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 1,031 (27,192)
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 1,029 (27,238)

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3.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 61 Posted: 27 Sep 2019 Last Revised: 06 Jul 2021
Ilias Filippou, David Rapach, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. LouisSaint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 697 (46,676)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Deep neural network, 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 690 (47,322)
Citation 26

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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 591 (57,841)
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 392 ( 95,038)
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 391 (94,534)
Citation 143

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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 (828,170)
Citation 2
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data-snooping bias, Foreign exchange, technical analysis, trading rules

7.

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 296 (129,730)

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

8.

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 277 (138,989)
Citation 2

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Real exchange rates, purchasing power parity

9.

The Purchasing Power Parity Debate

Downloads 250 (154,128)
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 201 (189,501)
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 (490,783)
Citation 12
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Purchasing power parity, exchange rates, real exchange rates, nonlinearity, long-run equilibrium

10.

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 250 (154,128)

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

11.

The Out-of-Sample Performance of Carry Trades

Downloads 245 (157,204)

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 244 (157,312)
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 (828,170)
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carry trade, Data-snooping bias, foreign exchange

12.

Prospect Theory and Currency Returns: Empirical Evidence

Downloads 244 (157,830)

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 242 (158,533)

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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 (814,953)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

13.

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 208 (183,696)
Citation 4

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

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 179 (210,260)
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 179 (210,260)

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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 176 (213,326)

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17.

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

Downloads 122 (286,388)
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: 04 Jul 2021
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 85 (367,212)
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 (549,274)
Citation 4
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

18.

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 119 (291,555)
Citation 2

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19.

U.S. Populist Rhetoric and Currency Returns

Downloads 115 (298,538)

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 114 (302,005)

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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 (828,170)
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Foreign exchange market, populism, textual analysis

20.

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 112 (304,214)
Citation 1

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insurance, international reserves, liquidity, sovereign risk, swaps

21.

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 102 (324,269)

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foreign exchange, market microstructure, end-user order flow

22.

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 94 (341,748)

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FX News, Currency Risk Premium, Currency Reversals

23.

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 85 (363,873)

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

24.

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 84 (366,486)

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

25.

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 (377,278)
Citation 2
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Foreign exchange, purchasing power parity, real exchange rate

26.

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

Downloads 64 (426,228)
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 47 (499,748)

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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 (685,534)
Citation 3
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Capital flows, disequilibrium, rationing, asymmetric information

27.

Forward-Looking Policy Rules and Currency Premia

Downloads 61 (436,593)

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 61 (442,768)

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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

28.

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 57 (451,124)

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

29.

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 (458,485)
Citation 22
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

30.

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

Downloads 52 (470,035)

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 52 (477,897)

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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

31.

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 49 (482,290)

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32.

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 46 (495,084)

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33.

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 45 (499,569)

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Foreign exchange, market microstructure, end-user order flow

34.

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 (513,045)
Citation 2
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Term structure of interest rates, markov switching, forecasting

35.

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

Downloads 39 (527,349)

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 39 (538,750)
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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36.

Is Official Exchange Rate Intervention Effective?

Downloads 39 (527,349)
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 (661,903)
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 (669,848)
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37.

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 36 (542,299)
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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 35 (547,585)
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39.

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 (593,268)
Citation 3
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

40.

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 26 (599,686)

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foreign exchange, market microstructure, pricing behavior

41.

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

Number of pages: 10 Posted: 14 Mar 2005
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 26 (599,686)
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42.

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 (606,244)
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Financial accelerator, credit cycle, international business cycles, Kalman filter

43.

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 (619,811)
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Currency crisis, vulnerability, contagion, dynamic factor analysis

44.

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 (619,811)
Citation 12
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

45.

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 20 (640,803)

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

46.

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 (648,024)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

47.

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 16 (669,604)

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

48.

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: 26 Apr 2021
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 14 (684,772)
Citation 1

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49.

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 10 (715,987)
Citation 3

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

50.

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 7 (739,713)
Citation 1
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carry trade, deep neural network, Elastic Net, exchange rate predictability

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 (791,863)
Citation 3
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

52.

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
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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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