Mark P. Taylor

Washington University in St. Louis - John M. Olin Business School

Dean

One Brookings Drive

Campus Box 1156

St. Louis, MO 63130-4899

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

Brookings Institution

1775 Massachusetts Ave, NW

Washington, DC 20036

United States

  • Washington University in St. Louis - John M. Olin Business School

  • Brookings Institution

SCHOLARLY PAPERS

58

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Scholarly Papers (58)

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1.

Technical Trading: Is it Still Beating the Foreign Exchange Market?

Journal of International Economics, Forthcoming
Number of pages: 54 Posted: 18 Apr 2016
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1,090 (28,473)
Citation 4

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Foreign exchange, technical analysis, trading rules, data-snooping bias

2.

Exchange Rate Economics: A Survey

IMF Working Paper No. 91/62
Number of pages: 61 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,055 (29,856)

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3.

Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 66 Posted: 27 Sep 2019 Last Revised: 06 Apr 2022
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 958 (34,222)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, Variable importance, Partial dependence plot, Individual conditional expectation curves, Carry trade

4.

The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting

IMF Working Paper No. 92/34
Number of pages: 28 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 709 (51,550)
Citation 13

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5.

Global Political Risk and Currency Momentum

Number of pages: 95 Posted: 01 Nov 2014 Last Revised: 11 Mar 2016
Ilias Filippou, Arie Eskenazi Gozluklu and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Washington University in St. Louis - John M. Olin Business School
Downloads 629 (60,172)
Citation 9

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Currency Momentum, FX Risk premium, Limits to Arbitrage, Political Risk

6.

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Downloads 426 ( 96,996)
Citation 152

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Number of pages: 61 Posted: 31 Oct 2014
Po-Hsuan Hsu and Mark P. Taylor
National Tsing Hua University - Department of Quantitative Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 425 (96,438)
Citation 144

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Data snooping, Foreign exchange, Technical analysis

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

CEPR Discussion Paper No. DP10018
Number of pages: 63 Posted: 25 Sep 2014
Po-Hsuan Hsu and Mark P. Taylor
National Tsing Hua University - Department of Quantitative Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (932,336)
Citation 2
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data-snooping bias, Foreign exchange, technical analysis, trading rules

7.

Prospect Theory and Currency Returns: Empirical Evidence

Downloads 312 (136,907)

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 70 Posted: 10 Jul 2020 Last Revised: 18 Sep 2020
Qi Xu, Roman Kozhan and Mark P. Taylor
Zhejiang University - School of Economics and Academy of Financial Research, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 310 (137,183)

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foreign exchange, currency returns, prospect theory, limits to arbitrage

Prospect Theory and Currency Returns: Empirical Evidence

CEPR Discussion Paper No. DP15306
Number of pages: 73 Posted: 22 Sep 2020
Roman Kozhan, Mark P. Taylor and Qi Xu
University of Warwick - Warwick Business School, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 2 (915,750)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

8.

Modelling the Yield Curve

IMF Working Paper No. 91/134
Number of pages: 38 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 311 (137,417)

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interest rates, term structure, expectations, risk, market segmentation

9.

Purchasing Power Parity Over Two Centuries: Strengthening the Case for Real Exchange Rate Stability Reply to Cuddington and Liang

Journal of International Money and Finance, October 2000
Number of pages: 6 Posted: 07 Nov 2004
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School
Downloads 291 (147,298)
Citation 2

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Real exchange rates, purchasing power parity

10.

The Out-of-Sample Performance of Carry Trades

Downloads 287 (149,489)

The Out-of-Sample Performance of Carry Trades

Number of pages: 55 Posted: 26 Apr 2018 Last Revised: 20 Sep 2019
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 286 (149,246)
Citation 1

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Foreign Exchange; Trading Rules; Carry Trade; Data-Snooping Bias

The Out-of-Sample Performance of Carry Trades

CEPR Discussion Paper No. DP15052
Number of pages: 56 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1 (932,336)
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carry trade, Data-snooping bias, foreign exchange

11.

