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

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

SCHOLARLY PAPERS

48

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Scholarly Papers (48)

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1.

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 994 (22,400)

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2.

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 926 (24,876)
Citation 1

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

3.

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 666 (39,197)
Citation 13

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4.

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 533 (52,579)
Citation 5

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

5.

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 362 ( 83,818)
Citation 148

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 361 (83,429)
Citation 138

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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 (698,427)
Citation 2
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data-snooping bias, Foreign exchange, technical analysis, trading rules

6.

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 291 (106,812)

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

7.

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 268 (116,549)
Citation 1

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Real exchange rates, purchasing power parity

8.

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

ECB Working Paper No. 88
Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
University of Michigan at Ann Arbor - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 245 (127,896)

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

9.

The Purchasing Power Parity Debate

Downloads 231 (135,625)
Citation 130

The Purchasing Power Parity Debate

NBER Working Paper No. w10607
Number of pages: 34 Posted: 09 Jul 2004 Last Revised: 27 Jun 2010
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 182 (169,497)
Citation 4

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The Purchasing Power Parity Debate

CEPR Discussion Paper No. 4495
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 (408,026)
Citation 5
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Purchasing power parity, exchange rates, real exchange rates, nonlinearity, long-run equilibrium

10.

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 171 (179,154)

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

11.

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 167 (182,841)
Citation 3

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

12.

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 167 (182,841)

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13.

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 138 (214,246)

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

14.

Importance of Transaction Costs for Asset Allocations in FX Markets

Number of pages: 113 Posted: 24 Mar 2018 Last Revised: 14 Dec 2019
Thomas Andreas Maurer, Luca Pezzo and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 133 (220,759)
Citation 2

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

15.

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

Downloads 115 (246,295)
Citation 59

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: 24 Oct 2010
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 78 (320,304)
Citation 1

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

CEPR Discussion Paper No. 3281
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 (457,081)
Citation 3
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

16.

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 114 (247,767)
Citation 1

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17.

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 111 (252,585)
Citation 1

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insurance, international reserves, liquidity, sovereign risk, swaps

18.

The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

Number of pages: 52 Posted: 27 Sep 2019
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Saint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 102 (267,869)

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Carry, Currency excess return, Panel predictive regression, Machine learning, Penalized regression, Short-horizon predictability, Global financial crisis

19.

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 and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, Deutsche Bundesbank and University of Giessen
Downloads 98 (275,098)

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foreign exchange, market microstructure, end-user order flow

20.

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 and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School and University of Giessen
Downloads 83 (305,626)

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

21.

Purchasing Power Parity and the Real Exchange Rate

CEPR Discussion Paper No. 2913
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 (312,429)
Citation 1
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Foreign exchange, purchasing power parity, real exchange rate

22.

The Coordination Channel of Foreign Exchange Intervention: The Australian Case

Number of pages: 27 Posted: 10 Jul 2008
Mark P. Taylor, Jan C. Ruelke and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, WHU - Otto Beisheim School of Management and University of Giessen
Downloads 76 (321,935)

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

23.

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

Downloads 62 (359,297)
Citation 6

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 45 (423,218)

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Capital flows, disequilibrium, rationing, asymmetric information

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

CEPR Discussion Paper No. 3757
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 (572,826)
Citation 1
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Capital flows, disequilibrium, rationing, asymmetric information

24.

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

CEPR Discussion Paper No. 2690
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 (380,970)
Citation 11
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

25.

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: 24 Aug 2010
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 47 (407,969)

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26.

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 43 (422,815)

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27.

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

CEPR Discussion Paper No. 4835
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 (426,630)
Citation 1
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Term structure of interest rates, markov switching, forecasting

28.

Is Official Exchange Rate Intervention Effective?

Downloads 39 (438,686)
Citation 27

Is Official Exchange Rate Intervention Effective?

CEPR Discussion Paper No. 3758
Number of pages: 16 Posted: 10 Apr 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 20 (552,658)
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Real exchange rate, official intervention, non-linearity, mean reversion

Is Official Exchange Rate Intervention Effective?

Economica, Vol. 71, No. 1, pp. 1-11, February 2004
Number of pages: 11 Posted: 26 Mar 2004
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 19 (559,370)
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29.

Forward-Looking Policy Rules and Currency Premia

Downloads 36 (451,182)

Forward-Looking Policy Rules and Currency Premia

Number of pages: 77 Posted: 01 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
Downloads 36 (461,619)

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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

30.

Purchasing Power Parity

Review of International Economics, Vol. 11, pp. 436-452, August 2003
Number of pages: 17 Posted: 28 Sep 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 35 (455,470)
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31.

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

Manchester School, Vol. 71, pp. 113-131, March 2003
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 35 (455,470)
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32.

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

CEPR Discussion Paper No. 3377
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 (494,018)
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

33.

Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market

Pacific Economic Review, Vol. 10, No. 1, pp. 73-82, February 2005
Number of pages: 10 Posted: 14 Mar 2005
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 26 (499,523)
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34.

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 (505,021)
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Financial accelerator, credit cycle, international business cycles, Kalman filter

35.

Common Vulnerabilities

CEPR Discussion Paper No. 3759
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 (516,477)
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Currency crisis, vulnerability, contagion, dynamic factor analysis

36.

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

CEPR Discussion Paper No. 3024
Number of pages: 42 Posted: 13 Nov 2001
Lutz Kilian and Mark P. Taylor
University of Michigan at Ann Arbor - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (516,477)
Citation 6
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

37.

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 20 (534,154)

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Foreign exchange, market microstructure, end-user order flow

38.

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 19 (540,260)

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foreign exchange, market microstructure, pricing behavior

39.

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

CEPR Discussion Paper No. 3249
Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Management School, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 19 (540,260)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

40.

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 16 (558,211)

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

41.

Are There Thresholds of Current Account Adjustment in the G7?

NBER Working Paper No. w12193
Number of pages: 60 Posted: 26 Oct 2012
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 13 (576,986)
Citation 1

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42.

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 9 (602,802)
Citation 2

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

43.

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 (665,607)
Citation 1
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

44.

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
Downloads 0 (682,448)
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capital controls, emerging markets, Global VAR (GVAR), Portfolio Capital Flows

45.

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

Empirical Economics, Vol. 25, No. 2, 2000
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

46.

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

Journal of Macroeconomics, Vol. 21, No. 4, Fall 1999
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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47.

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

Abstract:

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48.

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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