Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

Edmonton, Alberta T6G 2R6

Canada

http://www.bus.ualberta.ca/rfatum

  • University of Alberta - Department of Marketing, Business Economics & Law

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    • Tel: 780-492-3951
    • Fax: 780-492-3325
SCHOLARLY PAPERS

31

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Top 7,124

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154

Scholarly Papers (31)

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1.

Is Sterilized Foreign Exchange Intervention Effective after All? An Event Study Approach

The Economic Journal, 113 (April), 390-411, University of Alberta School of Business Research Paper No. 2013-357, UC Santa Cruz Center for International Economics Working Paper No. 02-2
Number of pages: 37 Posted: 26 Mar 2002 Last Revised: 07 Jun 2013
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 410 (150,894)
Citation 19

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2.

Is Foreign Exchange Market Intervention an Alternative to Monetary Policy? Evidence from Japan

UCSC International Economics Working Paper No. 02-05
Number of pages: 30 Posted: 21 Apr 2002
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 329 (192,423)
Citation 8

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3.

Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?

Downloads 325 (194,927)
Citation 5

Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?

Number of pages: 28 Posted: 01 Nov 2004
Rasmus Fatum and Barry Scholnick
University of Alberta - Department of Marketing, Business Economics & Law and University of Alberta - Department of Marketing, Business Economics & Law
Downloads 210 (301,427)
Citation 5

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Expectations, Monetary Policy, Federal Funds Futures, Exchange Rates

Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?

Journal of Money, Credit and Banking, Vol. 38, No. 6, September 2006 , University of Alberta School of Business Research Paper No. 2013-1149
Number of pages: 26 Posted: 09 May 2005 Last Revised: 25 Jul 2013
Rasmus Fatum and Barry Scholnick
University of Alberta - Department of Marketing, Business Economics & Law and University of Alberta - Department of Marketing, Business Economics & Law
Downloads 115 (505,897)

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Expectations, Monetary Policy, Federal Funds Futures, Exchange Rates

4.

ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention

UCSC International Economics Working Paper No. 02-3
Number of pages: 23 Posted: 26 Mar 2002
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 304 (209,446)
Citation 22

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foreign exchange market intervention, the euro, central bank intervention

5.

On the Effectiveness of Sterilized Foreign Exchange Intervention

Number of pages: 50 Posted: 10 Dec 2002
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law
Downloads 279 (229,011)
Citation 15

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Foreign Exchange Intervention, Fed Intervention, Bundesbank Intervention, Event Study

6.

Foreign Exchange Intervention and Monetary Policy in Japan, 2003-04

International Economics and Economic Policy, Vol. 2, No. 2-3, pp. 241-260, November 2005, University of Alberta School of Business Research Paper No. 2013-356
Number of pages: 39 Posted: 05 Jan 2005 Last Revised: 07 Jun 2013
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 227 (281,162)
Citation 8

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Foreign Exchange Intervention, Japanese Monetary Policy

7.

Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?

Journal of Banking & Finance, Volume 32, Issue 6, June 2008, Pages 1076-1086, University of Alberta School of Business Research Paper No. 2013-1145, SCCIE Working Paper No. 05-24
Number of pages: 28 Posted: 13 Dec 2005 Last Revised: 25 Jul 2013
Rasmus Fatum and Barry Scholnick
University of Alberta - Department of Marketing, Business Economics & Law and University of Alberta - Department of Marketing, Business Economics & Law
Downloads 212 (300,082)
Citation 8

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Expectations, Monetary Policy, Federal Funds Futures, Exchange Rates

8.

Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan

Downloads 211 (301,380)
Citation 14

Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan

Journal of International Money and Finance, Vol. 25, No. 2, 2006, UC Santa Cruz International Economics Working Paper No. 03-22, University of Alberta School of Business Research Paper No. 2013-355
Number of pages: 35 Posted: 04 Jul 2004 Last Revised: 07 Jun 2013
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 144 (422,406)
Citation 1

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Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan

NBER Working Paper No. w9648
Number of pages: 33 Posted: 04 May 2003 Last Revised: 13 Nov 2022
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics
Downloads 67 (714,804)
Citation 13

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9.

Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

SCCIE Working Paper No. 04-24
Number of pages: 34 Posted: 26 May 2005
Rasmus Fatum and Michael R. King
University of Alberta - Department of Marketing, Business Economics & Law and Gustavson School Of Business
Downloads 193 (327,476)
Citation 13

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Foreign exchange intervention, intraday data, event studies

10.

Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data

UC Santa Cruz International Economics Working Paper No. 05-12
Number of pages: 29 Posted: 12 Jul 2005
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law
Downloads 188 (335,493)
Citation 10

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Foreign Exchange Intervention, Event Studies, Currency Co-movement

11.

Is the Renminbi a Safe Haven?

Downloads 178 (352,520)

Is the Renminbi a Safe Haven?

Tokyo Center for Economic Research (TCER) Paper No. E-109, University of Alberta School of Business Research Paper No. 2016-706
Number of pages: 36 Posted: 06 Jul 2016
Rasmus Fatum, Yohei Yamamoto, Yohei Yamamoto and Guozhong Zhu
University of Alberta - Department of Marketing, Business Economics & Law, Hitotsubashi UniversityTokyo Center for Economic Research (TCER) and University of Alberta - Department of Marketing, Business Economics & Law
Downloads 102 (553,821)

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Renminbi, Safe Haven Currencies

Is the Renminbi a Safe Haven?

Globalization and Monetary Policy Institute Working Paper No. 276
Number of pages: 33 Posted: 27 Jul 2016
Rasmus Fatum, Yohei Yamamoto, Yohei Yamamoto and Guozhong Zhu
University of Alberta - Department of Marketing, Business Economics & Law, Hitotsubashi UniversityTokyo Center for Economic Research (TCER) and University of Alberta - Department of Marketing, Business Economics & Law
Downloads 76 (666,564)

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12.

One Monetary Policy and Eighteen Central Bankers: The European Monetary Policy as a Game of Strategic Delegation

Downloads 177 (354,239)
Citation 3

One Monetary Policy and Eighteen Central Bankers: The European Monetary Policy as a Game of Strategic Delegation

Number of pages: 29 Posted: 17 Jun 2002
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law
Downloads 177 (353,555)
Citation 3

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Monetary Policy, Monetary Union, Median Voter, Strategic Delegation

One Monetary Policy and Eighteen Central Bankers: The European Monetary Policy as a Game of Strategic Delegation

Journal of Monetary Economics, Vol. 53, Issue 4, 2006, University of Alberta School of Business Research Paper No. 2013-354
Posted: 07 May 2005 Last Revised: 07 Jun 2013
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law

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Monetary Union, decision-making, strategic delegation

13.

Foreign Exchange Intervention When Interest Rates are Zero: Does the Portfolio Balance Channel Matter after All?

Downloads 162 (382,561)
Citation 4

Foreign Exchange Intervention When Interest Rates are Zero: Does the Portfolio Balance Channel Matter after All?

University of Alberta School of Business Research Paper No. 1648283
Number of pages: 33 Posted: 25 Jul 2010
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law
Downloads 103 (549,874)
Citation 1

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Exchange Rates, Foreign Exchange Market Intervention, Channels of Transmission

Foreign Exchange Intervention When Interest Rates are Zero: Does the Portfolio Balance Channel Matter after All?

Journal of International Money and Finance, Volume 57, October 2015, University of Alberta School of Business Research Paper No. 2015-710
Number of pages: 34 Posted: 24 Nov 2015
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law
Downloads 59 (763,486)
Citation 3

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Zero interest rates; Foreign exchange market intervention; Channels of transmission

14.

The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar

Bank of Canada Working Paper No. 2005-21
Number of pages: 52 Posted: 09 Aug 2005
Rasmus Fatum and Michael R. King
University of Alberta - Department of Marketing, Business Economics & Law and Gustavson School Of Business
Downloads 146 (417,244)
Citation 3

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Foreign exchange intervention, intraday data, event studies

15.

Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach

BIS Paper No. 96c
Number of pages: 12 Posted: 06 Apr 2018
Rasmus Fatum and James Yetman
University of Alberta - Department of Marketing, Business Economics & Law and Bank for International Settlements (BIS)
Downloads 130 (457,564)

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foreign exchange reserves, risk-taking, implied volatility, credit default swaps

16.

The Exchange Rate Effects of Macro News after the Global Financial Crisis

Globalization and Monetary Policy Institute Working Paper No. 305
Number of pages: 33 Posted: 08 Mar 2017
Yin-Wong Cheung, Rasmus Fatum, Yohei Yamamoto and Yohei Yamamoto
University of California, Santa Cruz - Department of Economics, University of Alberta - Department of Marketing, Business Economics & Law and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)
Downloads 121 (483,882)
Citation 5

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17.

The Trend Effect of Foreign Exchange Intervention

Downloads 115 (502,862)

The Trend Effect of Foreign Exchange Intervention

Number of pages: 45 Posted: 02 Sep 2023
Rasmus Fatum, Yohei Yamamoto and Binwei Chen
University of Alberta - Department of Marketing, Business Economics & Law, Hitotsubashi University and Hitotsubashi University
Downloads 79 (652,104)

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Foreign Exchange Intervention, Counterfactual Exchange Rate, Currency Factors, Synthetic Control Methods, Structural Changes

The Trend Effect of Foreign Exchange Intervention

Number of pages: 47 Posted: 24 Mar 2024
Rasmus Fatum, Yohei Yamamoto and Binwei Chen
University of Alberta - Department of Marketing, Business Economics & Law, Hitotsubashi University and Hitotsubashi University
Downloads 36 (949,699)

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Foreign exchange intervention, Counterfactual Exchange Rate, Currency Factors, Synthetic Control Methods, Structural Changes

18.

Reserves and Risk: Evidence from China

Globalization Institute Working Paper No. 387
Number of pages: 40 Posted: 01 Jun 2020 Last Revised: 11 Jan 2022
Rasmus Fatum, Takahiro Hattori, Yohei Yamamoto and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law, University of Tokyo - Graduate School of Public Policy and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)
Downloads 109 (523,145)

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19.

Do Oil Endowment and Productivity Matter for Accumulation of International Reserves?

Globalization and Monetary Policy Institute Working Paper No. 291
Number of pages: 38 Posted: 08 Jan 2017
Rasmus Fatum, Guozhong Zhu and Wenjie Hui
University of Alberta - Department of Marketing, Business Economics & Law, University of Alberta - Department of Marketing, Business Economics & Law and Peking University
Downloads 101 (552,807)

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foreign reserves, oil price shocks, precautionary demand

20.

Real-Time Effects of Central Bank Interventions in the Euro Market

SCCIE Working Paper No. 07-07
Number of pages: 43 Posted: 02 Apr 2007
Rasmus Fatum and Jesper Pedersen
University of Alberta - Department of Marketing, Business Economics & Law and University of Copenhagen - Department of Economics
Downloads 101 (552,807)
Citation 7

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Foreign Exchange Intervention, Intraday Data, ERM II

21.

Accumulation of Foreign Currency Reserves and Risk-Taking

BIS Working Paper No. 728
Number of pages: 32 Posted: 19 Jun 2018
Rasmus Fatum and James Yetman
University of Alberta - Department of Marketing, Business Economics & Law and Bank for International Settlements (BIS)
Downloads 74 (666,498)

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foreign exchange reserves; risk-taking; implied volatility; credit default swaps

22.

Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?

University of Alberta School of Business Research Paper No. 2013-1307, University of Copenhagen Dept. of Economics Discussion Paper No. 10-20
Number of pages: 34 Posted: 02 Sep 2010 Last Revised: 17 Jul 2015
Rasmus Fatum, Jesper Pedersen and Peter Norman Sorensen
University of Alberta - Department of Marketing, Business Economics & Law, Danish Economic Councils and University of Copenhagen - Department of Economics
Downloads 74 (666,498)

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Foreign Exchange Intervention, Exchange Rate Spreads, Intraday Data

23.

Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

Number of pages: 31 Posted: 13 Mar 2009 Last Revised: 25 Jan 2013
Rasmus Fatum, Michael M. Hutchison and Thomas Wu
University of Alberta - Department of Marketing, Business Economics & Law, University of California, Santa Cruz - Department of Economics and University of California, Santa Cruz - Department of Economics
Downloads 73 (671,452)
Citation 1

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Foreign Exchange Rates, Intraday Data, Macroeconomic News Effects

24.

Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields

Globalization and Monetary Policy Institute Working Paper No. 354
Number of pages: 34 Posted: 08 Apr 2019 Last Revised: 29 Apr 2020
Rasmus Fatum, Naoko Hara, Yohei Yamamoto and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law, Bank of Japan and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)
Downloads 69 (691,898)
Citation 3

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NIRP, Bond Yields, Macroeconomic News

25.

Beggar Thy Neighbor or Beggar Thy Domestic Firms? Evidence from 2000-2011 Chinese Customs Data

Globalization and Monetary Policy Institute Working Paper No. 257
Number of pages: 37 Posted: 28 Jan 2016
Rasmus Fatum, Runjuan Liu, Jiadong Tong and Jiayun Xu
University of Alberta - Department of Marketing, Business Economics & Law, Alberta School of Business, University of Alberta, Independent and Tsinghua University
Downloads 67 (702,583)
Citation 5

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26.

Large versus Small Foreign Exchange Interventions

Journal of Banking and Finance, Volume 43, 2014, University of Alberta School of Business Research Paper No. 2014-02
Number of pages: 37 Posted: 01 Apr 2014 Last Revised: 08 Apr 2015
Rasmus Fatum, Yohei Yamamoto and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)
Downloads 67 (702,583)
Citation 1

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foreign exchange market intervention, intervention amount

27.

Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?

NBER Working Paper No. w16044
Number of pages: 36 Posted: 07 Jun 2010
Kathryn M.E. Dominguez, Rasmus Fatum and Pavel Vacek
University of Michigan at Ann Arbor - Gerald R. Ford School of Public Policy, University of Alberta - Department of Marketing, Business Economics & Law and Charles University in Prague - Institute of Economic Studies
Downloads 43 (862,892)

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28.

Intra-Safe Haven Currency Behavior During the Global Financial Crisis

Journal of International Money and Finance, Forthcoming, University of Alberta School of Business Research Paper No. 2778690
Posted: 12 May 2016
Rasmus Fatum, Yohei Yamamoto and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)

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Safe Haven Currencies, Global Financial Crisis

29.

Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?

Journal of Money, Credit and Banking, Vol. 45, Issue 5, pp. 867-890, August 2013, University of Alberta School of Business Research Paper No. 2013-1207
Posted: 16 Aug 2013
Kathryn M.E. Dominguez, Rasmus Fatum and Pavel Vacek
University of Michigan at Ann Arbor - Gerald R. Ford School of Public Policy, University of Alberta - Department of Marketing, Business Economics & Law and Charles University in Prague - Institute of Economic Studies

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foreign exchange reserves, exchange rate determination, high-frequency volatility modeling

30.

Post-Plaza Intervention in the Dem/Usd Exchange Rate

Posted: 26 Jun 2002
Rasmus Fatum
University of Alberta - Department of Marketing, Business Economics & Law

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31.

Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market

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Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market

Journal of Money, Credit, and Banking, Vol. 31, No. 1, February 1999
Posted: 03 Sep 1998
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics

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Is Intervention a Signal of Future Monetary Policy?: Evidence from the Federal Funds Futures Market

UCSC Economics Dept. #364
Posted: 27 Feb 1997
Rasmus Fatum and Michael M. Hutchison
University of Alberta - Department of Marketing, Business Economics & Law and University of California, Santa Cruz - Department of Economics

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