The Purchasing Power Parity Debate

Downloads 271 (158,374)
Citation 136

The Purchasing Power Parity Debate

NBER Working Paper No. w10607
Number of pages: 34 Posted: 09 Jul 2004 Last Revised: 27 Jun 2021
Alan M. Taylor and Mark P. Taylor
University of California, Davis - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 222 (191,814)
Citation 7

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The Purchasing Power Parity Debate

Number of pages: 36 Posted: 07 Sep 2004
Alan M. Taylor and Mark P. Taylor
University of California, Davis - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 49 (539,040)
Citation 12
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Purchasing power parity, exchange rates, real exchange rates, nonlinearity, long-run equilibrium

12.

Importance of Transaction Costs for Asset Allocations in FX Markets

Number of pages: 110 Posted: 24 Mar 2018 Last Revised: 20 Apr 2020
Thomas Andreas Maurer, Luca Pezzo and Mark P. Taylor
The University of Hong Kong, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 267 (160,738)
Citation 4

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Transaction Costs, Mean-Variance, Optimization, Asset Allocation, Foreign Exchange, Carry Trade

13.

Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates?

Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 266 (161,339)

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Purchasing power parity; real exchange rate; random walk; economic models of exchange rate determination; long-horizon regression tests

14.

Dissecting Volatility Risks in Currency Markets

Number of pages: 78 Posted: 05 Nov 2015
Ingmar Nolte, Mark P. Taylor and Qi Xu
Lancaster University - Department of Accounting and Finance, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 194 (217,635)
Citation 3

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Foreign Exchange, Carry Trade, Momentum, Volatility, Jump-Diffusion,Short-Run Long-Run Volatility

15.

Real Exchange Rates, Non-Linearities and Balassa-Samuelson Effects

Frank J. Petrilli Center for Research in International Finance Working Paper No. Lothian01
Number of pages: 33 Posted: 04 Nov 2004
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School
Downloads 190 (221,605)

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Purchasing power parity, real exchange rate, nonlinear dynamics, Harrod-Balassa-Samuelson effect, productivity differentials

16.

Intervention, Interest Rates, and Charts: Three Essays in International Finance

IMF Working Paper No. 91/106
Number of pages: 31 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 187 (224,649)

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17.

U.S. Populist Rhetoric and Currency Returns

Downloads 147 (274,746)

U.S. Populist Rhetoric and Currency Returns

WBS Finance Group Research Paper
Number of pages: 81 Posted: 19 Jun 2020 Last Revised: 08 Jan 2021
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 146 (277,081)

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Populism, Foreign Exchange market, Textual Analysis

U.S. Populist Rhetoric and Currency Returns

CEPR Discussion Paper No. DP15054
Number of pages: 87 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (932,336)
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Foreign exchange market, populism, textual analysis

18.

Foreign Exchange News and Currency Reversals

Number of pages: 64 Posted: 19 Jun 2020
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 133 (296,871)

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FX News, Currency Risk Premium, Currency Reversals

19.

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Downloads 133 (296,871)
Citation 60

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

NBER Working Paper No. w8601
Number of pages: 39 Posted: 17 Nov 2001 Last Revised: 02 Jan 2022
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 96 (375,282)
Citation 1

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The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Number of pages: 40 Posted: 23 Apr 2002
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 37 (602,433)
Citation 4
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

20.

Long-Run Purchasing Power Parity and the Dollar-Sterling Exchange Rate in the 1920s

IMF Working Paper No. 90/118
Number of pages: 25 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 130 (302,141)
Citation 2

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21.

International Liquidity Swaps: Is the Chiang Mai Initiative Efficiently Pooling Reserves?

