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

54

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Scholarly Papers (54)

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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 1,016 (24,905)

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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 985 (26,016)
Citation 3

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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 684 (43,180)
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 564 (55,468)
Citation 7

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

5.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 77 Posted: 27 Sep 2019 Last Revised: 11 Sep 2020
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 478 (68,418)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Carry trade, Deep neural network

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 375 ( 91,075)
Citation 149

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 374 (90,607)
Citation 140

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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 (771,483)
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 294 (119,187)

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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 272 (129,390)
Citation 1

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Real exchange rates, purchasing power parity

9.

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 247 (142,762)

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

10.

The Purchasing Power Parity Debate

Downloads 246 (143,319)
Citation 134

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 197 (176,788)
Citation 4

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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 (453,025)
Citation 10
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Purchasing power parity, exchange rates, real exchange rates, nonlinearity, long-run equilibrium

11.

The Out-of-Sample Performance of Carry Trades

Downloads 222 (158,126)

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 221 (158,372)
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 (771,483)
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carry trade, Data-snooping bias, foreign exchange

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 185 (187,277)
Citation 4

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

13.

Prospect Theory and Currency Returns: Empirical Evidence

Downloads 178 (195,636)

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 176 (197,568)

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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 (757,337)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

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 175 (196,591)
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 174 (197,529)

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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 173 (198,519)

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17.

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

Downloads 118 (269,802)
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: 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 81 (348,491)
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 (507,147)
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 115 (274,700)
Citation 1

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19.

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 (279,885)
Citation 1

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insurance, international reserves, liquidity, sovereign risk, swaps

20.

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 100 (302,578)

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foreign exchange, market microstructure, end-user order flow

21.

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 85 (335,424)

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

22.

U.S. Populist Rhetoric and Currency Returns

Downloads 84 (337,792)

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 83 (343,268)

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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 (771,483)
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Foreign exchange market, populism, textual analysis

23.

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 82 (342,650)

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

24.

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 (347,679)
Citation 2
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Foreign exchange, purchasing power parity, real exchange rate

25.

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

Downloads 63 (396,264)
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 46 (465,491)

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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 (634,396)
Citation 3
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Capital flows, disequilibrium, rationing, asymmetric information

26.

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 (423,159)
Citation 21
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

27.

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 (453,032)

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28.

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 (469,467)

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29.

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 (473,769)
Citation 1
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Term structure of interest rates, markov switching, forecasting

30.

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 39 (486,986)

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FX News, Currency Risk Premium, Currency Reversals

31.

Is Official Exchange Rate Intervention Effective?

Downloads 39 (486,986)
Citation 27

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 (612,415)
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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 (619,902)
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32.

Forward-Looking Policy Rules and Currency Premia

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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 (512,145)

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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

33.

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 (505,417)
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34.

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 35 (505,417)
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35.

Unexpected Currency Volatility and Global Technological Innovation Activities

Number of pages: 78 Posted: 22 Apr 2020
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 32 (520,623)

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

36.

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 29 (536,616)

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Foreign exchange, market microstructure, end-user order flow

37.

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 (548,130)
Citation 3
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

38.

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 (554,076)
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39.

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 (560,336)
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Financial accelerator, credit cycle, international business cycles, Kalman filter

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 24 (566,723)

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foreign exchange, market microstructure, pricing behavior

41.

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 (572,976)
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Currency crisis, vulnerability, contagion, dynamic factor analysis

42.

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 (572,976)
Citation 11
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

43.

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 (592,567)

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

44.

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 - Management School, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 19 (599,362)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

45.

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 (640,497)
Citation 1

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46.

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 (669,339)
Citation 3

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

47.

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 (683,955)
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carry trade, deep neural network, Elastic Net, exchange rate predictability

48.

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 (736,179)
Citation 2
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

49.

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

CEPR Discussion Paper No. DP15053
Number of pages: 68 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
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
Downloads 0 (754,160)
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corporate investment, Exchange rate, uncertainty

50.

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 (754,160)
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capital controls, emerging markets, Global VAR (GVAR), Portfolio Capital Flows

51.

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

52.

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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53.

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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54.

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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