and Paul Söderlind
affiliation not provided to SSRN and University of St. Gallen
Downloads 1 (889,061)

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exchange rates, mean reversion, intra-marginal interventions

49.

Extracting Expectations About 1992 UK Monetary Policy from Option Prices

CEPR Discussion Paper Series Number 1823
Posted: 15 Jul 1998
Paul Söderlind
University of St. Gallen

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