International Journal of Finance and Economics, Vol. 13, No. 4, 2008
Number of pages: 24 Posted: 17 May 2006 Last Revised: 10 Apr 2011
Emanuel Kohlscheen and Mark P. Taylor
Bank for International Settlements (BIS) and Washington University in St. Louis - John M. Olin Business School
Downloads 125 (311,079)
Citation 1

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insurance, international reserves, liquidity, sovereign risk, swaps

22.

Currency Volatility and Global Technological Innovation

Number of pages: 67 Posted: 22 Apr 2020 Last Revised: 27 Sep 2021
Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang and Qi Xu
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 119 (322,260)

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Foreign Exchange Volatility, Technological Innovation, Patents, R&D

23.

End-User Order Flow and Exchange Rate Dynamics

Deutsche Bundesbank Discussion Paper No. 05/2007
Number of pages: 28 Posted: 10 Jul 2008
Mark P. Taylor, Markus A. Schmidt, Stefan Reitz and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, Deutsche Bundesbank and Deutsche BundesbankUniversity of Giessen
Downloads 116 (328,083)

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foreign exchange, market microstructure, end-user order flow

24.

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

Downloads 102 (358,125)

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

Number of pages: 33 Posted: 19 Jul 2021 Last Revised: 24 Jul 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 102 (360,741)

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environmental, social, governance, Refinitiv, ESG, foreign exchange market, risk premium.

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia

CEPR Discussion Paper No. DP16392
Number of pages: 36 Posted: 22 Sep 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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Environmental, ESG, Foreign exchange market, governance, Refinitiv, Risk premium, Social

25.

The Downton Abbey Effect: 18th and 19th Century British Aristocratic Marriages and Agricultural Prices

Downloads 100 (362,810)

The Downton Abbey Effect: 18th and 19th Century British Aristocratic Marriages and Agricultural Prices

Number of pages: 21 Posted: 07 Jun 2021
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 100 (365,557)
Citation 1

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aristocracy, agricultural depression, agricultural prices, marriage, dowry, assortative matching

The Downton Abbey Effect: 18th and 19th Century British Aristocratic Marriages and Agricultural Prices

CEPR Discussion Paper No. DP16209
Number of pages: 24 Posted: 14 Jul 2021
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
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26.

Japanese and Federal Reserve Intervention in the Yen-US Dollar Market: A Coordination Channel of FX Operations?

Number of pages: 29 Posted: 10 Jul 2008
Mark P. Taylor, Stefan Reitz and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School and Deutsche BundesbankUniversity of Giessen
Downloads 96 (372,331)

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

27.

The Coordination Channel of Foreign Exchange Intervention: The Australian Case

Number of pages: 27 Posted: 10 Jul 2008
Mark P. Taylor, Jan C. Ruelke, Stefan Reitz and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, WHU - Otto Beisheim School of Management and Deutsche BundesbankUniversity of Giessen
Downloads 96 (372,331)

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

28.

Forward-Looking Policy Rules and Currency Premia

Downloads 92 (382,372)

Forward-Looking Policy Rules and Currency Premia

Number of pages: 59 Posted: 01 Jul 2019 Last Revised: 23 Apr 2021
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 92 (385,649)

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Foreign exchange; currency risk premium; Taylor rules; data snooping bias

Forward-Looking Policy Rules and Currency Premia

CEPR Discussion Paper No. DP13835
Number of pages: 66 Posted: 30 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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currency risk premium, data snooping bias, foreign exchange, Taylor rules

29.

Purchasing Power Parity and the Real Exchange Rate

Number of pages: 40 Posted: 22 Aug 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and University of Cambridge - Judge Business School
Downloads 80 (415,749)
Citation 2
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Foreign exchange, purchasing power parity, real exchange rate

30.

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

Downloads 76 (428,152)
Citation 8

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

IMF Working Paper No. 02/43
Number of pages: 26 Posted: 30 Jan 2006
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 59 (494,922)

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Capital flows, disequilibrium, rationing, asymmetric information

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

Number of pages: 27 Posted: 14 Mar 2003
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 17 (751,911)
Citation 3
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Capital flows, disequilibrium, rationing, asymmetric information

31.

End-User Order Flow and Exchange Rate Dynamics

Bundesbank Series 1 Discussion Paper No. 2007,05
Number of pages: 44 Posted: 08 Jun 2016
Stefan Reitz, Markus A. Schmidt and Mark P. Taylor
German Federal Bank - Economics Department, Deutsche Bundesbank and Washington University in St. Louis - John M. Olin Business School
Downloads 72 (440,812)
Citation 2

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Foreign exchange, market microstructure, end-user order flow

32.

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors

NBER Working Paper No. w4442
Number of pages: 35 Posted: 26 Apr 2001 Last Revised: 21 Feb 2021
Richard Clarida and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco and Washington University in St. Louis - John M. Olin Business School
Downloads 61 (479,877)

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33.

European Policy Convergence and the EMS

IMF Working Paper No. 90/104
Number of pages: 18 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 57 (495,369)

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34.

Official Intervention in the Foreign Exchange Market: Is it Effective, and, If so, How Does it Work?

Number of pages: 43 Posted: 28 Feb 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and University of Cambridge - Judge Business School
Downloads 55 (503,496)
Citation 22
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

35.

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

Number of pages: 45 Posted: 26 Apr 2005
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 42 (562,848)
Citation 2
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Term structure of interest rates, markov switching, forecasting

36.

Is Official Exchange Rate Intervention Effective?

Downloads 39 (578,226)
Citation 28

Is Official Exchange Rate Intervention Effective?

Number of pages: 16 Posted: 10 Apr 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 20 (725,362)
Citation 1
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Real exchange rate, official intervention, non-linearity, mean reversion

Is Official Exchange Rate Intervention Effective?

Number of pages: 11 Posted: 26 Mar 2004
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 19 (734,025)

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37.

Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market

Bundesbank Series 1 Discussion Paper No. 2009,13
Number of pages: 36 Posted: 08 Jun 2016
Stefan Reitz, Markus A. Schmidt and Mark P. Taylor
German Federal Bank - Economics Department, Deutsche Bundesbank and Washington University in St. Louis - John M. Olin Business School
Downloads 38 (583,502)

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foreign exchange, market microstructure, pricing behavior

38.

Purchasing Power Parity

Number of pages: 17 Posted: 28 Sep 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 38 (583,502)

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39.

Option or Obligation? The Determinants of Labour Supply Preferences in Britain

Number of pages: 19 Posted: 20 Sep 2003
René Böheim and Mark P. Taylor
Johannes Kepler University and Washington University in St. Louis - John M. Olin Business School
Downloads 38 (583,502)

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40.

Modelling the Effectiveness of US Presidential TV Advertisements

Number of pages: 39 Posted: 10 Jun 2021 Last Revised: 13 Jun 2021
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 32 (617,875)

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Presidential election campaigns, Television advertising, Political marketing, Elastic net

41.

On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates

Bundesbank Series 1 Discussion Paper No. 2010,08
Number of pages: 48 Posted: 08 Jun 2016
Jan C. Ruelke and Mark P. Taylor
WHU - Otto Beisheim School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 32 (617,875)

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Foreign exchange intervention, market microstructure, smooth transition, nonlinear mean reversion

42.

Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study

Number of pages: 41 Posted: 21 Jun 2002
Lucio Sarno, Mark P. Taylor and Ibrahim Chowdhury
University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and University of Oxford
Downloads 27 (650,038)
Citation 3
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

43.

Are There Thresholds of Current Account Adjustment in the G7?

NBER Working Paper No. w12193
Number of pages: 60 Posted: 26 Oct 2012 Last Revised: 27 Apr 2022
Richard Clarida, Manuela Goretti and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco, International Monetary Fund (IMF) and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (664,274)
Citation 1

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44.

A Cross-Country Financial Accelerator: Evidence from North America and Europe

CEPR Discussion Paper No. 5037
Number of pages: 29 Posted: 13 Sep 2005
Ashoka Mody, Lucio Sarno and Mark P. Taylor
International Monetary Fund (IMF) - Research Department, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (664,274)
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Financial accelerator, credit cycle, international business cycles, Kalman filter

45.

Common Vulnerabilities

Number of pages: 35 Posted: 18 Mar 2003
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (679,082)
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Currency crisis, vulnerability, contagion, dynamic factor analysis

46.

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Number of pages: 42 Posted: 13 Nov 2001
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (679,082)
Citation 12
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

47.

The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis

Bundesbank Series 1 Discussion Paper No. 2006,08
Number of pages: 52 Posted: 08 Jun 2016
Stefan Reitz and Mark P. Taylor
German Federal Bank - Economics Department and Washington University in St. Louis - John M. Olin Business School
Downloads 21 (694,665)
Citation 3

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

48.

Non-Linear Equilibrium Correction in Us Real Money Balances, 1869-1997

Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Lancaster University Management School, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 19 (710,375)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

49.

Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

CEPR Discussion Paper No. DP15305
Number of pages: 117 Posted: 22 Sep 2020
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 9 (800,321)
Citation 1
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carry trade, deep neural network, Elastic Net, exchange rate predictability

50.

Media Sentiment and Currency Reversals

CEPR Discussion Paper No. DP16049
Number of pages: 55 Posted: 14 May 2021
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1 (892,065)
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51.

Common Macro Factors and Currency Premia

CEPR Discussion Paper No. DP10016
Number of pages: 78 Posted: 25 Sep 2014
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (892,065)
Citation 3
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

52.

Currency Volatility and Global Technological Innovation

CEPR Discussion Paper No. DP16611
Number of pages: 70 Posted: 09 Nov 2021
Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang and Qi Xu
National Tsing Hua University, Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong and Zhejiang University - School of Economics and Academy of Financial Research
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Foreign Exchange Volatility, patents, R&D, Technological innovation

53.

The Real Effects of Exchange Rate Risk on Corporate Investment: International Evidence

CEPR Discussion Paper No. DP15053
Number of pages: 69 Posted: 28 Jul 2020 Last Revised: 14 Jul 2021
Mark P. Taylor, Zigan Wang and Qi Xu
Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
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54.

Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls

CEPR Discussion Paper No. DP11689
Number of pages: 32 Posted: 12 Dec 2016
Gianna Boero, Zeyyad Mandalinci and Mark P. Taylor
University of Warwick - Department of Economics, Queen Mary University of London and Washington University in St. Louis - John M. Olin Business School
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capital controls, emerging markets, Global VAR (GVAR), Portfolio Capital Flows

55.

Private Consumption Behaviour, Liquidity Constraints and Financial Deregulation in France: A Nonlinear Analysis

Posted: 11 Sep 2000
Eric Girardin, Lucio Sarno and Mark P. Taylor
University Aix-Marseille 2 - GREQAM, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School

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consumption, credit, liquidity constraints, Euler equation, financial liberalization, nonlinearity

56.

Estimating Growth Equations for Previously Centrally Planned Economies: Dealing with Dubious Data and Disparate Information

Posted: 20 May 1999
Edward E. Leamer and Mark P. Taylor
University of California at Los Angeles and Washington University in St. Louis - John M. Olin Business School

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57.

Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries

JOURNAL OF POLITICAL ECONOMY, Vol. 104, No. 3, June 1996
Posted: 28 Jun 1998
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School

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58.

The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors

Review of Economics and Statistics, Vol. 79, No. 3, August 1997
Posted: 30 Mar 1998
Richard Clarida and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco and Washington University in St. Louis - John M. Olin Business School

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